******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240619_204009 produced at 2024-06-19 21:38:12.188747 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.01 -0.28 -0.33 0.0 999.00 -999.00 -0.28 -0.28 -66.63 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 -0.21 0.0 0.82 -0.82 -0.65 -0.65 -2.62 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 -4.16 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -2.00 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.12 0.0 0.66 -0.66 -0.05 -0.05 -5.27 29.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.11 -0.11 0.0 0.13 -0.13 -0.11 -0.11 -11.10 13.0 -11 -11 caleb_strategy_v3 JPY False False 0.03 -0.08 -0.10 0.0 0.43 -0.43 -0.08 -0.08 -3.91 17.0 -3 -3 caleb_strategy_v3 OAT False False 0.04 0.00 -0.09 0.0 0.42 -0.42 0.00 0.00 -2.09 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.08 0.0 0.39 -0.39 -0.04 -0.04 -2.12 10.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.08 0.0 0.50 -0.50 -0.08 -0.08 -9.46 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 -1.46 14.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -7.45 66.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.05 0.0 0.09 -0.09 -0.06 -0.06 -6.95 12.0 -8 -8 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.19 -0.19 0.00 0.00 -0.53 2.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.03 -0.05 0.0 0.15 -0.15 -0.03 -0.03 -15.90 51.0 -9 -9 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.68 12.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.06 -0.04 0.0 0.22 -0.22 -0.06 -0.06 -11.28 68.0 -19 -19 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.04 0.0 0.27 -0.27 -0.01 -0.01 -5.18 36.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.75 -0.75 0.00 0.00 -0.94 19.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.04 0.0 0.10 -0.10 0.00 0.00 -1.13 3.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.13 -0.13 -0.03 -0.03 -2.95 11.0 -3 -3 caleb_strategy_v3 CHF False False 0.04 -0.09 -0.03 0.0 0.58 -0.58 -0.09 -0.09 -0.77 13.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 -0.00 -0.03 0.0 0.01 -0.01 -0.00 -0.00 -7.73 3.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.03 0.0 0.12 -0.12 -0.09 -0.09 -1.47 7.0 -5 -5 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.02 0.0 0.41 -0.41 -0.02 -0.02 -2.20 56.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.11 2.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.06 -0.02 0.0 0.06 -0.06 -0.06 -0.06 -0.66 2.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 0.02 -0.02 0.0 0.33 -0.33 0.02 0.02 -1.16 20.0 1 1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.10 8.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.08 -0.08 -0.01 -0.01 -1.78 10.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.02 -1.24 9.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.16 9.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -3.83 59.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.09 -0.01 0.0 0.45 -0.45 -0.09 -0.09 -0.27 10.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.10 -0.01 0.0 0.84 -0.84 -0.10 -0.10 -0.35 25.0 -3 -3 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.18 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.05 -0.00 0.0 0.10 -0.10 -0.05 -0.05 -0.02 4.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.35 5.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.00 0.0 0.33 -0.33 -0.08 -0.08 -0.09 8.0 -2 -2 caleb_strategy_v3 US10 False False 0.03 0.00 0.00 0.0 0.59 -0.59 0.00 0.00 0.09 17.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.02 0.00 0.0 0.35 -0.35 0.02 0.02 0.76 58.0 3 3 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.00 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.12 -0.12 -0.01 -0.01 -0.70 18.0 -2 -2 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.01 0.0 999.00 -999.00 0.03 0.03 0.25 999999999.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.27 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.76 -0.76 0.00 0.00 0.33 26.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.04 0.01 0.0 999.00 -999.00 0.04 0.04 0.22 999999999.0 1 1 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.24 6.0 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 3.10 26.0 9 9 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.61 3.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.04 0.01 0.0 0.24 -0.24 0.04 0.04 0.16 6.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.07 0.01 0.0 0.47 -0.47 0.07 0.07 0.40 13.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.29 -0.29 0.03 0.03 0.64 23.0 2 2 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.44 9.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.06 0.02 0.0 0.40 -0.40 0.06 0.06 1.11 19.0 3 3 caleb_strategy_v3 NZD False False 0.02 0.04 0.03 0.0 0.40 -0.40 0.04 0.04 1.78 21.0 2 2 caleb_strategy_v3 GBP False False 0.02 0.00 0.03 0.0 0.55 -0.55 0.00 0.00 1.29 22.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 0.04 0.0 0.00 0.00 0.00 0.00 4.11 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.03 0.04 0.0 0.29 -0.29 0.03 0.03 2.85 23.