******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240621_204006 produced at 2024-06-21 21:38:15.916822 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -65.88 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.66 -0.14 0.0 0.82 -0.82 -0.66 -0.66 -1.76 10.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.68 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.68 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.11 -0.10 0.0 0.12 -0.12 -0.11 -0.11 -10.95 13.0 -11 -11 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.10 0.0 0.66 -0.66 -0.05 -0.05 -4.36 29.0 -2 -2 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.10 0.0 0.42 -0.42 -0.07 -0.07 -4.18 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 -2.19 10.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.08 0.0 0.59 -0.59 -0.04 -0.04 -1.80 14.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.08 0.0 0.39 -0.39 -0.04 -0.04 -2.16 10.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.09 -0.06 0.0 0.51 -0.51 -0.09 -0.09 -7.43 60.0 -10 -10 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.06 0.0 0.09 -0.09 -0.06 -0.05 -7.81 12.0 -8 -7 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.19 -0.19 0.00 0.00 -0.50 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 -17.07 51.0 -9 -9 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.04 0.0 0.10 -0.10 0.00 0.00 -1.09 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.06 -0.04 0.0 0.22 -0.22 -0.06 -0.06 -11.70 68.0 -18 -18 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.04 0.0 0.27 -0.27 -0.01 -0.01 -4.84 36.0 -1 -1 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 CHF False False 0.04 -0.09 -0.04 0.0 0.58 -0.58 -0.09 -0.09 -0.96 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 -7.16 3.0 -1 -1 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 BOBL False False 0.04 0.00 -0.03 0.0 0.75 -0.75 0.00 0.00 -0.85 19.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.03 0.0 0.12 -0.12 -0.09 -0.09 -1.61 7.0 -5 -5 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.41 -0.41 0.00 0.00 -5.13 66.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.02 -0.02 0.0 0.33 -0.33 0.02 0.02 -1.13 20.0 1 1 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.46 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 -0.60 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 -1.36 8.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -1.52 9.0 -2 -2 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.01 0.0 0.41 -0.41 -0.02 -0.01 -1.94 56.0 -3 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.32 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 -7.40 59.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.45 -0.45 -0.04 -0.04 -0.23 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.19 4.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.01 0.0 0.33 -0.33 -0.08 -0.04 -0.26 8.0 -2 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.08 -0.08 -0.01 -0.01 -1.79 10.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.30 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.01 -0.00 0.0 0.06 -0.06 0.01 0.01 -0.25 26.0 6 4 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.12 -0.12 -0.01 -0.01 -0.59 18.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 0.00 0.0 0.10 -0.10 -0.02 -0.02 0.05 4.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.27 10.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.03 0.00 0.0 999.00 -999.00 0.03 0.03 0.09 999999999.0 1 1 caleb_strategy_v3 US5 False False 0.03 -0.07 -0.00 0.0 0.84 -0.84 -0.07 -0.07 -0.14 25.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 0.02 0.00 0.0 0.36 -0.36 0.02 0.02 0.37 58.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.56 3.0 1 1 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.21 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.30 -0.30 0.03 0.03 0.68 23.0 2 2 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.70 -0.70 0.00 0.00 0.28 26.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.01 0.0 999.00 -999.00 0.03 0.03 0.45 999999999.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.04 0.01 0.0 0.24 -0.24 0.04 0.04 0.19 6.0 1 1 caleb_strategy_v3 GBP False False 0.02 0.00 0.01 0.0 0.55 -0.55 0.00 0.00 0.45 22.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 0.01 0.0 0.59 -0.59 0.00 0.00 0.21 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.07 0.02 0.0 0.47 -0.47 0.07 0.07 0.50 13.0 2 2 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.50 9.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.10 0.03 0.0 0.40 -0.40 0.10 0.10 1.24 19.0 5 5 caleb_strategy_v3 NZD False False 0.02 0.04 0.03 0.0 0.40 -0.40 0.04 0.04 1.82 21.0 2 2 caleb_strategy_v3 RICE False True 0.01 0.00 0.04 0.0 0.00 0.00 0.00 0.00 4.07 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.04 0.04 0.0 0.29 -0.29 0.04 0.04 2.80 23.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.10 0.06 0.0 0.42 -0.42 0.10 0.10 7.15 48.0 11 11 caleb_strategy_v3 DX False False 0.03 0.10 0.08 0.0 999.00 -999.00 0.10 0.13 2.44 999999999.0 3 4 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.11 0.0 0.12 -0.12 0.07 0.07 4.72 5.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.13 0.0 0.39 -0.39 0.18 0.18 5.63 17.0 8 8 caleb_strategy_v3 SMI False True 0.04 0.00 0.15 0.0 0.00 0.00 0.00 0.00 3.55 9.