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.06 0.0 0.42 -0.42 0.09 0.09 6.83 48.0 10 10 caleb_strategy_v3 DX False False 0.03 0.10 0.06 0.0 999.00 -999.00 0.10 0.10 1.92 999999999.0 3 3 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.10 0.0 0.12 -0.12 0.07 0.07 4.20 5.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.12 0.0 0.39 -0.39 0.18 0.18 5.28 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 3.75 9.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 0.22 0.0 0.46 -0.46 -0.03 -0.03 7.82 16.0 -1 -1 caleb_strategy_v3 SOFR False True 0.08 0.00 0.36 0.0 0.00 0.00 0.00 0.00 4.77 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.1 Shocked risk 40.2 Sum abs risk 44.0 Leverage 3.51 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3195583.62, 'annual_cash_vol_target': 798895.905, 'daily_cash_vol_target': 49930.9940625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6686 0.6015 9.6234 BITCOIN 1481.1524 65845.0000 2.2495 35.9912 BOBL 0.2960 116.7300 0.2536 4.0575 BTP 0.6192 116.2300 0.5327 8.5237 BUND 0.6072 132.5000 0.4583 7.3325 BUXL 1.4928 133.7200 1.1164 17.8618 CAC 70.6389 7586.0000 0.9312 14.8988 CAD 0.0026 0.7308 0.3489 5.5831 CANOLA 8.2149 631.6000 1.3006 20.8104 CHF 0.0048 1.1425 0.4244 6.7896 COCOA 308.6314 9390.0000 3.2868 52.5890 COFFEE 4.0450 226.2500 1.7878 28.6054 COPPER 0.0748 4.4920 1.6650 26.6401 CORN 5.4238 467.7500 1.1596 18.5529 COTTON2 1.1549 72.7600 1.5873 25.3962 CRUDE_W 1.0255 77.9300 1.3159 21.0546 DAX 141.3803 18072.0000 0.7823 12.5171 DOW 234.4817 39290.0000 0.5968 9.5488 DX 0.3834 104.8650 0.3656 5.8500 EUR 0.0046 1.0788 0.4292 6.8670 EURIBOR-ICE 0.0542 97.4450 0.0557 0.8906 EUROSTX 45.0375 4881.0000 0.9227 14.7634 FEEDCOW 1.9286 261.1250 0.7386 11.8173 GASOIL 10.7647 786.0000 1.3696 21.9129 GASOLINE 0.0363 2.4413 1.4876 23.8018 GAS_US_mini 0.1069 2.9550 3.6186 57.8971 GBP 0.0055 1.2724 0.4319 6.9111 GOLD_micro 22.6635 2344.1000 0.9668 15.4693 HEATOIL 0.0353 2.5577 1.3807 22.0915 JGB-SGX-mini 0.2405 143.9500 0.1671 2.6735 JPY 0.0000 0.0064 0.5921 9.4733 LEANHOG 1.0948 78.4000 1.3964 22.3421 LIVECOW 1.3386 182.1000 0.7351 11.7618 LUMBER-new 8.6260 514.5000 1.6766 26.8254 MILK 0.3048 20.3000 1.5013 24.0203 MXP 0.0006 0.0534 1.2153 19.4446 NASDAQ_micro 139.2984 20209.2500 0.6893 11.0285 NIKKEI 338.3983 38340.0000 0.8826 14.1220 NZD 0.0037 0.6130 0.6085 9.7365 OAT 0.5474 124.0000 0.4414 7.0628 OATIES 7.2258 329.0000 2.1963 35.1407 OJ 8.6582 410.7000 2.1082 33.7307 PALLAD 20.5571 892.0000 2.3046 36.8737 PLAT 16.4497 978.8000 1.6806 26.8895 REDWHEAT 11.9716 627.7500 1.9071 30.5130 RICE 0.1502 15.7600 0.9532 15.2508 ROBUSTA 69.9003 4054.0000 1.7242 27.5877 RUSSELL 20.6257 2049.9000 1.0062 16.0989 SHATZ 0.0972 105.7400 0.0919 1.4703 SILVER-mini 0.6279 29.9250 2.0982 33.5708 SMI 78.1851 12106.0000 0.6458 10.3334 SOFR 0.0702 96.4150 0.0728 1.1642 SOYBEAN 10.7337 1132.0000 0.9482 15.1713 SOYMEAL 4.6163 340.8000 1.3546 21.6729 SOYOIL 0.6375 44.3600 1.4372 22.9945 SP400 24.1200 2966.6000 0.8131 13.0088 SP500_micro 29.8809 5562.2500 0.5372 8.5953 SUGAR11 0.2927 18.9900 1.5413 24.6610 US10 0.4230 110.7344 0.3820 6.1122 US10U 0.5742 114.6406 0.5009 8.0138 US2 0.1080 102.2305 0.1056 1.6902 US20 0.8468 120.3438 0.7037 11.2588 US30 1.2561 128.5938 0.9768 15.6291 US5 0.2748 106.9688 0.2569 4.1101 VIX 0.3700 16.0500 2.3050 36.8800 WHEAT 10.9185 623.2500 1.7519 28.0298 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.60 0.60 402.14 1.00 402.14 49930.99 124.16 3.45 42.89 BITCOIN 65.84 2.25 148.12 1.00 148.12 49930.99 337.11 -1.05 -35.35 BOBL 1167.30 0.25 296.02 1.07 317.49 49930.99 157.27 -5.91 -92.99 BTP 1162.30 0.53 619.20 1.07 664.12 49930.99 75.18 -8.26 -62.13 BUND 1325.00 0.46 607.23 1.07 651.28 49930.99 76.67 -3.53 -27.08 BUXL 1337.20 1.12 1492.80 1.07 1601.10 49930.99 31.19 -5.76 -17.96 CAC 758.60 0.93 706.39 1.07 757.64 49930.99 65.90 -7.48 -49.30 CAD 730.80 0.35 255.01 1.00 255.01 49930.99 195.80 -10.37 -203.13 CANOLA 126.32 1.30 164.30 0.73 119.65 49930.99 417.31 -15.66 -653.60 CHF 1428.12 0.42 606.03 1.00 606.03 49930.99 82.39 -3.62 -29.84 COCOA 939.00 3.29 3086.31 1.00 3086.31 49930.99 16.18 9.46 15.30 COFFEE 848.44 1.79 1516.87 1.00 1516.87 49930.99 32.92 6.35 20.92 COPPER 1123.00 1.67 1869.80 1.00 1869.80 49930.99 26.70 0.77 2.06 CORN 233.88 1.16 271.19 1.00 271.19 49930.99 184.12 -15.52 -285.83 COTTON2 363.80 1.59 577.45 1.00 577.45 49930.99 86.47 -15.92 -137.64 CRUDE_W 779.30 1.32 1025.49 1.00 1025.49 49930.99 48.69 7.97 38.78 DAX 180.72 0.78 141.38 1.07 151.64 49930.99 329.28 0.68 22.30 DOW 196.45 0.60 117.24 1.00 117.24 49930.99 425.88 -7.52 -320.39 DX 1048.65 0.37 383.41 1.00 383.41 49930.99 130.23 5.69 74.05 EUR 1348.50 0.43 578.76 1.00 578.76 49930.99 86.27 -6.50 -56.10 EURIBOR-ICE 2436.12 0.06 135.60 1.07 145.44 49930.99 343.31 -2.24 -76.95 EUROSTX 488.10 0.92 450.37 1.07 483.05 49930.99 103.37 -3.28 -33.92 FEEDCOW 1305.62 0.74 964.31 1.00 964.31 49930.99 51.78 -0.51 -2.67 GASOIL 786.00 1.37 1076.47 1.00 1076.47 49930.99 46.38 -0.10 -0.45 GASOLINE 1025.35 1.49 1525.32 1.00 1525.32 49930.99 32.73 1.76 5.75 GAS_US_mini 73.88 3.62 267.32 1.00 267.32 49930.99 186.78 1.53 28.65 GBP 795.25 0.43 343.50 1.00 343.50 49930.99 145.36 3.43 49.81 GOLD_micro 234.41 0.97 226.64 1.00 226.64 49930.99 220.31 -2.92 -64.37 HEATOIL 1074.23 1.38 1483.22 1.00 1483.22 49930.99 33.66 -7.72 -25.98 JGB-SGX-mini 143950.00 0.17 24053.23 0.01 152.38 49930.99 327.67 2.20 72.21 JPY 801.75 0.59 474.70 1.00 474.70 49930.99 105.18 -14.33 -150.68 LEANHOG 313.60 1.40 437.90 1.00 437.90 49930.99 114.02 -16.02 -182.70 LIVECOW 728.40 0.74 535.46 1.00 535.46 49930.99 93.25 17.08 159.24 LUMBER-new 141.49 1.68 237.22 1.00 237.22 49930.99 210.49 -17.15 -361.07 MILK 406.00 1.50 609.52 1.00 609.52 49930.99 81.92 1.99 16.32 MXP 267.25 1.22 324.79 1.00 324.79 49930.99 153.74 -4.19 -64.44 NASDAQ_micro 404.18 0.69 278.60 1.00 278.60 49930.99 179.22 6.84 122.50 NIKKEI 38340.00 0.88 33839.83 0.01 214.39 49930.99 232.90 -2.05 -47.80 NZD 612.95 0.61 373.00 1.00 373.00 49930.99 133.86 5.13 68.68 OAT 1240.00 0.44 547.37 1.07 587.08 49930.99 85.05 -7.20 -61.23 OATIES 164.50 2.20 361.29 1.00 361.29 49930.99 138.20 -9.25 -127.81 OJ 616.05 2.11 1298.74 1.00 1298.74 49930.99 38.45 7.35 28.27 PALLAD 892.00 2.30 2055.71 1.00 2055.71 49930.99 24.29 -7.99 -19.41 PLAT 489.40 1.68 822.48 1.00 822.48 49930.99 60.71 -0.02 -0.11 REDWHEAT 313.88 1.91 598.58 1.00 598.58 49930.99 83.42 -9.97 -83.15 RICE 315.20 0.95 300.44 1.00 300.44 49930.99 166.19 10.16 168.92 ROBUSTA 405.40 1.72 699.00 1.00 699.00 49930.99 71.43 7.64 54.59 RUSSELL 102.50 1.01 103.13 1.00 103.13 49930.99 484.16 -7.03 -340.53 SHATZ 1057.40 0.09 97.17 1.07 104.22 49930.99 479.09 -8.55 -409.78 SILVER-mini 748.12 2.10 1569.70 1.00 1569.70 49930.99 31.81 2.48 7.90 SMI 1210.60 0.65 781.85 1.12 878.64 49930.99 56.83 19.36 109.99 SOFR 2410.38 0.07 175.39 1.00 175.39 49930.99 284.69 2.76 78.57 SOYBEAN 566.00 0.95 536.68 1.00 536.68 49930.99 93.04 -17.04 -158.56 SOYMEAL 340.80 1.35 461.63 1.00 461.63 49930.99 108.16 -11.55 -124.89 SOYOIL 266.16 1.44 382.51 1.00 382.51 49930.99 130.53 -14.63 -190.93 SP400 2966.60 0.81 2412.00 1.00 2412.00 49930.99 20.70 -7.75 -16.04 SP500_micro 278.11 0.54 149.40 1.00 149.40 49930.99 334.20 8.80 294.06 SUGAR11 212.69 1.54 327.82 1.00 327.82 49930.99 152.31 -2.16 -32.82 US10 1107.34 0.38 423.02 1.00 423.02 49930.99 118.03 0.61 7.15 US10U 1146.41 0.50 574.19 1.00 574.19 49930.99 86.96 3.63 31.57 US2 2044.61 0.11 215.99 1.00 215.99 49930.99 231.17 -6.83 -157.96 US20 1203.44 0.70 846.83 1.00 846.83 49930.99 58.96 5.88 34.65 US30 1285.94 0.98 1256.13 1.00 1256.13 49930.99 39.75 3.17 12.59 US5 1069.69 0.26 274.78 1.00 274.78 49930.99 181.71 -1.52 -27.65 VIX 160.50 2.30 369.95 1.00 369.95 49930.99 134.97 -20.00 -269.93 WHEAT 311.62 1.75 545.93 1.00 545.93 49930.99 91.46 -10.21 -93.37 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 42.893 0.010 2.5 1.113 BITCOIN -35.346 0.043 2.5 -3.828 BOBL -92.988 0.004 2.5 -0.943 BTP -62.126 0.014 2.5 -2.119 BUND -27.081 0.004 2.5 -0.275 BUXL -17.959 0.004 2.5 -0.182 CAC -49.298 0.014 2.5 -1.681 CAD -203.128 0.010 2.5 -5.270 CANOLA -653.601 0.010 2.5 -15.901 CHF -29.843 0.010 2.5 -0.774 COCOA 15.302 0.009 2.5 0.328 COFFEE 20.917 0.005 2.5 0.244 COPPER 2.061 0.043 2.5 0.223 CORN -285.831 0.010 2.5 -6.954 COTTON2 -137.635 0.009 2.5 -2.948 CRUDE_W 38.783 0.043 2.5 4.200 DAX 22.302 0.014 2.5 0.761 DOW -320.386 0.009 2.5 -7.446 DX 74.051 0.010 2.5 1.921 EUR -56.098 0.010 2.5 -1.456 EURIBOR-ICE -76.952 0.014 2.5 -2.625 EUROSTX -33.923 0.014 2.5 -1.157 FEEDCOW -2.666 0.013 2.5 -0.088 GASOIL -0.453 0.017 2.5 -0.020 GASOLINE 5.749 0.017 2.5 0.249 GAS_US_mini 28.646 0.043 2.5 3.102 GBP 49.813 0.010 2.5 1.292 GOLD_micro -64.372 0.014 2.5 -2.196 HEATOIL -25.983 0.017 2.5 -1.126 JGB-SGX-mini 72.212 0.043 2.5 7.820 JPY -150.676 0.010 2.5 -3.909 LEANHOG -182.701 0.024 2.5 -11.103 LIVECOW 159.237 0.013 2.5 5.277 LUMBER-new -361.072 0.009 2.5 -7.730 MILK 16.323 0.009 2.5 0.350 MXP -64.436 0.059 2.5 -9.457 NASDAQ_micro 122.502 0.009 2.5 2.847 NIKKEI -47.805 0.043 2.5 -5.177 NZD 68.683 0.010 2.5 1.782 OAT -61.228 0.014 2.5 -2.088 OATIES -127.814 0.010 2.5 -3.110 OJ 28.274 0.009 2.5 0.606 PALLAD -19.411 0.014 2.5 -0.662 PLAT -0.113 0.014 2.5 -0.004 REDWHEAT -83.146 0.005 2.5 -1.103 RICE 168.919 0.010 2.5 4.110 ROBUSTA 54.590 0.005 2.5 0.637 RUSSELL -340.534 0.013 2.5 -11.284 SHATZ -409.784 0.004 2.5 -4.155 SILVER-mini 7.902 0.014 2.5 0.270 SMI 109.989 0.014 2.5 3.752 SOFR 78.568 0.024 2.5 4.775 SOYBEAN -158.556 0.004 2.5 -1.475 SOYMEAL -124.891 0.004 2.5 -1.162 SOYOIL -190.933 0.004 2.5 -1.777 SP400 -16.045 0.013 2.5 -0.532 SP500_micro 294.059 0.009 2.5 6.834 SUGAR11 -32.824 0.009 2.5 -0.698 US10 7.148 0.005 2.5 0.091 US10U 31.573 0.005 2.5 0.400 US2 -157.956 0.005 2.5 -2.002 US20 34.650 0.005 2.5 0.439 US30 12.593 0.005 2.5 0.160 US5 -27.649 0.005 2.5 -0.350 VIX -269.932 0.099 2.5 -66.630 WHEAT -93.370 0.005 2.5 -1.239 ===================== Position diags ===================== AUD 3.22 BITCOIN 36.50 BOBL 1.59 BTP 2.56 BUND 0.78 BUXL 0.32 CAC 2.25 CAD 5.08 CANOLA 10.15 CHF 2.14 COCOA 0.35 COFFEE 0.38 COPPER 2.89 CORN 4.48 COTTON2 1.85 CRUDE_W 5.27 DAX 11.23 DOW 9.90 DX 3.38 EUR 2.24 EURIBOR-ICE 11.71 EUROSTX 3.53 FEEDCOW 1.72 GASOIL 2.01 GASOLINE 1.42 GAS_US_mini 20.23 GBP 3.77 GOLD_micro 