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 0.15 0.0 0.45 -0.45 -0.03 -0.03 5.26 16.0 -1 -1 caleb_strategy_v3 SOFR False True 0.08 0.00 0.49 0.0 0.00 0.00 0.00 0.00 6.55 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.0 Shocked risk 40.9 Sum abs risk 43.6 Leverage 3.47 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3189839.4, 'annual_cash_vol_target': 797459.85, 'daily_cash_vol_target': 49841.240625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6657 0.5882 9.4117 BITCOIN 1428.0008 64535.0000 2.2128 35.4041 BOBL 0.2885 116.8500 0.2469 3.9505 BTP 0.5956 116.5100 0.5112 8.1795 BUND 0.5890 132.5600 0.4443 7.1094 BUXL 1.4496 132.8800 1.0909 17.4544 CAC 70.9758 7653.0000 0.9274 14.8388 CAD 0.0025 0.7313 0.3427 5.4831 CANOLA 8.0791 623.8000 1.2951 20.7223 CHF 0.0051 1.1297 0.4556 7.2891 COCOA 311.5178 8575.0000 3.6329 58.1258 COFFEE 4.0913 224.8000 1.8200 29.1195 COPPER 0.0759 4.4365 1.7111 27.3771 CORN 5.3549 453.2500 1.1814 18.9032 COTTON2 1.1312 72.3300 1.5639 25.0228 CRUDE_W 1.0107 77.6200 1.3021 20.8335 DAX 139.9607 18370.0000 0.7619 12.1904 DOW 229.2648 39552.0000 0.5797 9.2745 DX 0.3771 105.4500 0.3576 5.7223 EUR 0.0045 1.0738 0.4215 6.7435 EURIBOR-ICE 0.0529 97.4600 0.0543 0.8691 EUROSTX 45.0661 4954.0000 0.9097 14.5551 FEEDCOW 1.9059 259.6250 0.7341 11.7455 GASOIL 10.5810 773.7500 1.3675 21.8798 GASOLINE 0.0356 2.4550 1.4496 23.1939 GAS_US_mini 0.1049 2.8100 3.7321 59.7136 GBP 0.0054 1.2655 0.4291 6.8653 GOLD_micro 23.0953 2335.0000 0.9891 15.8255 HEATOIL 0.0351 2.5328 1.3866 22.1856 JGB-SGX-mini 0.2417 143.5200 0.1684 2.6947 JPY 0.0000 0.0063 0.5983 9.5727 LEANHOG 1.0726 76.2000 1.4076 22.5214 LIVECOW 1.3109 183.2750 0.7153 11.4442 LUMBER-new 9.8800 469.0000 2.1066 33.7056 MILK 0.2972 20.6200 1.4415 23.0640 MXP 0.0006 0.0544 1.1717 18.7476 NASDAQ_micro 138.2504 19983.0000 0.6918 11.0694 NIKKEI 325.9868 38515.0000 0.8464 13.5422 NZD 0.0036 0.6123 0.5920 9.4718 OAT 0.5253 124.0900 0.4233 6.7733 OATIES 7.2529 315.2500 2.3007 36.8107 OJ 8.4407 422.6500 1.9971 31.9535 PALLAD 20.2534 922.5000 2.1955 35.1278 PLAT 16.2635 1007.7000 1.6139 25.8227 REDWHEAT 11.8105 603.0000 1.9586 31.3381 RICE 0.1488 15.5700 0.9556 15.2896 ROBUSTA 70.5869 4097.0000 1.7229 27.5663 RUSSELL 20.1655 2036.7000 0.9901 15.8417 SHATZ 0.0943 105.8200 0.0891 1.4261 SILVER-mini 0.6436 29.9125 2.1516 34.4261 SMI 78.1360 12069.0000 0.6474 10.3586 SOFR 0.0686 96.3800 0.0712 1.1386 SOYBEAN 10.6033 1121.0000 0.9459 15.1340 SOYMEAL 4.5476 337.7000 1.3466 21.5462 SOYOIL 0.6237 44.1900 1.4114 22.5825 SP400 23.5680 2953.4000 0.7980 12.7679 SP500_micro 29.5003 5534.0000 0.5331 8.5292 SUGAR11 0.2882 19.1700 1.5035 24.0562 US10 0.4140 110.5156 0.3746 5.9938 US10U 0.5622 114.3594 0.4916 7.8656 US2 0.1055 102.1953 0.1032 1.6516 US20 0.8290 119.8438 0.6917 11.0677 US30 1.2318 127.7500 0.9642 15.4271 US5 0.2687 106.8594 0.2515 4.0234 VIX 0.3697 16.2000 2.2819 36.5103 WHEAT 10.7240 601.0000 1.7844 28.5498 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 665.70 0.59 391.59 1.00 391.59 49841.24 127.28 3.77 47.95 BITCOIN 64.54 2.21 142.80 1.00 142.80 49841.24 349.03 -1.96 -68.32 BOBL 1168.50 0.25 288.51 1.07 309.77 49841.24 160.90 -5.21 -83.85 BTP 1165.10 0.51 595.62 1.07 639.52 49841.24 77.94 -8.12 -63.25 BUND 1325.60 0.44 589.01 1.07 632.42 49841.24 78.81 -2.87 -22.59 BUXL 1328.80 1.09 1449.59 1.07 1556.42 49841.24 32.02 -5.77 -18.48 CAC 765.30 0.93 709.76 1.07 762.07 49841.24 65.40 -7.55 -49.39 CAD 731.35 0.34 250.63 1.00 250.63 49841.24 198.87 -8.44 -167.87 CANOLA 124.76 1.30 161.58 0.73 117.82 49841.24 423.02 -16.59 -701.74 CHF 1412.12 0.46 643.32 1.00 643.32 49841.24 77.47 -4.77 -36.99 COCOA 857.50 3.63 3115.18 1.00 3115.18 49841.24 16.00 8.09 12.94 COFFEE 843.00 1.82 1534.23 1.00 1534.23 49841.24 32.49 5.42 17.61 COPPER 1109.12 1.71 1897.79 1.00 1897.79 49841.24 26.26 0.31 0.82 CORN 226.62 1.18 267.75 1.00 267.75 49841.24 186.15 -17.25 -321.07 COTTON2 361.65 1.56 565.59 1.00 565.59 49841.24 88.12 -16.23 -142.98 CRUDE_W 776.20 1.30 1010.69 1.00 1010.69 49841.24 49.31 8.83 43.56 DAX 183.70 0.76 139.96 1.07 150.28 49841.24 331.66 0.32 10.72 DOW 197.76 0.58 114.63 1.00 114.63 49841.24 434.79 -5.08 -220.73 DX 1054.50 0.36 377.14 1.00 377.14 49841.24 132.16 7.12 94.08 EUR 1342.19 0.42 565.69 1.00 565.69 49841.24 88.11 -7.88 -69.41 EURIBOR-ICE 2436.50 0.05 132.35 1.07 142.10 49841.24 350.75 -1.47 -51.56 EUROSTX 495.40 0.91 450.66 1.07 483.87 49841.24 103.00 -3.23 -33.25 FEEDCOW 1298.12 0.73 952.95 1.00 952.95 49841.24 52.30 -1.53 -7.98 GASOIL 773.75 1.37 1058.10 1.00 1058.10 49841.24 47.10 0.25 1.16 GASOLINE 1031.10 1.45 1494.70 1.00 1494.70 49841.24 33.35 3.11 10.38 GAS_US_mini 70.25 3.73 262.18 1.00 262.18 49841.24 190.10 -0.12 -2.28 GBP 790.94 0.43 339.38 1.00 339.38 49841.24 146.86 1.17 17.24 GOLD_micro 233.50 0.99 230.95 1.00 230.95 49841.24 215.81 -2.64 -56.97 HEATOIL 1063.78 1.39 1475.03 1.00 1475.03 49841.24 33.79 -7.45 -25.17 JGB-SGX-mini 143520.00 0.17 24171.66 0.01 152.89 49841.24 326.00 1.49 48.59 JPY 793.56 0.60 474.79 1.00 474.79 49841.24 104.98 -15.35 -161.14 LEANHOG 304.80 1.41 429.03 1.00 429.03 49841.24 116.17 -15.51 -180.19 LIVECOW 733.10 0.72 524.36 1.00 524.36 49841.24 95.05 17.88 169.99 LUMBER-new 128.98 2.11 271.70 1.00 