7.51 HEATOIL 1.46 JGB-SGX-mini 35.48 JPY 2.73 LEANHOG 6.93 LIVECOW 3.09 LUMBER-new 4.51 MILK 1.75 MXP 22.56 NASDAQ_micro 4.17 NIKKEI 25.22 NZD 3.47 OAT 2.90 OATIES 3.36 OJ 0.82 PALLAD 0.83 PLAT 2.07 REDWHEAT 1.11 RICE 4.04 ROBUSTA 0.83 RUSSELL 16.04 SHATZ 4.86 SILVER-mini 1.08 SMI 1.94 SOFR 17.30 SOYBEAN 0.87 SOYMEAL 1.01 SOYOIL 1.22 SP400 0.69 SP500_micro 7.77 SUGAR11 3.24 US10 1.50 US10U 1.10 US2 2.93 US20 0.75 US30 0.50 US5 2.30 VIX 33.32 WHEAT 1.21 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.1 0.8 1.4 3.0 3 BITCOIN -3.8 -7.5 -0.2 0.0 0 BOBL -0.9 -1.1 -0.8 0.0 0 BTP -2.1 -2.4 -1.9 -1.0 -1 BUND -0.3 -0.4 -0.2 -2.0 -2 BUXL -0.2 -0.2 -0.2 0.0 0 CAC -1.7 -1.9 -1.5 0.0 0 CAD -5.3 -5.8 -4.8 -2.0 -2 CANOLA -15.9 -16.9 -14.9 -9.0 -9 CHF -0.8 -1.0 -0.6 -2.0 -2 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 1.0 1 CORN -7.0 -7.4 -6.5 -8.0 -8 COTTON2 -2.9 -3.1 -2.8 -3.0 -3 CRUDE_W 4.2 3.7 4.7 3.0 3 DAX 0.8 -0.4 1.9 3.0 3 DOW -7.4 -8.4 -6.5 0.0 0 DX 1.9 1.6 2.3 3.0 3 EUR -1.5 -1.7 -1.2 0.0 0 EURIBOR-ICE -2.6 -3.8 -1.5 -8.0 -8 EUROSTX -1.2 -1.5 -0.8 1.0 1 FEEDCOW -0.1 -0.3 0.1 -2.0 -2 GASOIL -0.0 -0.2 0.2 -2.0 -2 GASOLINE 0.2 0.1 0.4 1.0 1 GAS_US_mini 3.1 1.1 5.1 9.0 9 GBP 1.3 0.9 1.7 0.0 0 GOLD_micro -2.2 -2.9 -1.4 -3.0 -3 HEATOIL -1.1 -1.3 -1.0 0.0 0 JGB-SGX-mini 7.8 4.3 11.4 -1.0 -1 JPY -3.9 -4.2 -3.6 -3.0 -3 LEANHOG -11.1 -11.8 -10.4 -11.0 -11 LIVECOW 5.3 5.0 5.6 8.0 8 LUMBER-new -7.7 -8.2 -7.3 -1.0 -1 MILK 0.3 0.2 0.5 NaN 0 MXP -9.5 -11.7 -7.2 -10.0 -10 NASDAQ_micro 2.8 2.4 3.3 2.0 2 NIKKEI -5.2 -7.7 -2.7 -1.0 -1 NZD 1.8 1.4 2.1 2.0 2 OAT -2.1 -2.4 -1.8 0.0 0 OATIES -3.1 -3.4 -2.8 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD -0.7 -0.7 -0.6 -2.0 -2 PLAT -0.0 -0.2 0.2 0.0 0 REDWHEAT -1.1 -1.2 -1.0 0.0 0 RICE 4.1 3.7 4.5 NaN 0 ROBUSTA 0.6 0.6 0.7 2.0 2 RUSSELL -11.3 -12.9 -9.7 -19.0 -19 SHATZ -4.2 -4.6 -3.7 NaN 0 SILVER-mini 0.3 0.2 0.4 0.0 0 SMI 3.8 3.6 3.9 0.0 0 SOFR 4.8 3.0 6.5 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -5.0 -5 SOYMEAL -1.2 -1.3 -1.1 0.0 0 SOYOIL -1.8 -1.9 -1.7 -1.0 -1 SP400 -0.5 -0.6 -0.5 0.0 0 SP500_micro 6.8 6.1 7.6 10.0 10 SUGAR11 -0.7 -1.0 -0.4 -2.0 -2 US10 0.1 -0.1 0.2 0.0 0 US10U 0.4 0.3 0.5 2.0 2 US2 -2.0 -2.3 -1.7 NaN 0 US20 0.4 0.4 0.5 0.0 0 US30 0.2 0.1 0.2 1.0 1 US5 -0.4 -0.6 -0.1 -3.0 -3 VIX -66.6 -70.0 -63.3 -56.0 -56 WHEAT -1.2 -1.4 -1.1 -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 0.3 -0.0 0.2 0.3 -0.0 -0.2 0.0 -0.0 BITCOIN -0.2 -0.0 0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 0.4 -0.2 0.7 0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.4 -0.1 0.7 -0.0 -0.2 -0.5 0.6 0.5 0.6 -0.6 -0.1 0.1 0.0 BOBL 0.4 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.4 -0.2 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.5 -0.0 0.0 -0.0 0.0 -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 0.0 -0.0 0.1 -0.1 0.0 0.0 0.2 -0.0 0.3 -0.0 -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 -0.5 0.2 -0.5 -0.4 0.1 0.1 BUND 0.3 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.2 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 0.1 -0.1 -0.3 0.0 -0.7 -0.6 -0.2 -0.4 BUXL 0.3 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 -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 -0.1 -0.3 0.1 -0.7 -0.7 -0.5 -0.3 CAC -0.6 -0.6 -0.5 0.0 0.0 0.2 0.0 0.3 0.0 -0.1 0.3 -0.2 0.6 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.3 -0.2 -1.4 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.7 -0.5 -0.6 -0.6 -0.2 -0.1 0.3 -0.3 0.4 CAD -0.1 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 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.0 0.1 -0.3 -0.4 -0.3 -0.0 -0.3 -0.1 -0.2 CANOLA -0.6 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.0 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.0 -0.3 -0.1 0.2 -0.4 -0.6 0.0 -0.2 CHF 0.6 0.5 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.4 0.2 -0.5 0.2 -0.1 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.2 -0.3 0.2 0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 -1.1 0.5 0.6 0.3 -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 0.0 0.2 0.0 0.0 0.4 0.3 0.4 0.4 0.1 0.1 0.0 0.2 0.1 -2.2 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 0.3 0.6 -0.1 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 0.1 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 0.4 0.6 -0.1 0.6 0.2 -0.5 0.5 -0.1 COPPER -0.6 -0.3 0.5 -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 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -1.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 0.1 -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 -0.0 -0.3 -0.1 -1.9 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.5 0.2 0.2 0.2 -0.7 -0.7 -0.7 -0.0 COTTON2 -0.2 -0.6 -0.6 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -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 -0.1 -0.4 0.4 -0.0 CRUDE_W 0.0 -0.4 -0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 0.1 0.2 0.5 0.0 -0.0 0.2 0.2 0.3 0.3 -0.0 0.0 0.2 0.2 0.0 -0.6 -0.1 0.1 -0.0 0.0 0.1 -0.0 0.1 0.3 -0.4 -0.4 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 0.4 -0.2 0.6 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.5 -0.1 1.5 0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.5 -0.5 -0.6 -0.5 0.4 0.1 0.2 -0.1 0.3 DOW -0.5 -0.1 -0.4 0.0 0.0 0.2 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 -0.0 0.3 -0.0 -1.7 0.0 0.0 0.1 -0.0 0.3 -0.0 -0.5 -0.2 -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 0.5 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.0 0.1 0.1 0.2 0.0 0.9 0.5 0.4 -0.4 0.5 -0.0 0.3 -0.0 0.5 EUR -0.2 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.5 -0.5 -0.1 0.1 -0.4 -0.7 -0.4 -0.5 EURIBOR-ICE 0.4 -0.1 -0.5 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 -0.1 -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 -0.1 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 0.6 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 0.0 0.1 -0.2 0.5 -0.1 -0.3 0.0 -0.1 0.2 -0.1 0.4 -0.1 0.3 -0.5 -0.6 -0.5 0.3 -0.4 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 0.1 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 0.2 -0.4 -0.3 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 0.0 0.2 0.4 0.0 -0.1 -0.0 0.3 0.0 0.2 -0.1 -0.0 0.2 0.2 0.1 0.8 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 0.3 0.3 -0.1 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE -0.2 -0.6 -0.1 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 0.2 0.1 0.5 -0.1 -0.1 0.4 0.3 0.4 0.3 -0.1 0.0 0.1 0.3 -0.1 -2.7 -0.1 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.1 -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 0.1 -0.0 0.0 0.1 -0.0 -0.0 -0.3 0.0 -0.5 0.1 0.1 -0.3 -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 -0.3 0.4 0.6 0.1 -0.1 -0.2 -0.3 -0.4 GBP 0.0 0.3 -0.1 -0.0 -0.0 -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 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.1 0.2 0.5 0.5 -0.2 -0.7 -0.2 -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 -0.0 0.6 -0.0 -0.4 0.2 -0.1 HEATOIL 0.2 -0.4 -0.3 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.2 0.2 0.2 0.0 -0.1 -0.2 0.2 -0.1 0.1 -0.1 -0.1 0.2 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 0.6 -0.1 -0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 0.0 0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.1 0.1 -0.1 0.0 -1.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.1 0.3 0.0 -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 -0.4 -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 -0.2 -0.2 -0.6 -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 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 0.4 -0.4 0.0 -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 -0.2 -0.6 -0.6 -0.6 -0.4 -0.3 -0.2 0.2 LIVECOW 0.1 0.4 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 0.3 0.1 0.1 0.2 0.1 0.4 0.2 0.4 0.4 0.1 0.1 0.2 0.1 0.2 -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 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.2 -0.1 NaN -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -1.2 0.6 -0.3 -0.7 -0.7 -0.4 -0.4 -0.1 -0.3 MILK -0.0 0.6 0.6 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.2 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.3 -0.4 0.2 0.1 0.0 -0.1 0.1 1.9 0.0 -0.0 0.1 0.0 -0.0 0.0 -1.1 0.2 0.6 0.6 0.5 -0.5 -0.7 -0.3 -0.7 MXP -0.6 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 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 -0.3 -0.6 -0.6 -0.1 0.6 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 -0.0 0.0 0.0 0.2 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 0.1 -0.1 0.1 -0.2 0.1 NIKKEI -0.1 -0.2 -0.2 0.0 0.0 0.2 0.0 0.3 0.0 -0.1 0.3 -0.0 0.6 0.1 -0.0 0.2 0.2 0.1 0.2 0.0 0.2 -0.1 0.5 -0.0 -2.6 0.0 -0.1 0.2 -0.1 0.6 -0.0 1.1 -0.3 -0.1 -0.5 -0.4 -0.1 -0.3 -0.3 -0.4 NZD 0.1 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 0.1 -0.0 0.0 0.0 0.3 -0.1 0.2 0.5 0.1 0.1 -0.2 0.2 0.1 OAT -0.1 -0.2 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 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 -0.5 -0.0 -0.7 -0.6 -0.1 -0.1 OATIES -0.6 0.2 0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 0.0 0.0 0.1 -0.1 -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 -0.3 0.2 0.0 -0.1 -0.0 0.2 0.4 OJ -0.6 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 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 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 0.9 0.0 0.1 0.6 0.6 0.2 0.3 0.6 0.7 PALLAD -0.5 -0.2 -0.1 -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 0.1 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 0.0 -0.0 0.3 0.0 -0.7 -0.3 0.0 0.2 REDWHEAT -0.6 0.5 0.