271.70 49841.24 183.44 -18.23 -334.44 MILK 412.40 1.44 594.48 1.00 594.48 49841.24 83.84 1.69 14.21 MXP 271.90 1.17 318.59 1.00 318.59 49841.24 156.44 -3.24 -50.62 NASDAQ_micro 399.66 0.69 276.50 1.00 276.50 49841.24 180.26 6.68 120.39 NIKKEI 38515.00 0.85 32598.68 0.01 206.19 49841.24 241.73 -1.85 -44.68 NZD 612.35 0.59 362.50 1.00 362.50 49841.24 137.49 5.10 70.14 OAT 1240.90 0.42 525.31 1.07 564.03 49841.24 88.37 -7.25 -64.07 OATIES 157.62 2.30 362.64 1.00 362.64 49841.24 137.44 -10.35 -142.25 OJ 633.98 2.00 1266.11 1.00 1266.11 49841.24 39.37 6.63 26.10 PALLAD 922.50 2.20 2025.34 1.00 2025.34 49841.24 24.61 -7.12 -17.52 PLAT 503.85 1.61 813.17 1.00 813.17 49841.24 61.29 1.29 7.89 REDWHEAT 301.50 1.96 590.53 1.00 590.53 49841.24 84.40 -12.11 -102.20 RICE 311.40 0.96 297.57 1.00 297.57 49841.24 167.49 10.00 167.44 ROBUSTA 409.70 1.72 705.87 1.00 705.87 49841.24 70.61 8.20 57.87 RUSSELL 101.84 0.99 100.83 1.00 100.83 49841.24 494.32 -7.14 -352.95 SHATZ 1058.20 0.09 94.32 1.07 101.27 49841.24 492.16 -7.37 -362.70 SILVER-mini 747.81 2.15 1609.02 1.00 1609.02 49841.24 30.98 1.88 5.83 SMI 1206.90 0.65 781.36 1.13 884.34 49841.24 56.36 18.47 104.08 SOFR 2409.50 0.07 171.46 1.00 171.46 49841.24 290.69 3.71 107.71 SOYBEAN 560.50 0.95 530.16 1.00 530.16 49841.24 94.01 -18.43 -173.23 SOYMEAL 337.70 1.35 454.76 1.00 454.76 49841.24 109.60 -12.98 -142.30 SOYOIL 265.14 1.41 374.22 1.00 374.22 49841.24 133.19 -14.47 -192.72 SP400 2953.40 0.80 2356.80 1.00 2356.80 49841.24 21.15 -7.10 -15.01 SP500_micro 276.70 0.53 147.50 1.00 147.50 49841.24 337.90 9.11 307.73 SUGAR11 214.70 1.50 322.81 1.00 322.81 49841.24 154.40 -1.81 -27.93 US10 1105.16 0.37 414.01 1.00 414.01 49841.24 120.39 1.41 16.93 US10U 1143.59 0.49 562.19 1.00 562.19 49841.24 88.66 4.46 39.50 US2 2043.91 0.10 210.99 1.00 210.99 49841.24 236.23 -5.62 -132.76 US20 1198.44 0.69 829.00 1.00 829.00 49841.24 60.12 6.52 39.17 US30 1277.50 0.96 1231.76 1.00 1231.76 49841.24 40.46 3.73 15.11 US5 1068.59 0.25 268.71 1.00 268.71 49841.24 185.48 -0.58 -10.74 VIX 162.00 2.28 369.67 1.00 369.67 49841.24 134.83 -19.80 -266.90 WHEAT 300.50 1.78 536.20 1.00 536.20 49841.24 92.95 -12.30 -114.32 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 47.946 0.010 2.5 1.244 BITCOIN -68.324 0.043 2.5 -7.399 BOBL -83.849 0.004 2.5 -0.850 BTP -63.252 0.014 2.5 -2.157 BUND -22.594 0.004 2.5 -0.229 BUXL -18.478 0.004 2.5 -0.187 CAC -49.388 0.014 2.5 -1.685 CAD -167.865 0.010 2.5 -4.355 CANOLA -701.740 0.010 2.5 -17.072 CHF -36.989 0.010 2.5 -0.960 COCOA 12.941 0.009 2.5 0.277 COFFEE 17.607 0.005 2.5 0.206 COPPER 0.819 0.043 2.5 0.089 CORN -321.066 0.010 2.5 -7.811 COTTON2 -142.980 0.009 2.5 -3.062 CRUDE_W 43.560 0.043 2.5 4.717 DAX 10.723 0.014 2.5 0.366 DOW -220.728 0.009 2.5 -5.130 DX 94.076 0.010 2.5 2.441 EUR -69.408 0.010 2.5 -1.801 EURIBOR-ICE -51.561 0.014 2.5 -1.759 EUROSTX -33.253 0.014 2.5 -1.134 FEEDCOW -7.981 0.013 2.5 -0.264 GASOIL 1.163 0.017 2.5 0.050 GASOLINE 10.380 0.017 2.5 0.450 GAS_US_mini -2.284 0.043 2.5 -0.247 GBP 17.235 0.010 2.5 0.447 GOLD_micro -56.970 0.014 2.5 -1.943 HEATOIL -25.170 0.017 2.5 -1.091 JGB-SGX-mini 48.587 0.043 2.5 5.261 JPY -161.142 0.010 2.5 -4.181 LEANHOG -180.188 0.024 2.5 -10.951 LIVECOW 169.992 0.013 2.5 5.633 LUMBER-new -334.443 0.009 2.5 -7.160 MILK 14.207 0.009 2.5 0.304 MXP -50.623 0.059 2.5 -7.430 NASDAQ_micro 120.390 0.009 2.5 2.798 NIKKEI -44.680 0.043 2.5 -4.838 NZD 70.144 0.010 2.5 1.820 OAT -64.073 0.014 2.5 -2.185 OATIES -142.253 0.010 2.5 -3.461 OJ 26.103 0.009 2.5 0.559 PALLAD -17.519 0.014 2.5 -0.598 PLAT 7.892 0.014 2.5 0.269 REDWHEAT -102.198 0.005 2.5 -1.356 RICE 167.436 0.010 2.5 4.073 ROBUSTA 57.870 0.005 2.5 0.676 RUSSELL -352.955 0.013 2.5 -11.696 SHATZ -362.704 0.004 2.5 -3.678 SILVER-mini 5.827 0.014 2.5 0.199 SMI 104.076 0.014 2.5 3.550 SOFR 107.709 0.024 2.5 6.546 SOYBEAN -173.229 0.004 2.5 -1.611 SOYMEAL -142.302 0.004 2.5 -1.323 SOYOIL -192.722 0.004 2.5 -1.794 SP400 -15.013 0.013 2.5 -0.497 SP500_micro 307.730 0.009 2.5 7.152 SUGAR11 -27.933 0.009 2.5 -0.594 US10 16.934 0.005 2.5 0.215 US10U 39.500 0.005 2.5 0.501 US2 -132.758 0.005 2.5 -1.682 US20 39.175 0.005 2.5 0.496 US30 15.107 0.005 2.5 0.191 US5 -10.739 0.005 2.5 -0.136 VIX -266.902 0.099 2.5 -65.882 WHEAT -114.324 0.005 2.5 -1.517 ===================== Position diags ===================== AUD 3.30 BITCOIN 37.80 BOBL 1.63 BTP 2.66 BUND 0.80 BUXL 0.32 CAC 2.23 CAD 5.16 CANOLA 10.29 CHF 2.01 COCOA 0.34 COFFEE 0.38 COPPER 2.84 CORN 4.53 COTTON2 1.89 CRUDE_W 5.34 DAX 11.31 DOW 10.10 DX 3.43 EUR 2.29 EURIBOR-ICE 11.96 EUROSTX 3.51 FEEDCOW 1.73 GASOIL 2.04 GASOLINE 1.45 GAS_US_mini 20.59 GBP 3.81 GOLD_micro 7.36 HEATOIL 1.46 JGB-SGX-mini 35.30 JPY 2.72 LEANHOG 7.06 LIVECOW 3.15 LUMBER-new 3.93 MILK 1.80 MXP 22.96 NASDAQ_micro 4.19 NIKKEI 26.18 NZD 3.57 OAT 3.01 OATIES 3.34 OJ 0.84 PALLAD 0.84 PLAT 2.09 REDWHEAT 1.12 RICE 4.07 ROBUSTA 0.82 RUSSELL 16.38 SHATZ 4.99 SILVER-mini 1.06 SMI 1.92 SOFR 17.67 SOYBEAN 0.87 SOYMEAL 1.02 SOYOIL 1.24 SP400 0.70 SP500_micro 7.85 SUGAR11 3.28 US10 1.53 US10U 1.12 US2 2.99 US20 0.76 US30 0.51 US5 2.35 VIX 33.28 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.2 0.9 1.6 5.0 5 BITCOIN -7.4 -11.2 -3.6 0.0 0 BOBL -0.9 -1.0 -0.7 0.0 0 BTP -2.2 -2.4 -1.9 -1.0 -1 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.2 -0.2 -0.2 0.0 0 CAC -1.7 -1.9 -1.5 0.0 0 CAD -4.4 -4.9 -3.8 -2.0 -2 CANOLA -17.1 -18.1 -16.0 -9.0 -9 CHF -1.0 -1.2 -0.8 -2.0 -2 COCOA 0.3 0.2 0.3 0.0 0 COFFEE 0.2 0.2 0.2 0.0 0 COPPER 0.1 -0.2 0.4 1.0 1 CORN -7.8 -8.3 -7.4 -8.0 -8 COTTON2 -3.1 -3.3 -2.9 -3.0 -3 CRUDE_W 4.7 4.2 5.3 3.0 3 DAX 0.4 -0.8 1.5 3.0 3 DOW -5.1 -6.1 -4.1 0.0 0 DX 2.4 2.1 2.8 3.0 3 EUR -1.8 -2.0 -1.6 -1.0 -1 EURIBOR-ICE -1.8 -3.0 -0.6 -8.0 -8 EUROSTX -1.1 -1.5 -0.8 1.0 1 FEEDCOW -0.3 -0.4 -0.1 -2.0 -2 GASOIL 0.1 -0.2 0.3 -1.0 -1 GASOLINE 0.4 0.3 0.6 1.0 1 GAS_US_mini -0.2 -2.3 1.8 6.0 6 GBP 0.4 0.1 0.8 0.0 0 GOLD_micro -1.9 -2.7 -1.2 -3.0 -3 HEATOIL -1.1 -1.2 -0.9 0.0 0 JGB-SGX-mini 5.3 1.7 8.8 -1.0 -1 JPY -4.2 -4.5 -3.9 -3.0 -3 LEANHOG -11.0 -11.7 -10.2 -11.0 -11 LIVECOW 5.6 5.3 5.9 8.0 8 LUMBER-new -7.2 -7.6 -6.8 -1.0 -1 MILK 0.3 0.1 0.5 NaN 0 MXP -7.4 -9.7 -5.1 -10.0 -10 NASDAQ_micro 2.8 2.4 3.2 3.0 3 NIKKEI -4.8 -7.5 -2.2 -1.0 -1 NZD 1.8 1.5 2.2 2.0 2 OAT -2.2 -2.5 -1.9 0.0 0 OATIES -3.5 -3.8 -3.1 NaN 0 OJ 0.6 0.5 0.6 1.0 1 PALLAD -0.6 -0.7 -0.5 -2.0 -2 PLAT 0.3 0.1 0.5 0.0 0 REDWHEAT -1.4 -1.5 -1.2 0.0 0 RICE 4.1 3.7 4.5 NaN 0 ROBUSTA 0.7 0.6 0.8 2.0 2 RUSSELL -11.7 -13.3 -10.1 -18.0 -18 SHATZ -3.7 -4.2 -3.2 NaN 0 SILVER-mini 0.2 0.1 0.3 0.0 0 SMI 3.5 3.4 3.7 0.0 0 SOFR 6.5 4.8 8.3 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -5.0 -5 SOYMEAL -1.3 -1.4 -1.2 0.0 0 SOYOIL -1.8 -1.9 -1.7 -1.0 -1 SP400 -0.5 -0.6 -0.4 0.0 0 SP500_micro 7.2 6.4 7.9 11.0 11 SUGAR11 -0.6 -0.9 -0.3 -1.0 -1 US10 0.2 0.1 0.4 0.0 0 US10U 0.5 0.4 0.6 2.0 2 US2 -1.7 -2.0 -1.4 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.1 0.2 1.0 1 US5 -0.1 -0.4 0.1 -2.0 -2 VIX -65.9 -69.2 -62.6 -56.0 -56 WHEAT -1.5 -1.6 -1.4 -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 0.2 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -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 0.4 0.1 0.2 0.3 0.0 -0.2 0.1 -0.0 BITCOIN -0.3 -0.1 0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 0.4 -0.2 0.7 0.0 0.0 -0.2 -0.1 -0.2 -0.2 0.0 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.4 -0.1 0.7 -0.1 -0.2 -0.5 0.6 0.5 0.6 -0.6 -0.1 0.1 0.0 BOBL 0.6 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 -0.2 -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 -0.4 0.2 0.0 -0.2 -0.0 -0.7 -0.5 -0.2 -0.3 BTP -0.1 -0.2 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 0.0 0.3 -0.0 -0.1 0.0 0.1 0.0 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 0.7 -0.4 -0.6 -0.5 0.2 -0.5 -0.4 0.1 0.1 BUND 0.5 0.1 -0.2 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 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.2 -0.1 -0.2 0.1 -0.7 -0.6 -0.2 -0.4 BUXL 0.4 -0.0 -0.1 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 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.3 0.1 -0.7 -0.7 -0.5 -0.3 CAC -0.6 -0.6 -0.6 0.0 0.0 0.2 0.0 0.3 0.0 -0.1 0.3 -0.1 0.5 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.2 0.3 -0.2 -1.4 -0.0 -0.0 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 -0.0 0.0 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.5 -0.1 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.0 0.4 -0.0 -0.4 -0.3 0.0 -0.3 -0.1 -0.2 CANOLA -0.6 0.0 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 -0.1 -0.0 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.2 -0.4 -0.1 0.2 -0.3 -0.6 0.1 -0.2 CHF 0.6 0.5 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.4 0.1 -0.5 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 0.6 0.0 -0.0 -0.1 0.0 -0.1 0.1 -1.1 0.3 0.6 0.3 -0.5 0.1 -0.5 0.1 -0.4 COCOA 0.5 -0.1 -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 0.0 -2.3 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 0.1 0.6 -0.1 0.6 0.3 0.1 0.4 0.3 COFFEE 0.0 0.1 0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.3 0.0 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 0.1 0.6 -0.1 0.6 0.2 -0.4 0.5 -0.1 COPPER -0.6 -0.4 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 0.0 -0.0 0.3 0.5 -0.1 -0.0 0.4 0.3 CORN -0.5 0.0 0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.6 -0.1 -0.1 -0.3 -0.2 -0.4 -0.3 -0.1 -0.1 -0.2 -0.3 -0.1 -1.9 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.2 0.2 0.2 0.2 -0.7 -0.6 -0.7 -0.0 COTTON2 -0.3 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 -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 -0.2 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.5 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.1 -0.3 -0.1 -0.0 0.1 -0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.5 0.1 0.0 0.2 0.2 0.3 0.3 0.0 0.0 0.2 0.3 0.1 -0.6 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.1 0.3 -0.4 -0.5 -0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.3 -0.3 0.1 0.0 0.2 0.0 0.3 0.0 -0.1 0.4 -0.1 0.6 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.5 -0.1 1.5 0.0 -0.0 0.2 -0.1 0.4 -0.1 -0.5 -0.5 -0.6 -0.6 0.3 0.1 0.2 -0.1 0.3 DOW -0.1 -0.1 -0.4 0.0 0.0 0.2 0.0 0.3 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 0.1 0.4 -0.0 -1.8 0.0 0.0 0.1 0.0 0.3 -0.0 -0.5 -0.2 -0.5 -0.4 -0.4 0.3 -0.1 0.4 -0.3 DX 0.1 -0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.2 0.4 0.2 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 0.9 0.5 0.6 -0.3 0.6 -0.1 0.3 -0.0 0.5 EUR -0.3 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.3 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 2.