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.2 -0.3 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 0.0 0.0 -0.2 -0.1 -0.2 -0.8 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.5 -0.5 -0.5 0.6 0.5 -0.5 -0.7 -0.1 -0.6 RICE -0.2 0.5 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.4 0.1 -1.7 0.0 0.1 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 0.5 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.1 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 -0.0 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 -0.0 0.1 -0.0 -0.0 -0.5 -0.5 -0.3 -0.4 -0.0 -0.7 -0.0 -0.7 SHATZ 0.6 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.2 0.1 0.9 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.2 0.1 -0.3 -0.2 -0.7 -0.6 -0.5 -0.4 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 0.1 0.3 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 0.0 0.6 0.2 0.2 -0.1 0.0 -0.0 0.0 0.2 0.2 0.0 0.5 0.2 1.9 0.1 -0.0 0.2 0.0 0.2 0.0 0.7 -0.2 0.4 0.6 0.6 0.3 0.1 0.2 -0.0 SOFR 0.5 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 0.1 -0.6 0.5 0.0 SOYBEAN -0.6 0.1 0.2 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.1 -0.1 -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 0.3 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 0.1 0.0 0.6 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.1 0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.4 0.0 -0.3 -0.2 -0.5 -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 -0.1 -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 -0.4 -0.5 -0.3 -0.1 0.0 -0.3 0.0 -0.7 SP500_micro 0.4 0.6 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 0.2 -0.0 0.1 -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 0.0 -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 -0.1 0.1 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 0.1 0.1 -0.1 0.2 0.2 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 0.1 -0.2 0.1 -0.3 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.0 1.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.1 -0.1 -0.1 -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 0.5 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 0.5 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -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 0.0 -0.1 0.0 -0.4 -0.0 -0.6 -0.1 0.3 -0.9 -0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -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 0.5 0.6 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 -0.2 -0.0 0.0 -0.3 -0.3 -0.3 -0.3 0.0 0.0 -0.2 -0.1 -0.1 0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -1.1 -0.5 -0.6 0.6 0.4 -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 -2.3 8.0 4.5 -0.0 -2.1 -0.5 -2.1 0.9 -0.2 11.1 -0.5 5.1 -5.3 10.1 11.2 -2.4 -2.8 -2.6 -2.7 4.4 2.6 3.2 -1.6 3.3 3.4 3.0 5.5 2.4 2.1 0.1 1.9 -0.0 10.9 -0.5 7.5 9.5 -0.6 -6.8 1.3 -0.8 BITCOIN -6.0 -1.2 5.3 -2.5 -0.8 1.3 -6.4 1.7 -7.1 -18.4 16.3 -18.6 18.8 7.0 5.8 -7.5 -7.4 -7.5 -7.7 7.6 20.0 -19.3 20.0 -6.4 -20.0 4.5 -9.4 14.0 -8.6 19.7 -3.1 -3.7 -20.0 20.0 14.2 20.0 -16.7 -3.7 2.4 1.4 BOBL 13.5 1.9 -6.4 0.7 2.8 -0.7 3.6 -1.3 2.6 5.2 -6.6 5.1 -5.4 2.0 -4.2 -19.9 -7.9 -7.0 -6.6 -2.1 -4.5 8.6 -4.9 3.5 3.9 -0.7 4.4 -1.6 4.5 -1.6 1.8 -6.4 5.1 -1.9 -8.4 -2.1 -20.0 -15.7 -6.2 -10.0 BTP -5.4 -6.5 -9.4 1.1 4.7 -1.1 6.0 -2.3 4.3 2.4 6.4 -0.5 8.3 -4.2 -7.3 0.3 5.1 2.5 3.7 -3.1 0.9 -1.2 4.3 -3.5 -20.0 -2.1 0.0 1.7 -1.1 4.5 -3.0 14.1 -20.0 -20.0 -15.0 7.7 -14.8 -11.4 3.9 2.4 BUND 10.2 1.4 -4.5 0.7 3.0 -0.7 3.9 -1.5 2.8 5.8 -4.9 5.6 -2.8 2.4 -3.5 1.3 -0.8 -3.2 -3.2 -1.2 -2.9 8.5 -3.4 3.6 1.4 -0.2 5.2 -0.8 5.1 -0.8 2.2 3.0 3.5 -3.0 -7.8 1.4 -20.0 -18.9 -4.6 -10.8 BUXL 8.5 -0.0 -1.2 0.8 3.5 -0.8 4.5 -1.7 3.2 6.5 -3.2 6.0 -2.5 2.3 -3.8 -3.0 -3.1 -5.1 -4.6 -1.2 -2.6 9.1 -3.7 3.6 -2.1 -0.1 6.2 -0.3 5.8 -0.4 2.3 -0.6 3.7 -4.1 -9.7 3.9 -20.0 -20.0 -14.0 -8.8 CAC -20.0 -18.2 -14.8 4.5 0.8 7.1 1.8 8.2 2.9 -12.8 12.6 -15.4 15.7 -13.3 -4.6 -7.0 0.7 -0.1 1.6 -9.8 4.7 -20.0 12.7 -20.0 -10.7 -2.7 -8.6 2.6 -11.1 4.9 -8.4 13.1 -20.0 -20.0 -20.0 -4.8 -3.0 7.6 -9.6 10.8 CAD -2.3 0.2 -6.8 -0.0 -2.7 -0.6 -2.7 1.2 -0.2 -1.5 -16.4 -10.6 -14.8 -11.2 -13.4 -4.1 -2.7 -3.5 -3.0 -8.5 -9.9 -3.5 -10.3 -6.5 -0.8 -6.3 1.8 -6.7 -2.8 -6.6 -5.3 -0.2 6.0 -9.3 -12.5 -10.5 -0.8 -9.1 -4.0 -5.9 CANOLA -20.0 4.2 20.0 -1.3 -1.5 -0.1 -3.5 -0.2 -3.1 -5.8 -3.5 -8.0 -6.1 -6.2 -0.1 -12.9 -9.4 -14.3 -13.5 -3.9 -3.0 -11.2 -6.5 -9.2 -19.9 -1.6 -2.1 -1.4 -3.8 -2.7 -3.3 -20.0 -0.7 -10.0 -2.5 5.2 -11.0 -16.5 1.4 -5.0 CHF 20.0 14.5 -16.2 -0.0 -2.3 -0.5 -2.2 1.0 -0.2 16.4 -15.3 17.8 -13.6 15.5 -4.8 -16.6 -16.3 -16.8 -16.5 2.1 -11.9 20.0 -12.7 17.2 4.2 1.4 9.0 -3.4 9.0 -3.6 7.0 -20.0 20.0 20.0 9.1 -19.4 3.5 -15.0 2.2 -12.3 COCOA 20.0 -5.2 -4.2 -0.9 -2.8 0.0 -3.3 -0.1 -2.4 -0.1 3.8 4.5 4.8 1.8 2.8 19.9 15.8 20.0 20.0 6.0 7.9 5.2 8.6 6.2 -16.7 2.0 -0.0 4.0 0.7 5.3 1.0 20.0 13.6 19.5 -4.4 20.0 9.1 2.5 12.8 7.7 COFFEE 11.0 1.4 13.0 -2.3 -7.2 0.0 -8.6 -0.2 -6.3 -2.9 11.7 6.4 11.1 10.0 9.6 1.4 7.3 5.5 7.4 16.2 17.6 5.0 14.4 11.4 -20.0 4.3 0.5 6.5 0.3 6.2 1.6 9.9 15.2 20.0 -2.0 20.0 5.1 -13.5 15.8 -4.0 COPPER -20.0 -9.6 16.8 -0.7 -1.2 0.5 -2.6 0.6 -2.4 -4.7 4.4 -6.7 3.7 -5.4 2.2 1.8 -3.0 0.3 -1.6 2.5 6.4 -5.5 5.4 -3.7 -7.6 1.2 -0.7 2.5 -1.4 2.1 -0.8 5.0 2.7 -4.3 11.1 14.4 -2.9 -1.2 10.9 7.7 CORN -14.4 5.7 17.9 -2.4 -7.4 0.0 -8.7 -0.3 -6.5 -0.7 -7.3 -7.4 -15.6 -8.3 -1.7 -17.0 -12.4 -18.1 -16.8 -4.4 -5.8 -4.9 -12.6 -6.4 -14.5 -1.5 -1.7 -2.8 -2.0 -6.5 -2.6 -20.0 20.0 6.0 7.0 5.2 -20.0 -20.0 -20.0 -1.1 COTTON2 -6.1 -18.3 -20.0 -1.6 -5.1 0.0 -6.0 -0.2 -4.4 -1.5 -10.6 -10.3 -7.2 -11.3 -12.1 -6.7 1.9 -0.0 1.6 -16.5 -13.7 -7.2 -7.6 -12.8 -20.0 -3.8 0.1 -2.2 -1.7 -0.2 -3.2 -0.3 10.0 1.2 -19.1 -19.3 -4.5 -10.8 10.9 -0.6 CRUDE_W 0.8 -13.4 -2.3 -3.4 9.7 -0.7 4.7 2.2 -1.6 20.0 4.4 16.1 13.6 1.6 -2.1 11.1 12.0 12.7 12.5 -1.7 2.7 19.2 9.0 4.1 -4.7 -4.8 9.6 -1.4 4.2 2.4 -2.9 1.6 11.8 -11.6 -13.8 0.0 20.0 17.5 20.0 20.0 DAX -20.0 -6.6 -6.3 4.5 0.8 7.0 1.7 8.1 2.9 -14.7 16.0 -16.0 17.2 -9.0 2.7 -10.3 -11.5 -11.1 -11.7 0.9 13.5 -20.0 19.0 -12.9 11.4 1.2 -7.8 7.7 -8.8 9.8 -5.4 -9.0 -20.0 -20.0 -15.8 13.1 1.8 5.5 -3.4 10.4 DOW -14.9 -1.9 -13.9 3.8 1.9 5.8 1.8 6.7 2.5 5.8 11.1 -5.2 12.5 -4.1 -3.7 -10.5 -11.2 -11.2 -11.5 -2.0 5.5 -2.1 12.7 -4.5 -12.7 0.3 2.1 4.5 -0.6 8.2 -1.5 -8.5 -9.4 -19.7 -9.8 -13.6 8.3 -3.7 12.2 -8.2 DX 1.0 -7.9 6.7 -0.0 -2.2 -0.5 -2.1 1.0 -0.2 11.3 12.9 13.5 12.6 0.8 9.1 7.2 6.9 7.4 7.1 5.1 7.4 9.0 8.2 6.0 -20.0 3.1 3.0 4.2 5.4 4.8 3.7 16.8 20.0 13.1 -13.1 16.4 -0.8 8.1 -0.0 14.7 EUR -6.7 5.7 -3.5 -0.0 -2.4 -0.6 -2.3 1.0 -0.2 -11.7 -8.9 -13.9 -9.0 -5.5 -4.1 -7.2 -7.0 -7.3 -7.0 -4.1 -4.0 -12.6 -4.5 -8.5 20.0 -1.9 -5.2 -0.8 -8.7 -0.8 -5.7 -7.3 -20.0 -15.6 -2.3 1.7 -11.4 -20.0 -10.7 -15.1 EURIBOR-ICE 10.8 -2.1 -16.4 0.6 2.7 -0.6 3.4 -1.3 2.5 5.6 -3.5 5.2 -0.1 1.9 -4.8 -6.3 -4.9 -5.9 -5.0 -2.5 -3.2 6.6 -1.5 2.2 11.3 -1.2 3.2 -1.3 3.2 -0.4 1.0 -1.7 -1.0 -4.7 -8.2 -3.6 -20.0 -20.0 -2.4 6.5 EUROSTX -20.0 -10.6 -10.1 4.4 0.8 6.9 1.7 7.9 2.8 -10.6 16.9 -11.2 17.9 -5.7 3.2 -7.7 -2.2 -6.6 -4.1 1.5 13.1 -16.7 19.3 -9.8 -2.2 1.8 -7.4 8.5 -8.2 11.5 -4.7 6.2 -20.0 -20.0 -14.6 7.8 -13.4 4.0 -20.0 5.8 FEEDCOW 1.5 4.6 -10.5 -2.9 -9.0 0.0 -10.6 -0.3 -7.8 14.2 4.2 3.7 -3.0 5.3 0.1 -14.3 -20.0 -20.0 -20.0 2.1 -1.5 11.2 -0.5 6.3 -6.9 -1.1 7.5 -1.2 5.2 1.8 0.8 -20.0 20.0 15.4 7.3 -13.4 11.1 20.0 20.0 20.0 GASOIL 5.0 -13.4 -9.3 -2.4 11.8 -0.4 6.8 2.1 0.1 20.0 0.3 18.3 12.1 3.1 -10.4 -2.5 13.7 1.3 7.6 -6.4 -3.2 20.0 7.2 5.0 6.2 -3.2 13.5 -1.9 9.3 2.1 1.5 0.1 13.7 8.0 -2.2 -10.5 -19.8 -12.2 -20.0 -20.0 GASOLINE -4.6 -19.1 -2.9 -3.2 9.1 -0.6 4.4 2.1 -1.5 19.7 6.0 7.3 13.3 -10.1 -9.8 17.6 14.3 17.8 14.1 -8.6 0.3 8.8 9.5 -5.4 -20.0 -5.0 7.8 -1.2 2.4 3.1 -3.6 3.8 -5.9 -8.0 -14.2 -1.2 20.0 20.0 20.0 20.0 GAS_US_mini 3.6 20.0 20.0 -2.2 6.3 -0.4 3.0 1.4 -1.0 -2.7 -9.3 3.2 -13.1 8.7 7.3 -17.4 -20.0 -20.0 -20.0 8.3 -1.2 4.4 -14.6 9.6 20.0 3.3 -0.5 -0.6 1.7 -4.2 3.9 -20.0 -13.4 13.3 20.0 2.9 -2.3 -5.9 -7.8 -11.4 GBP 1.2 10.3 -2.3 -0.0 -2.8 -0.7 -2.7 1.2 -0.2 -11.8 14.3 -9.7 5.7 16.2 12.1 -1.0 -0.8 -1.0 -0.9 8.9 6.3 -3.1 5.1 6.0 1.3 6.0 -3.6 5.3 -2.0 4.1 3.4 3.3 -2.2 5.3 16.8 14.1 -6.3 -20.0 -7.2 -10.3 GOLD_micro -18.6 -12.9 10.8 -0.9 -1.5 0.6 -3.3 0.7 -3.0 -2.5 7.0 -5.4 7.6 -5.9 5.3 -10.6 -13.7 -11.9 -12.9 2.7 8.2 -2.8 8.8 -2.6 -2.7 0.8 -0.1 3.6 -1.4 4.1 -1.6 -13.8 6.4 4.1 -1.5 18.7 -1.0 -10.7 6.7 -3.6 HEATOIL 5.8 -12.6 -9.3 -3.2 9.2 -0.6 4.5 2.1 -1.5 20.0 -7.6 17.1 6.2 0.5 -12.0 -9.1 12.5 -3.9 4.3 -9.4 -7.3 20.0 2.0 2.0 -20.0 -5.6 8.8 -3.5 4.6 0.8 -2.3 -3.9 16.2 -8.0 -15.0 -19.8 4.2 6.6 -2.4 1.1 JGB-SGX-mini 19.3 -4.5 -16.3 0.7 3.1 -0.7 3.9 -1.5 2.8 6.8 -2.8 7.3 0.0 3.1 -4.6 20.0 18.1 20.0 18.1 -2.9 -4.7 11.2 -2.1 4.5 -8.6 -1.4 3.9 -2.2 4.2 -1.6 1.6 20.0 11.6 1.1 -9.1 -8.6 -14.3 -5.1 -1.7 15.6 JPY 2.1 -9.1 -10.1 -0.0 -1.4 -0.3 -1.4 0.6 -0.1 -11.4 -13.0 -11.8 -13.2 -11.9 -12.6 -14.5 -16.2 -15.2 -15.7 -12.5 -16.6 -8.0 -20.0 -8.7 20.0 -4.6 -3.2 -6.0 -3.0 -6.9 -3.1 -20.0 -6.9 -7.1 -17.0 -18.3 -19.1 -10.9 -17.8 -10.7 LEANHOG -20.0 -20.0 -3.2 -3.0 -9.3 0.0 -11.0 -0.3 -8.1 5.2 -5.4 -15.1 -5.4 -20.0 -19.6 20.0 -20.0 0.1 -20.0 -20.0 -15.9 -20.0 -8.0 -20.0 6.7 -6.8 0.5 -2.6 -4.7 -0.8 -7.9 -20.0 -7.2 -20.0 -20.0 -18.3 -13.0 -9.9 -7.2 6.0 LIVECOW 3.6 10.9 -3.1 -2.9 -9.1 0.0 -10.8 -0.3 -8.0 14.1 9.6 11.8 2.2 15.5 8.6 20.0 11.5 20.0 19.9 10.9 5.7 19.1 3.8 14.9 -8.0 5.6 11.0 4.3 9.6 4.8 7.0 20.0 20.0 20.0 20.0 8.4 9.7 20.0 17.4 20.0 LUMBER-new -0.2 -8.4 -19.4 -1.8 -5.6 0.0 -6.6 -0.0 -4.9 2.5 -9.9 -5.9 -10.0 -8.3 -11.8 -15.6 -17.7 -18.6 -18.4 -14.6 -12.1 -5.8 -7.6 -11.7 NaN -4.5 0.3 -3.7 -1.7 -2.1 -3.5 -20.0 20.0 -8.1 -18.1 -20.0 -11.6 -11.0 -2.2 -7.0 MILK -1.0 20.0 20.0 -1.7 -5.3 0.0 -6.3 -0.2 -4.7 -7.3 6.4 3.2 -5.4 9.8 11.4 -18.3 -20.0 -15.4 -20.0 16.2 9.5 3.1 -2.1 13.0 14.0 4.1 -2.1 2.3 0.9 -0.6 3.4 -20.0 6.6 20.0 20.0 16.1 -14.2 -20.0 -10.1 -20.0 MXP -20.0 -20.0 -20.0 -0.0 -1.0 -0.2 -1.0 0.5 -0.1 -4.1 0.7 -7.0 6.0 -7.2 -5.2 10.8 16.3 14.1 15.2 -9.0 -2.3 -11.4 2.9 -13.9 -20.0 -2.3 -0.8 -0.5 -2.9 0.9 -3.6 20.0 -13.3 -20.0 -20.0 -2.0 19.1 18.0 20.0 20.0 NASDAQ_micro 20.0 20.0 -0.6 3.6 1.8 5.6 1.7 6.4 2.4 14.4 15.9 15.8 15.9 16.1 15.3 -11.4 -10.6 -11.2 -11.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.1 7.8 4.5 8.1 5.5 6.9 -7.5 20.0 20.0 20.0 2.0 -2.4 2.4 -6.2 2.3 NIKKEI -3.6 -7.1 -5.6 4.5 0.8 7.0 1.7 8.1 2.9 -7.7 12.6 -4.2 16.3 4.8 -2.1 11.3 9.1 7.5 7.6 2.8 14.1 -7.0 20.0 -2.0 -19.2 1.3 -6.6 8.5 -4.7 16.2 -1.7 20.0 -13.8 -4.4 -15.8 -10.9 -2.5 -7.7 -9.3 -12.1 NZD 3.4 15.1 -0.5 -0.0 -1.9 -0.4 -1.9 0.8 -0.2 -7.6 1.7 -1.2 -1.6 12.0 10.6 0.2 0.2 0.1 0.2 7.5 3.3 -0.2 -0.6 6.5 0.7 3.8 -2.5 2.0 -0.4 0.4 3.0 5.0 -3.6 7.5 14.2 3.2 3.2 -4.9 6.1 3.5 OAT -4.5 -5.6 -9.8 0.8 3.4 -0.8 4.4 -1.6 3.1 -1.6 -4.8 -3.4 -1.9 -5.8 -8.0 -0.1 5.3 3.0 4.0 -6.4 -4.8 -3.2 -3.5 -5.6 1.8 -3.0 -0.5 -1.6 -1.9 -0.7 -3.1 14.6 -20.0 -19.1 -15.0 -1.0 -20.0 -18.6 -2.9 -3.4 OATIES -20.0 5.2 10.0 -1.2 -3.6 0.0 -4.3 -0.1 -3.2 -7.7 -3.4 -8.6 -6.3 -7.0 -3.0 -5.4 1.2 