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.4 -0.5 -0.1 0.0 -0.3 -0.7 -0.3 -0.5 EURIBOR-ICE 0.5 -0.0 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 1.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.3 -0.1 -0.7 -0.7 -0.1 0.2 EUROSTX -0.6 -0.4 -0.4 0.0 0.0 0.2 0.0 0.3 0.0 -0.0 0.4 -0.1 0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.1 -0.1 0.5 -0.1 -0.3 0.0 -0.0 0.2 -0.1 0.4 -0.0 0.3 -0.5 -0.6 -0.6 0.2 -0.4 0.1 -0.7 0.2 FEEDCOW -0.0 0.2 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 -0.1 0.1 0.0 -0.3 -0.4 -0.4 -0.4 0.0 -0.0 0.0 -0.0 0.1 -0.9 -0.0 -0.0 -0.0 0.0 0.1 0.0 -1.1 0.5 0.3 0.2 -0.4 0.3 0.7 0.7 0.7 GASOIL 0.3 -0.4 -0.3 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 -0.1 -0.0 0.3 0.0 0.1 -0.0 -0.0 0.2 0.2 0.1 0.8 -0.0 0.1 -0.0 0.1 0.1 0.0 0.0 0.2 0.3 0.0 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE 0.0 -0.5 -0.1 -0.0 0.0 -0.0 0.1 0.1 0.0 0.2 0.2 0.2 0.5 -0.1 -0.1 0.4 0.3 0.4 0.3 -0.1 0.0 0.2 0.3 0.0 -2.7 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.1 -0.3 -0.5 -0.1 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 -0.1 -0.2 -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 -0.1 0.0 -1.1 -0.5 -0.0 0.6 0.1 -0.1 -0.2 -0.2 -0.4 GBP -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 0.4 -0.2 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 0.0 0.2 0.1 -0.1 0.1 -0.1 0.2 0.0 0.2 -0.1 0.0 0.5 0.4 -0.2 -0.7 -0.2 -0.3 GOLD_micro -0.5 -0.5 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 0.3 -0.1 0.1 -0.2 -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 0.1 0.2 -0.0 0.6 0.0 -0.3 0.3 -0.1 HEATOIL 0.3 -0.3 -0.3 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 -0.2 0.2 0.2 0.1 -0.1 -0.2 0.2 -0.1 0.1 -0.1 -0.1 0.2 0.1 0.1 -2.7 -0.1 0.0 -0.1 0.1 0.0 -0.0 -0.2 0.2 -0.3 -0.4 -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 0.0 -0.1 0.1 -0.0 0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 0.1 -0.1 0.0 -1.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 1.1 0.0 -0.0 -0.3 -0.3 -0.4 -0.2 -0.0 0.5 JPY 0.0 -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 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -1.1 -0.3 -0.3 -0.5 -0.6 -0.6 -0.4 -0.6 -0.4 LEANHOG -0.6 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 0.4 -0.4 0.2 -0.4 -0.2 -0.2 -0.2 -0.2 -0.2 0.8 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -1.1 0.1 -0.5 -0.6 -0.6 -0.4 -0.3 -0.3 0.2 LIVECOW 0.1 0.4 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.3 0.2 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 0.5 0.7 LUMBER-new -0.0 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.1 -0.2 -0.2 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.3 -0.3 -0.5 -0.7 -0.4 -0.4 -0.0 -0.3 MILK -0.1 0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.0 -0.0 0.1 1.8 0.0 -0.0 0.1 -0.0 -0.0 0.0 -1.1 0.2 0.6 0.6 0.5 -0.4 -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 0.1 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 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 0.1 -0.6 -0.6 -0.1 0.6 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 -0.1 0.0 0.0 0.2 0.0 0.2 0.0 0.1 0.4 0.1 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 0.0 0.1 0.1 0.2 0.1 -0.4 0.5 0.6 0.6 0.2 -0.1 0.1 -0.2 0.1 NIKKEI -0.1 -0.2 -0.2 0.1 0.0 0.2 0.0 0.3 0.0 -0.0 0.3 -0.0 0.6 0.0 -0.0 0.2 0.2 0.2 0.2 0.0 0.2 -0.0 0.5 -0.0 -2.6 0.0 -0.0 0.2 -0.0 0.6 -0.0 1.1 -0.3 -0.3 -0.5 -0.4 -0.1 -0.3 -0.3 -0.4 NZD 0.1 0.5 0.0 -0.0 -0.1 -0.0 -0.1 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 0.0 -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 -0.4 -0.6 -0.5 -0.0 -0.7 -0.6 -0.1 -0.1 OATIES -0.6 -0.1 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 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.5 -0.4 0.1 -0.0 -0.1 -0.0 0.3 0.4 OJ -0.6 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 -0.1 0.4 0.0 0.1 0.2 0.3 0.2 0.2 0.1 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 -0.4 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD -0.4 -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 -0.0 -0.3 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.1 -0.2 -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 0.1 0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 0.1 0.4 0.1 -0.7 -0.3 -0.0 0.1 REDWHEAT -0.6 0.2 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -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 -0.6 0.2 0.4 -0.5 -0.7 -0.2 -0.6 RICE -0.2 0.4 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.5 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.1 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.1 -0.4 -0.2 -0.3 -0.1 ROBUSTA 0.2 0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.2 0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.2 0.0 1.1 0.1 0.6 0.1 0.6 0.0 -0.3 0.3 0.1 RUSSELL -0.3 -0.1 -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 -0.0 0.1 -0.0 -0.0 -0.3 -0.5 -0.4 -0.4 0.0 -0.7 -0.0 -0.7 SHATZ 0.6 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.4 -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 0.4 0.2 -0.2 -0.2 -0.7 -0.6 -0.5 -0.4 SILVER-mini -0.6 0.0 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 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 -0.0 0.1 0.3 0.5 -0.2 -0.4 0.2 0.1 SMI -0.0 0.6 0.3 0.1 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 0.1 1.9 0.1 -0.0 0.2 0.0 0.2 0.0 0.7 -0.5 0.2 0.6 0.6 0.3 0.1 0.2 -0.0 SOFR 0.6 0.5 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 0.1 0.2 0.3 0.1 0.1 -0.6 0.5 0.0 SOYBEAN -0.6 -0.1 0.1 -0.0 -0.0 -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 0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 -0.5 -0.0 0.2 -0.7 -0.7 -0.5 -0.7 SOYMEAL -0.6 0.0 0.4 -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 -0.1 -0.0 -0.2 -0.2 -0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.2 -0.1 -0.1 0.5 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 -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 -0.3 0.3 0.1 -0.2 -0.2 -0.5 -0.6 -0.0 -0.0 SP400 -0.4 -0.2 -0.1 0.0 0.0 0.2 0.0 0.3 0.0 0.0 0.3 -0.1 0.4 -0.1 -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 -0.2 -0.5 -0.4 -0.1 0.0 -0.3 0.0 -0.7 SP500_micro 0.5 0.6 -0.0 0.1 0.0 0.2 0.0 0.3 0.0 0.1 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 -0.6 0.5 0.6 0.6 0.4 0.2 -0.0 0.1 -0.0 SUGAR11 0.6 -0.1 -0.6 -0.0 -0.0 -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 0.4 0.6 -0.1 -0.6 0.4 0.7 0.7 0.7 US10 0.6 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.2 -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 -0.6 0.3 0.1 US10U 0.6 0.5 -0.0 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 -0.0 -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 0.3 0.2 -0.1 -0.5 0.6 0.3 US2 0.6 0.4 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.0 1.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.0 0.0 -0.1 -0.2 -0.2 -0.7 -0.0 -0.5 US20 0.6 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 0.1 0.2 0.3 0.2 -0.2 -0.4 0.7 0.5 US30 0.6 0.5 0.1 0.0 0.0 -0.0 0.0 -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 -0.1 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.2 0.3 0.2 -0.3 -0.4 0.3 0.5 US5 0.6 0.5 -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 -0.2 -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 -0.0 0.0 -0.6 0.0 0.1 0.1 0.0 -0.0 -0.7 0.2 -0.2 VIX 0.3 -0.5 0.1 -0.1 -0.0 -0.4 -0.0 -0.7 -0.1 0.2 -0.9 0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.1 -0.9 -0.1 NaN -0.2 -0.0 -0.5 -0.0 -0.7 -0.1 NaN NaN NaN NaN NaN -1.0 -1.1 NaN NaN WHEAT -0.6 0.2 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 -0.3 -0.3 -0.3 -0.0 0.0 -0.2 -0.1 -0.2 0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -1.1 -0.5 -0.6 0.3 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 -1.9 7.5 4.6 -0.8 -7.7 -0.7 -5.2 0.9 -1.9 2.6 -0.5 5.2 -5.2 9.9 11.6 -2.4 -2.8 -2.6 -2.7 4.4 2.8 2.0 -1.5 3.2 3.5 3.0 0.7 2.4 1.2 0.1 1.8 -0.0 17.4 4.1 7.4 10.5 0.2 -6.7 1.9 -0.9 BITCOIN -9.3 -2.1 9.3 -3.1 -4.4 0.8 -6.6 1.5 -7.2 -20.0 15.7 -20.0 18.7 3.6 3.1 -7.8 -7.4 -7.6 -7.7 4.5 20.0 -20.0 20.0 -11.2 -20.0 3.0 -9.6 13.3 -9.8 19.6 -5.0 -3.8 -20.0 20.0 14.1 20.0 -16.9 -4.0 1.5 1.2 BOBL 18.3 2.9 -6.6 0.8 1.0 -0.5 2.6 -1.3 2.4 5.5 -6.3 5.6 -5.3 3.3 -3.2 -20.0 -8.3 -8.4 -7.4 -1.2 -4.1 7.7 -4.9 4.3 3.8 -0.3 3.1 -1.4 3.9 -1.5 2.2 -7.5 9.7 0.3 -7.3 -1.4 -20.0 -15.6 -6.8 -10.1 BTP -2.8 -7.1 -9.6 1.5 1.8 -0.9 4.4 -2.2 4.2 7.4 6.1 0.6 8.3 -3.7 -7.2 0.1 5.0 2.3 3.5 -3.1 0.8 -0.4 4.4 -2.9 -20.0 -2.1 1.0 1.6 -0.5 4.6 -2.5 13.7 -15.8 -20.0 -16.5 7.1 -15.3 -11.7 3.0 2.5 BUND 14.6 1.8 -4.7 0.9 1.1 -0.6 2.8 -1.4 2.7 5.6 -4.8 5.8 -2.8 3.7 -2.6 2.0 -0.7 -2.6 -2.9 -0.4 -2.6 7.2 -3.4 4.3 1.3 0.2 3.2 -0.6 4.3 -0.7 2.6 3.1 6.5 -1.8 -7.0 1.8 -20.0 -18.9 -5.2 -11.0 BUXL 12.5 -0.0 -1.8 1.1 1.3 -0.6 3.2 -1.6 3.1 4.3 -3.3 5.2 -2.4 3.1 -2.9 -2.3 -3.1 -4.7 -4.4 -0.7 -2.4 6.1 -3.7 3.7 -2.1 0.3 2.1 -0.1 4.1 -0.4 2.5 -0.6 2.5 -4.6 -9.1 3.9 -20.0 -20.0 -14.2 -9.1 CAC -20.0 -19.9 -17.0 4.6 3.7 6.8 3.5 7.9 3.6 -6.3 11.0 -11.9 14.4 -12.2 -5.7 -7.0 0.5 -0.5 1.3 -10.6 3.2 -20.0 11.4 -20.0 -10.2 -3.0 -3.1 2.0 -7.5 4.4 -7.4 12.8 -20.0 -20.0 -20.0 -6.7 -2.1 7.7 -8.2 10.9 CAD -1.4 0.6 -6.8 -1.0 -10.0 -1.0 -6.7 1.1 -2.5 14.0 -16.8 -5.3 -15.1 -9.5 -13.2 -4.2 -2.7 -3.6 -3.1 -7.9 -9.9 0.2 -10.5 -4.5 -0.8 -5.7 4.0 -6.6 0.3 -6.6 -3.5 -0.3 18.2 -1.1 -11.6 -9.1 0.1 -8.8 -3.9 -5.7 CANOLA -20.0 0.2 20.0 -1.5 -1.1 -0.2 -2.7 -0.2 -2.9 -6.2 -3.9 -8.2 -6.3 -7.1 -1.8 -12.7 -9.5 -14.2 -13.5 -5.2 -3.7 -11.5 -6.8 -10.4 -19.8 -1.9 -2.2 -1.5 -3.6 -2.6 -3.4 -20.0 -8.0 -12.0 -3.0 4.8 -9.9 -16.7 2.0 -5.2 CHF 20.0 16.7 -13.7 -0.8 -7.9 -0.8 -5.3 0.9 -2.0 -6.7 -14.5 11.3 -13.1 12.7 -4.2 -16.6 -16.3 -16.8 -16.5 2.0 -10.1 7.6 -11.3 11.8 4.3 1.4 -3.2 -3.2 3.5 -3.5 5.4 -20.0 14.3 20.0 10.6 -16.8 3.7 -14.7 1.5 -12.3 COCOA 14.1 -2.5 -4.3 -1.1 -0.9 -0.2 -2.1 -0.2 -2.2 -5.5 3.7 0.2 4.7 1.7 2.5 19.0 15.8 20.0 20.0 5.2 7.6 -1.1 8.5 3.5 -16.9 1.9 -1.2 4.1 -0.1 5.4 0.7 20.0 4.0 17.1 -4.6 20.0 9.7 2.8 13.3 7.8 COFFEE 1.3 3.8 12.7 -3.0 -2.3 -0.4 -5.6 -0.4 -5.9 0.9 12.4 2.3 11.8 11.5 10.5 1.8 7.3 5.3 7.2 16.4 18.3 4.8 15.1 11.2 -20.0 4.2 -4.5 6.8 -2.2 6.6 0.7 10.0 2.5 18.9 -2.0 20.0 5.6 -12.8 16.3 -3.7 COPPER -20.0 -13.5 15.3 -1.0 -1.4 0.3 -2.1 0.5 -2.3 -3.6 4.1 -6.4 3.7 -6.0 1.8 2.2 -2.9 0.5 -1.5 1.8 5.9 -4.6 5.3 -3.6 -7.8 1.0 -2.3 2.4 -2.2 2.1 -1.2 5.2 0.3 -1.5 8.0 14.4 -1.5 -0.8 11.1 7.9 CORN -14.9 1.1 17.9 -2.8 -2.2 -0.4 -5.3 -0.4 -5.6 -15.1 -8.0 -13.9 -15.3 -11.9 -5.1 -16.8 -12.4 -18.0 -16.8 -6.8 -6.6 -17.4 -12.7 -11.9 -14.2 -1.8 -4.5 -2.9 -3.9 -6.4 -3.2 -20.0 9.5 4.6 7.3 6.2 -20.0 -19.3 -20.0 -0.6 COTTON2 -9.3 -17.3 -20.0 -2.1 -1.6 -0.3 -3.9 -0.3 -4.1 3.7 -11.3 -10.2 -7.9 -11.4 -12.7 -6.9 1.7 -0.6 1.3 -17.1 -14.7 -5.3 -8.5 -12.0 -20.0 -4.0 0.1 -2.4 -1.3 -0.2 -3.2 -0.4 6.0 -2.1 -15.6 -20.0 -3.9 -10.5 11.6 -0.7 CRUDE_W 2.6 -10.6 -2.6 -1.9 5.6 -0.3 6.6 2.4 1.4 16.3 5.5 20.0 13.9 8.1 0.5 11.7 12.0 12.8 12.6 1.4 3.7 20.0 9.3 9.7 -4.6 -4.4 6.7 -1.4 5.3 2.5 -1.6 2.2 10.4 -12.2 -15.0 -1.0 20.0 17.9 20.0 20.0 DAX -20.0 -8.2 -8.9 4.8 3.8 7.0 3.6 8.1 3.7 -9.1 15.4 -13.2 16.8 -10.2 0.3 -9.9 -11.4 -11.0 -11.6 -0.3 12.4 -14.1 18.5 -12.0 11.3 0.7 -2.3 7.3 -6.0 9.9 -5.1 -8.9 -20.0 -20.0 -19.5 10.5 2.5 5.6 -3.5 10.1 DOW -3.5 -2.5 -12.1 4.3 3.4 6.3 3.2 7.3 3.3 14.9 11.5 9.4 13.1 -2.0 -3.0 -10.6 -11.2 -11.2 -11.5 -0.7 6.0 6.8 13.5 -0.1 -13.2 0.4 2.1 4.7 0.4 8.9 -1.1 -8.5 -7.2 -14.1 -11.7 -13.7 8.9 -3.3 11.8 -7.7 DX 3.5 -7.4 6.7 -0.8 -8.0 -0.8 -5.3 0.9 -2.0 17.5 13.6 17.4 13.0 5.0 10.7 7.0 6.9 7.3 7.1 6.9 8.1 14.1 8.6 9.2 -20.0 4.0 9.1 4.6 8.1 4.9 5.4 16.7 20.0 18.2 -9.8 17.8 -1.6 8.1 -0.9 14.3 EUR -8.6 4.7 -3.9 -0.8 -8.5 -0.8 -5.7 0.9 -2.1 -18.0 -9.9 -17.9 -9.4 -10.8 -6.4 -7.3 -7.0 -7.3 -7.0 -6.0 -4.8 -15.7 -4.8 -11.2 20.0 -3.0 -9.2 -1.2 -9.9 -1.0 -7.0 -7.3 -18.1 -16.2 -3.8 0.8 -10.0 -20.0 -9.9 -15.2 EURIBOR-ICE 15.3 -1.4 -15.7 0.8 1.0 -0.5 2.5 -1.2 2.4 5.4 -3.6 5.5 -0.1 3.0 -4.3 -6.1 -4.9 -5.9 -5.0 -1.9 -2.9 5.5 -1.6 2.7 11.3 -0.9 2.1 -1.2 2.8 -0.4 1.3 -1.9 3.7 -2.4 -7.8 -3.3 -20.0 -20.0 -3.1 6.2 EUROSTX -18.3 -11.9 -12.2 4.6 3.7 6.8 3.4 7.8 3.5 -4.4 16.2 -7.6 17.3 -5.7 1.5 -7.1 -2.2 -6.4 -4.1 0.8 12.0 -9.8 18.5 -8.3 -2.1 1.3 -2.2 8.2 -5.3 11.5 -4.3 6.2 -20.0 -20.0 -17.8 6.1 -12.1 4.0 -20.0 5.5 FEEDCOW -1.3 6.0 -9.8 -3.5 -2.8 -0.5 -6.6 -0.5 -7.1 -2.4 4.8 2.2 -2.9 5.2 0.6 -14.5 -20.0 -20.0 -20.0 2.5 -1.1 5.1 -0.4 5.8 -6.9 -1.2 -1.5 -1.2 1.7 1.9 0.4 -20.0 20.0 10.6 7.0 -12.4 9.6 20.0 19.6 20.0 GASOIL 8.0 -11.1 -9.6 -1.7 5.1 -0.3 6.1 2.2 1.3 13.6 0.8 17.8 12.4 7.2 -8.6 -1.7 13.6 1.3 7.4 -4.0 -2.5 19.7 7.4 7.8 6.2 -2.3 5.6 -1.6 7.9 2.2 2.7 0.1 10.4 7.8 0.2 -10.4 -19.9 -12.3 -20.0 -20.0 GASOLINE 0.5 -16.2 -4.4 -1.8 5.2 -0.3 6.2 2.3 1.3 20.0 6.4 17.7 13.6 -5.7 -8.2 17.9 14.4 17.9 14.2 -5.7 0.9 17.2 9.8 1.5 -20.0 -4.6 8.3 -1.1 5.2 3.3 -2.0 4.5 -4.2 -9.4 -16.6 -3.2 20.0 20.0 20.0 20.0 GAS_US_mini 3.5 20.0 20.0 -1.2 3.5 -0.2 4.1 1.5 0.9 -13.3 -8.7 -1.9 -12.6 6.3 6.2 -13.3 -20.0 -20.0 -20.0 7.1 -1.1 -2.6 -14.1 5.6 20.0 3.2 -0.0 -0.5 1.4 -4.1 3.6 -20.0 -20.0 -1.0 20.0 2.6 -1.8 -6.0 -7.2 -11.8 GBP -1.6 10.1 -2.0 -1.0 -10.1 -1.0 -6.8 1.1 -2.5 -20.0 13.8 -19.1 5.5 10.9 10.8 -0.9 -0.8 -1.0 -0.9 6.8 5.8 -10.4 5.0 1.1 1.3 4.9 -10.5 5.2 -6.5 4.3 0.6 3.3 -4.9 0.5 14.7 13.8 -5.1 -20.0 -6.1 -10.4 GOLD_micro -15.5 -14.4 8.6 -1.2 -1.7 0.3 -2.6 0.6 -2.9 -0.8 7.0 -2.3 7.6 -5.4 5.0 -10.5 -13.7 -11.8 -12.8 2.6 7.8 -0.9 8.6 -1.6 -2.8 0.5 -3.1 3.5 -2.8 4.1 -2.1 -13.7 2.8 7.1 -0.7 18.3 0.1 -10.0 7.7 -3.0 HEATOIL 8.5 -9.4 -9.8 -1.8 5.3 -0.3 6.3 2.3 1.3 11.6 -6.9 18.7 6.3 6.0 -9.8 -8.1 12.2 -3.9 4.0 -6.5 -6.4 18.8 2.0 6.3 -20.0 -5.3 5.0 -3.5 4.8 0.8 -1.4 -3.9 9.1 -9.8 -13.2 -20.0 3.5 6.8 -3.2 1.5 JGB-SGX-mini 20.0 -3.5 -16.2 0.9 1.2 -0.6 2.8 -1.4 2.7 2.6 -2.8 5.4 -0.0 3.4 -4.0 20.0 18.1 20.0 18.1 -2.2 -4.3 5.7 -2.1 3.8 -8.5 -1.1 -0.2 -2.2 2.3 -1.7 1.4 20.0 1.9 -1.5 -9.5 -8.5 -12.8 -5.0 -0.8 15.9 JPY 0.7 -9.1 -9.2 -0.5 -5.2 -0.5 -3.5 0.6 -1.3 -11.8 -13.5 -12.7 -13.7 -12.7 -13.2 -14.8 -16.2 -15.3 -15.7 -13.8 -17.4 -12.8 -20.0 -11.4 20.0 -4.8 -6.0 -6.0 -4.7 -6.8 -4.0 -20.0 -12.5 -8.4 -15.2 -19.3 -19.1 -11.0 -17.9 -10.8 LEANHOG -20.0 -20.0 -5.9 -3.5 -2.8 -0.5 -6.6 -0.5 -7.1 -11.7 -6.9 -17.5 -5.8 -20.0 -19.6 20.0 -20.0 8.6 -20.0 -20.0 -17.7 -20.0 -9.0 -20.0 6.3 -6.6 0.4 -2.7 -3.3 -0.9 -7.1 -20.0 5.2 -15.2 -20.0 -20.0 -13.2 -9.8 -7.6 5.5 LIVECOW 3.3 12.6 -2.9 -3.5 -2.8 -0.5 -6.7 -0.5 -7.1 18.6 10.8 17.3 2.6 17.9 10.7 20.0 11.9 20.0 20.0 13.2 7.0 20.0 4.4 18.5 -8.1 6.0 9.7 4.4 10.5 4.7 8.0 20.0 20.0 20.0 20.0 10.3 8.1 20.0 15.3 20.0 LUMBER-new -1.0 -5.6 -19.6 -1.9 -1.5 -0.3 -3.6 -0.1 -3.8 -9.9 -9.1 -9.4 -9.0 -9.1 -10.7 -15.7 -17.7 -18.4 -18.3 -12.9 -10.1 -16.5 -6.2 -13.5 NaN -4.1 -4.3 -3.3 -3.5 -1.8 -3.6 -20.0 -10.6 -8.0 -12.0 -20.0 -10.3 -10.7 -1.0 -6.8 MILK -2.8 20.0 20.0 -2.0 -1.6 -0.3 -3.8 -0.3 -4.0 -5.7 6.4 1.1 -4.8 8.1 10.4 -20.0 -20.0 -18.2 -20.0 14.9 9.4 1.0 -1.7 10.2 13.4 3.8 -2.2 2.3 -0.2 -0.6 2.7 -20.0 8.6 20.0 20.0 16.5 -13.0 -20.0 -8.9 -20.0 MXP -20.0 -20.0 -20.0 -0.4 -3.6 -0.3 -2.4 0.4 -0.9 6.8 0.1 -5.4 5.4 -6.2 -5.1 10.4 16.2 13.6 14.9 -8.6 -2.7 -5.6 2.6 -11.2 -20.0 -2.3 0.5 -0.6 -1.7 0.8 -3.0 20.0 3.0 -20.0 -20.0 -2.7 18.5 17.5 20.0 20.0 NASDAQ_micro 20.0 20.0 -2.5 4.0 3.2 5.9 3.0 6.8 3.1 7.8 16.2 13.2 16.3 15.7 15.6 -11.7 -10.7 -11.3 -11.1 20.0 20.0 20.0 20.0 20.0 -20.0 5.3 4.7 4.6 7.4 5.5 7.1 -7.5 20.0 20.0 20.0 4.7 -3.1 2.7 -7.2 2.4 NIKKEI -1.6 -5.0 -5.6 4.9 3.9 7.2 3.7 8.3 3.7 -2.0 12.5 -1.8 16.4 4.0 -2.4 12.2 9.2 8.1 7.9 2.8 14.4 -3.3 20.0 -1.4 -19.5 1.2 -1.7 8.3 -2.5 16.1 -1.4 20.0 -13.9 -10.2 -16.5 -13.3 -1.9 -7.6 -9.7 -12.4 NZD 1.7 15.1 0.3 -0.7 -7.0 -0.7 -4.7 0.8 -1.8 -12.9 1.8 -6.7 -1.5 11.5 10.8 0.2 0.2 0.2 0.2 7.2 3.5 -1.9 -0.5 5.1 0.7 3.7 -3.1 2.1 -1.3 0.5 2.3 5.0 6.0 6.9 14.8 4.2 3.8 -5.0 6.5 3.2 OAT -2.1 -6.8 -10.4 1.1 1.3 -0.6 3.2 -1.6 3.1 3.9 -5.3 -3.1 -2.0 -5.7 -8.1 -0.4 5.2 2.6 3.8 -6.6 -5.2 -2.7 -3.8 -5.3 1.9 -3.1 -0.4 -1.8 -1.6 -0.8 -2.9 14.2 -17.3 -19.0 -15.8 -1.5 -20.0 -18.7 -3.5 -3.5 OATIES -20.0 -1.9 9.8 -1.4 -1.1 -0.2 -2.5 -0.2 -2.7 -7.5 -3.8 -8.4 -6.2 -7.5 -4.1 -5.4 1.1 1.9 2.9 -7.0 -3.2 -19.6 -3.2 -15.0 -20.0 -1.0 -5.0 -0.1 -5.3 -0.3 -3.4 0.4 -20.0 -11.6 1.8 -0.4 -3.3 -1.3 7.6 11.5 OJ -20.0 8.6 -0.7 -2.1 -1.7 -0.3 -4.1 -0.3 -4.3 6.0 8.8 -7.5 11.1 3.1 6.3 8.9 12.9 10.2 10.4 12.8 15.3 -1.6 16.7 4.0 -20.0 3.1 -1.1 3.7 -1.2 4.9 0.8 17.2 -1.8 -11.4 20.0 20.0 5.5 9.0 20.0 20.0 PALLAD -13.3 -7.6 -2.3 -1.3 -1.8 0.3 -2.7 0.6 -2.9 8.6 -7.0 -6.4 -8.9 -8.7 -7.8 -2.7 -2.3 -2.5 -2.3 -7.7 -7.3 -2.2 -11.9 -7.4 15.0 -3.2 -0.8 -2.3 -2.5 -2.7 -3.7 5.4 1.1 2.9 -6.3 -10.6 -20.0 -20.0 -20.0 -17.9 PLAT -20.0 5.1 11.7 -1.5 -2.1 0.4 -3.2 0.7 -3.5 10.4 2.4 -6.3 -3.6 -3.6 0.4 -5.1 -4.1 -5.0 -4.7 1.2 3.6 -1.3 1.5 -3.7 8.0 -0.2 1.9 1.3 -1.1 1.1 -2.2 1.8 9.8 2.0 13.3 1.8 -20.0 -8.0 -1.1 4.2 REDWHEAT -20.0 6.6 20.0 -2.2 -1.7 -0.3 -4.2 -0.3 -4.4 -12.3 1.7 -13.6 -8.4 -8.5 0.7 -10.9 -3.2 -8.6 -5.6 -2.9 1.9 -20.0 -5.0 -20.0 -5.9 -0.1 -7.7 0.8 -8.2 -0.8 -4.4 -10.0 -20.0 -20.0 6.8 12.7 -14.0 -20.0 -5.1 -17.5 RICE -7.3 12.0 2.3 -3.3 -2.6 -0.5 -6.2 -0.5 -6.6 5.1 16.9 5.5 16.4 11.5 18.7 20.0 20.0 20.0 20.0 15.2 17.3 4.3 16.9 8.9 -13.1 4.7 3.2 4.0 3.6 3.3 3.9 20.0 20.0 20.0 20.0 2.7 -11.1 -6.0 -10.4 -2.3 ROBUSTA 7.2 2.6 -6.8 -1.7 -1.3 -0.2 -3.2 -0.2 -3.4 2.2 8.6 0.6 9.2 5.9 7.1 19.1 20.0 19.4 20.0 13.3 17.0 4.0 18.0 8.5 -20.0 3.4 0.7 5.7 0.6 6.8 1.4 20.0 2.9 20.0 4.2 20.0 1.4 -8.8 9.0 3.9 RUSSELL -10.7 -2.2 -3.2 4.0 3.2 5.9 3.0 6.7 3.0 -9.0 9.9 -11.1 10.3 -4.6 -2.3 -7.1 -6.7 -7.1 -6.9 -2.8 2.9 -9.0 5.7 -7.4 -1.5 -0.6 -2.1 2.4 -3.8 4.1 -3.2 -0.5 -11.8 -16.4 -13.2 -12.2 0.3 -20.0 -0.8 -20.0 SHATZ 20.0 11.5 -4.3 0.8 1.0 -0.5 2.5 -1.2 2.4 5.7 -7.2 5.7 -7.7 3.5 -3.1 -20.0 -20.0 -20.0 -20.0 -1.0 -6.2 10.2 -8.7 6.3 6.9 -0.3 3.2 -2.0 4.0 -2.4 2.5 -20.0 17.3 6.6 -6.6 -6.1 -20.0 -16.7 -16.4 -12.9 SILVER-mini -20.0 1.0 16.3 -1.1 -1.5 0.3 -2.3 0.5 -2.5 -0.4 5.9 -4.4 5.0 1.6 5.1 -5.4 -6.5 -6.0 -6.3 5.2 6.9 -0.2 5.2 1.1 1.8 1.3 -3.0 2.7 -2.6 2.5 -1.1 -1.8 -0.3 1.6 8.8 14.2 -5.4 -10.6 6.4 3.9 SMI -0.6 20.0 10.4 4.9 3.9 7.2 3.6 8.3 3.7 -12.5 18.2 3.7 16.3 14.4 15.9 -4.0 1.9 -2.5 -0.1 20.0 20.0 2.0 17.8 13.7 14.6 6.7 -1.3 7.7 0.5 6.2 3.6 13.2 -20.0 5.1 17.4 18.3 8.8 2.0 4.9 -0.1 SOFR 19.7 16.0 -5.1 1.1 1.3 -0.6 3.2 -1.6 3.1 6.9 -2.1 8.8 -3.3 8.8 1.3 -3.0 -1.3 -2.9 -2.1 3.7 -1.3 8.0 -3.8 8.4 -2.6 2.4 3.0 0.6 4.1 -0.3 4.0 3.6 2.6 7.0 8.8 3.7 2.5 -17.6 15.0 0.8 SOYBEAN -20.0 -4.6 3.7 -2.8 -2.2 -0.4 -5.3 -0.4 -5.6 -13.3 -10.7 -16.3 -6.8 -15.5 -7.8 -1.4 7.3 -0.2 2.4 -12.9 -8.6 -20.0 -8.9 -20.0 -20.0 -3.4 -4.5 -2.0 -7.3 -2.0 -6.5 5.5 -6.8 -16.6 -0.4 4.9 -20.0 -20.0 -16.1 -20.0 SOYMEAL -20.0 1.4 11.1 -2.3 -1.8 -0.3 -4.2 -0.3 -4.5 -10.7 -8.8 -13.0 -8.9 -10.3 -3.3 7.1 6.1 3.4 2.8 -4.8 -3.8 -17.3 -6.2 -12.7 -20.0 0.9 -3.2 0.7 -4.3 -0.6 -2.1 4.5 -4.3 -3.1 15.7 12.8 -20.0 -20.0 -20.0 -20.0 SOYOIL -6.8 1.4 -4.0 -2.1 -1.7 -0.3 -4.0 -0.3 -4.2 5.0 -11.0 -7.3 -11.5 -6.7 -9.5 0.6 -0.5 -3.2 -3.4 -7.9 -10.5 -2.1 -12.5 -5.5 -20.0 -3.8 1.1 -3.7 -0.8 -3.4 -2.9 -6.5 10.6 4.2 -6.4 -6.4 -15.2 -19.3 -1.2 -0.5 SP400 -12.1 -6.9 -4.1 4.1 3.3 6.1 3.1 7.0 3.2 0.3 11.5 -8.0 12.3 -5.9 -2.5 -7.1 -6.0 -7.0 -6.4 -1.7 7.3 -6.0 12.4 -6.8 -12.7 0.4 0.4 4.6 -1.7 6.8 -2.2 0.5 -7.5 -14.2 -12.9 -3.2 1.2 -9.6 1.5 -20.0 SP500_micro 16.2 17.6 -0.2 5.3 4.2 7.8 4.0 9.0 4.1 12.2 20.0 18.9 20.0 20.0 20.0 -13.8 -12.2 -13.2 -12.8 20.0 20.0 20.0 20.0 20.0 -20.0 7.6 6.6 8.1 9.3 9.3 8.9 -10.4 20.0 20.0 20.0 11.3 4.8 -0.1 2.5 -0.3 SUGAR11 20.0 -1.8 -19.7 -2.7 -2.1 -0.4 -5.1 -0.4 -5.4 0.4 -15.0 5.2 -8.6 -0.3 -11.8 -0.2 11.5 2.6 6.8 -10.8 -17.6 4.0 -12.0 0.2 -20.0 -4.4 0.8 -6.3 1.5 -4.1 -0.6 13.5 16.0 20.0 -4.6 -20.0 13.0 19.6 20.0 20.0 US10 18.3 14.3 -1.2 0.9 1.1 -0.6 2.8 -1.4 2.6 5.8 -2.5 7.5 -5.0 7.3 0.1 -7.5 -7.3 -6.8 -7.0 2.3 -2.0 6.2 -5.3 6.2 2.4 2.0 2.6 0.4 3.6 -0.8 3.5 -6.1 1.6 4.9 5.8 3.0 -1.9 -19.1 9.0 2.0 US10U 18.2 14.9 -0.2 1.3 1.6 -0.8 3.9 -1.9 3.7 8.2 -3.4 10.5 -6.6 10.3 0.7 -5.0 -2.5 -4.8 -3.7 3.4 -2.6 8.7 -7.5 8.8 0.3 2.9 3.9 0.7 5.2 -1.1 4.9 1.2 2.4 6.4 7.9 5.0 -1.6 -15.6 19.0 9.4 US2 20.0 12.0 -6.7 0.9 1.1 -0.5 2.8 -1.4 2.6 5.0 -6.9 6.6 -8.3 5.7 -4.3 -20.0 -20.0 -20.0 -20.0 -1.7 -6.7 4.5 -10.3 3.4 12.4 -0.2 2.5 -2.0 3.0 -3.0 2.1 -20.0 0.1 0.4 -2.0 -5.4 -5.9 -20.0 -1.4 -15.7 US20 17.6 15.2 0.9 0.9 1.2 -0.6 2.9 -1.4 2.7 5.9 0.0 7.7 -2.8 7.7 2.0 -1.0 -0.8 -0.7 -0.6 3.7 -0.4 7.0 -4.1 7.3 -1.0 2.6 2.8 1.2 3.7 -0.1 3.7 5.2 2.1 6.6 8.9 7.1 -4.7 -11.0 20.0 15.1 US30 17.2 14.5 1.6 1.1 1.4 -0.7 3.3 -1.6 3.2 6.2 -1.2 8.6 -4.4 8.6 1.6 -6.2 -5.2 -5.0 -5.1 3.7 -1.0 7.8 -5.4 8.0 -0.4 2.9 3.3 1.2 4.6 -0.4 4.4 -2.6 2.5 6.4 8.2 7.2 -9.7 -10.6 9.6 16.4 US5 19.3 14.6 -3.7 1.0 1.2 -0.6 2.9 -1.4 2.7 6.0 -4.9 7.7 -6.9 7.4 -1.3 -9.8 -10.1 -9.8 -9.8 1.4 -3.4 5.9 -6.6 5.8 5.5 1.5 2.7 -0.3 3.6 -1.3 3.3 -10.9 1.1 3.8 4.2 0.3 -1.4 -20.0 6.2 -6.2 VIX 5.8 -10.1 1.8 -7.4 -0.7 -9.3 -0.4 -11.3 -3.7 13.6 -20.0 9.8 -20.0 -17.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 7.9 -20.0 -6.4 NaN -8.7 -1.0 -10.5 -1.3 -13.0 -5.1 NaN NaN NaN NaN NaN -18.0 -20.0 NaN NaN WHEAT -20.0 5.7 20.0 -2.0 -1.5 -0.3 -3.7 -0.3 -3.9 -10.9 3.0 -12.0 -6.1 -7.3 1.2 -15.3 -14.1 -16.1 -15.4 -2.8 2.5 -20.0 -3.1 -18.9 0.6 0.2 -6.0 1.1 -6.5 -0.2 -3.5 -20.0 -20.0 -20.0 9.1 11.9 -12.1 -20.0 -8.3 -20.0 End of report for caleb_strategy_v3