2.4 3.2 -5.0 -2.3 -18.6 -3.0 -12.7 -20.0 -0.7 -4.7 0.1 -4.7 -0.3 -2.9 0.3 -20.0 -10.1 5.2 1.3 -4.1 -1.3 7.0 11.9 OJ -20.0 9.1 -1.7 -1.9 -5.8 0.0 -6.8 -0.2 -5.0 -5.9 9.4 -8.8 11.7 3.4 7.1 9.8 13.0 10.5 10.6 14.1 16.0 -5.3 17.1 4.4 -20.0 3.3 -1.4 3.9 -1.1 5.0 1.1 17.1 0.2 2.1 20.0 20.0 5.0 9.0 19.2 20.0 PALLAD -16.4 -7.5 -2.1 -0.9 -1.5 0.6 -3.2 0.7 -3.0 -8.3 -6.6 -9.6 -8.6 -9.6 -7.5 -2.7 -2.3 -2.5 -2.3 -7.9 -7.0 -8.1 -11.4 -9.5 14.5 -3.0 -1.6 -2.2 -2.9 -2.6 -3.7 5.4 3.3 2.2 -7.9 -10.6 -20.0 -20.0 -20.0 -17.6 PLAT -20.0 7.0 11.3 -1.1 -1.7 0.7 -3.8 0.8 -3.5 -2.7 2.5 -8.6 -3.4 -3.1 0.6 -5.2 -4.1 -5.0 -4.6 1.1 3.6 -7.2 1.4 -5.6 7.7 -0.1 -0.0 1.3 -2.7 1.0 -2.6 1.8 1.2 -0.4 9.9 0.7 -20.0 -8.0 0.0 4.5 REDWHEAT -20.0 14.6 20.0 -2.0 -6.1 0.0 -7.2 -0.2 -5.3 -13.2 3.2 -14.2 -8.8 -5.2 3.6 -11.2 -3.1 -8.5 -5.5 2.1 4.1 -20.0 -4.8 -14.4 -6.3 0.6 -8.2 1.2 -7.4 -0.9 -3.6 -10.1 -20.0 -16.0 18.7 14.8 -13.9 -20.0 -4.3 -17.7 RICE -7.4 14.6 0.2 -2.7 -8.4 0.0 -9.9 -0.3 -7.3 14.8 16.4 5.8 16.0 12.4 18.3 20.0 20.0 20.0 20.0 15.5 17.1 7.9 16.5 9.5 -13.1 4.5 6.2 3.8 3.5 3.2 3.5 20.0 20.0 20.0 20.0 0.7 -10.2 -5.7 -9.3 -1.7 ROBUSTA 15.2 -0.0 -5.5 -1.4 -1.7 -0.1 -3.9 -0.2 -3.5 -6.4 8.2 1.7 8.9 5.2 6.7 17.5 20.0 18.9 20.0 13.1 16.6 1.0 17.5 8.0 -20.0 3.2 -0.5 5.4 -0.2 6.3 1.2 20.0 -5.4 20.0 4.7 20.0 0.9 -9.2 8.5 3.9 RUSSELL -11.6 -0.1 -2.3 3.7 1.8 5.7 1.8 6.5 2.4 -5.5 10.3 -10.2 10.4 -2.2 -1.2 -7.1 -6.7 -7.1 -6.9 -1.6 3.4 -7.9 5.9 -6.0 -1.6 -0.4 -2.7 2.6 -4.0 4.1 -3.0 -0.5 -19.7 -15.9 -10.2 -11.4 -0.6 -20.0 -1.5 -20.0 SHATZ 20.0 9.0 -3.8 0.6 2.7 -0.7 3.5 -1.3 2.5 4.8 -7.6 5.0 -7.9 2.1 -4.2 -20.0 -20.0 -20.0 -20.0 -2.2 -6.8 10.7 -8.8 5.1 7.0 -0.8 4.1 -2.3 4.5 -2.6 2.1 -20.0 10.3 2.7 -8.3 -7.3 -20.0 -17.1 -16.3 -13.2 SILVER-mini -15.9 0.8 17.2 -0.8 -1.3 0.5 -2.9 0.6 -2.6 -4.6 5.9 -6.1 5.0 1.2 5.2 -5.4 -6.6 -6.1 -6.4 5.5 7.2 -3.0 5.3 0.3 1.7 1.6 -0.5 2.8 -1.3 2.4 -0.6 -1.8 5.8 4.0 8.1 14.3 -6.4 -11.2 6.7 3.8 SMI -0.7 20.0 10.7 4.5 0.8 6.9 1.7 8.0 2.8 -11.6 18.0 3.8 16.0 14.5 15.9 -3.6 2.0 -2.2 0.2 20.0 20.0 2.8 17.1 15.4 14.4 6.6 -0.7 7.3 0.7 5.8 3.9 13.5 -10.0 11.2 19.1 17.5 8.9 1.8 5.6 -0.2 SOFR 15.1 14.9 -5.8 0.6 4.6 -1.0 4.8 -1.7 3.1 8.4 -2.3 8.9 -3.4 8.4 0.4 -3.2 -1.3 -3.0 -2.1 2.9 -1.9 10.3 -4.0 8.3 -2.6 2.2 3.3 0.4 4.0 -0.4 3.8 3.8 -1.9 6.2 8.3 3.3 1.6 -18.3 14.3 0.5 SOYBEAN -20.0 1.9 6.1 -2.4 -7.4 0.0 -8.7 -0.3 -6.4 -14.4 -10.0 -16.5 -6.5 -14.7 -5.5 -1.3 7.5 -0.1 2.5 -10.0 -7.2 -20.0 -8.5 -17.9 -20.0 -3.2 -8.3 -1.9 -8.1 -2.0 -6.4 5.4 1.8 -13.8 0.7 4.5 -20.0 -20.0 -16.1 -20.0 SOYMEAL -20.0 9.6 11.4 -1.9 -5.9 0.0 -7.0 -0.2 -5.2 -11.4 -8.6 -13.2 -8.9 -8.3 -1.4 4.9 5.9 2.4 2.3 -2.5 -2.9 -14.2 -6.0 -9.4 -20.0 1.3 -5.8 0.8 -4.5 -0.6 -1.7 3.7 5.5 1.4 18.0 12.2 -20.0 -20.0 -20.0 -20.0 SOYOIL -4.5 1.3 -0.4 -1.6 -5.0 0.0 -6.0 -0.2 -4.4 1.0 -10.2 -7.8 -10.7 -6.7 -8.7 -0.1 -0.6 -3.7 -3.7 -7.5 -9.7 -3.7 -11.4 -6.2 -20.0 -3.6 0.7 -3.4 -1.6 -3.1 -3.1 -7.1 14.6 0.2 -9.4 -6.8 -16.4 -19.6 -1.9 0.1 SP400 -16.4 -4.9 -3.0 3.8 1.9 5.9 1.8 6.7 2.5 1.3 11.7 -9.3 12.3 -4.5 -1.6 -7.4 -6.0 -7.1 -6.5 -1.0 7.7 -6.3 12.3 -6.7 -12.6 0.5 -0.2 4.6 -2.6 6.7 -2.4 0.5 -15.8 -16.5 -10.1 -2.3 0.2 -9.9 0.6 -20.0 SP500_micro 11.7 17.1 1.5 4.8 2.4 7.4 2.3 8.5 3.2 18.9 20.0 20.0 20.0 20.0 20.0 -13.6 -12.2 -13.1 -12.8 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 9.8 7.9 9.5 9.3 8.3 -10.3 20.0 20.0 20.0 8.9 4.6 -0.4 3.9 -0.5 SUGAR11 18.4 -1.8 -19.7 -2.2 -6.9 0.0 -8.1 -0.2 -6.0 -1.4 -15.1 6.4 -8.3 -1.0 -12.2 0.4 11.8 3.0 7.2 -11.8 -18.0 5.3 -11.8 -0.1 -20.0 -4.5 -0.2 -6.2 1.5 -3.9 -0.7 13.7 20.0 20.0 -11.2 -20.0 15.2 18.7 20.0 20.0 US10 13.5 13.4 -1.6 0.5 4.0 -0.8 4.1 -1.5 2.7 7.2 -2.7 7.6 -5.0 6.9 -0.6 -7.2 -7.3 -6.7 -6.9 1.7 -2.4 8.1 -5.4 6.1 2.4 1.8 2.9 0.2 3.5 -0.9 3.3 -5.8 -2.6 4.6 5.6 2.8 -3.1 -19.6 8.2 1.9 US10U 13.7 14.1 -0.5 0.8 5.6 -1.2 5.8 -2.1 3.8 10.1 -3.6 10.6 -6.7 9.8 -0.4 -4.9 -2.4 -4.8 -3.7 2.5 -3.2 11.4 -7.7 8.6 0.3 2.7 4.3 0.5 5.0 -1.2 4.7 1.5 -3.5 6.3 7.6 4.7 -2.9 -15.9 18.9 9.2 US2 16.1 10.3 -7.5 0.5 4.0 -0.8 4.1 -1.5 2.7 5.8 -7.1 6.5 -8.4 4.9 -4.7 -20.0 -20.0 -20.0 -20.0 -2.3 -7.0 5.8 -10.4 3.2 12.4 -0.5 2.3 -2.1 2.6 -3.1 1.7 -20.0 -5.3 -2.2 -1.7 -5.7 -7.6 -20.0 -2.8 -16.6 US20 12.4 14.6 0.6 0.6 4.1 -0.9 4.3 -1.5 2.7 7.5 0.0 7.9 -2.9 7.5 1.2 -0.8 -0.7 -0.6 -0.6 3.0 -0.9 9.2 -4.2 7.2 -0.9 2.5 3.1 1.1 3.6 -0.1 3.6 5.5 -0.9 7.4 8.5 6.9 -6.3 -11.4 20.0 14.8 US30 12.5 13.9 1.3 0.6 4.8 -1.0 5.0 -1.8 3.2 8.6 -1.3 9.1 -4.5 8.5 0.7 -6.1 -5.2 -4.9 -5.1 3.0 -1.5 10.7 -5.6 8.0 -0.4 2.8 4.0 1.1 4.5 -0.5 4.3 -2.3 -0.5 7.5 7.6 7.2 -11.6 -10.8 9.1 16.2 US5 14.7 13.5 -4.3 0.6 4.1 -0.9 4.3 -1.6 2.8 7.1 -5.2 7.7 -7.0 6.8 -2.0 -9.7 -10.1 -9.7 -9.8 0.7 -3.8 7.6 -6.7 5.6 5.5 1.3 2.8 -0.4 3.4 -1.4 3.1 -10.6 -3.6 2.6 4.2 0.0 -2.6 -20.0 5.3 -6.5 VIX 4.5 -13.5 0.2 -7.4 3.0 -8.7 -0.3 -10.4 -4.3 19.0 -20.0 -3.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -0.1 -20.0 -12.1 NaN -8.5 3.4 -10.1 -0.2 -12.4 -5.0 NaN NaN NaN NaN NaN -19.2 -20.0 NaN NaN WHEAT -20.0 14.1 20.0 -1.7 -5.3 0.0 -6.3 -0.2 -4.7 -11.6 4.6 -12.4 -6.2 -4.3 3.8 -15.3 -14.1 -16.1 -15.4 1.5 4.5 -20.0 -2.8 -12.9 0.7 0.8 -6.3 1.4 -5.7 -0.2 -2.7 -20.0 -20.0 -17.3 19.0 13.3 -11.8 -20.0 -7.7 -20.0 End of report for caleb_strategy_v3