******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240626_204004 produced at 2024-06-26 21:38:02.547008 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.00 -0.27 -0.34 0.0 999.00 -999.00 -0.27 -0.27 -70.01 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.64 -0.17 0.0 0.80 -0.80 -0.64 -0.64 -2.11 10.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.86 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.92 13.0 0 0 caleb_strategy_v3 JPY False False 0.02 -0.10 -0.12 0.0 0.41 -0.41 -0.10 -0.12 -4.80 17.0 -4 -5 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.10 0.0 0.38 -0.38 -0.04 -0.04 -2.49 10.0 -1 -1 caleb_strategy_v3 LEANHOG False False 0.01 -0.10 -0.09 0.0 0.12 -0.12 -0.10 -0.10 -9.99 13.0 -11 -11 caleb_strategy_v3 OAT False False 0.04 0.00 -0.09 0.0 0.41 -0.41 0.00 -0.04 -2.24 10.0 0 -1 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.08 0.0 0.58 -0.58 -0.04 -0.08 -1.86 14.0 -1 -2 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.08 0.0 0.65 -0.65 -0.05 -0.02 -3.53 29.0 -2 -1 caleb_strategy_v3 MXP False False 0.01 -0.07 -0.06 0.0 0.50 -0.50 -0.07 -0.05 -6.87 60.0 -9 -6 caleb_strategy_v3 CHF False False 0.04 -0.04 -0.06 0.0 0.56 -0.56 -0.04 -0.04 -1.28 13.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.08 -0.08 -0.05 -0.04 -9.05 12.0 -7 -6 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -0.57 2.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.81 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -18.33 51.0 -9 -9 caleb_strategy_v3 RUSSELL False False 0.00 -0.07 -0.04 0.0 0.21 -0.21 -0.07 -0.09 -13.45 68.0 -22 -29 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.73 -0.73 0.00 0.00 -0.96 19.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -22.91 59.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.03 0.0 0.12 -0.12 -0.10 -0.10 -1.64 7.0 -6 -6 caleb_strategy_v3 LUMBER-new False False 0.00 -0.00 -0.03 0.0 0.01 -0.01 -0.00 -0.01 -7.06 3.0 -1 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -2.34 11.0 -4 -4 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -0.79 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.03 -1.88 9.0 -2 -3 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.09 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.03 -1.68 8.0 -2 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.02 0.0 0.40 -0.40 -0.05 -0.04 -2.50 56.0 -7 -5 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.02 0.0 0.33 -0.33 0.00 0.00 -1.26 20.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -3.90 66.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.29 9.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.43 -0.43 -0.04 -0.04 -0.22 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 -0.04 -0.20 4.0 0 -1 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.24 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.06 -0.01 0.0 0.06 -0.06 -0.06 -0.06 -0.31 2.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.03 -0.01 0.0 0.82 -0.82 -0.03 -0.03 -0.27 25.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -1.86 10.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 0.01 0.00 0.0 0.05 -0.05 0.01 0.01 0.21 26.0 5 5 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.12 -0.12 -0.01 0.00 -0.15 18.0 -1 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.11 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.04 -0.00 0.0 0.35 -0.35 0.04 0.01 -0.62 58.0 6 2 caleb_strategy_v3 GBP False False 0.02 0.00 -0.00 0.0 0.53 -0.53 0.00 -0.02 -0.07 22.0 0 -1 caleb_strategy_v3 COCOA False False 0.02 0.02 0.00 0.0 0.62 -0.62 0.02 0.00 0.16 26.0 1 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 0.00 0.0 0.32 -0.32 0.00 0.08 0.07 8.0 0 2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.17 6.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.09 5.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.29 -0.29 0.01 0.01 0.63 23.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.04 0.01 0.0 0.23 -0.23 0.04 0.08 0.19 6.0 1 2 caleb_strategy_v3 PLAT False False 0.02 0.03 0.01 0.0 0.16 -0.16 0.03 0.03 0.58 10.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.70 3.0 1 1 caleb_strategy_v3 US10 False False 0.03 0.00 0.01 0.0 0.58 -0.58 0.00 0.00 0.16 17.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.01 0.0 0.10 -0.10 0.00 0.00 0.42 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.02 0.0 0.39 -0.39 0.04 0.02 1.17 21.0 2 1 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 0.02 0.0 0.27 -0.27 -0.01 0.03 3.07 36.0 -1 4 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.49 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.07 0.02 0.0 0.46 -0.46 0.07 0.07 0.47 13.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.10 0.03 0.0 0.39 -0.39 0.10 0.14 1.51 19.0 5 7 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.02 0.03 0.0 0.28 -0.28 0.02 0.02 2.30 23.0 2 2 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.03 0.0 999.00 -999.00 0.03 0.03 1.03 999999999.0 1 1 caleb_strategy_v3 RICE False True 0.01 0.00 0.04 0.0 0.00 0.00 0.00 0.00 4.16 4.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 0.05 0.0 0.44 -0.44 0.00 0.00 1.98 16.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.06 0.0 0.41 -0.41 0.09 0.09 7.28 48.0 10 11 caleb_strategy_v3 DX False False 0.03 0.13 0.10 0.0 999.00 -999.00 0.13 0.13 2.95 999999999.0 4 4 caleb_strategy_v3 SMI False True 0.04 0.00 0.14 0.0 0.00 0.00 0.00 0.00 3.36 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.10 0.14 0.0 0.12 -0.12 0.10 0.12 5.85 5.0 4 5 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.15 0.0 0.39 -0.39 0.18 0.16 6.42 17.0 8 7 caleb_strategy_v3 SOFR False True 0.07 0.00 0.48 0.0 0.00 0.00 0.00 0.00 6.49 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.9 Shocked risk 44.4 Sum abs risk 45.1 Leverage 3.47 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3249442.03, 'annual_cash_vol_target': 812360.5075, 'daily_cash_vol_target': 50772.53171875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6665 0.5638 9.0202 BITCOIN 1681.8070 61440.0000 2.7373 43.7971 BOBL 0.2750 116.5300 0.2360 3.7759 BTP 0.5743 115.9600 0.4953 7.9244 BUND 0.5663 132.0000 0.4290 6.8637 BUXL 1.4019 131.5200 1.0660 17.0553 CAC 69.0485 7640.0000 0.9038 14.4604 CAD 0.0025 0.7312 0.3464 5.5421 CANOLA 8.1699 614.3000 1.3300 21.2793 CHF 0.0050 1.1254 0.4406 7.0491 COCOA 316.7410 7791.0000 4.0655 65.0476 COFFEE 4.5955 224.3500 2.0484 32.7737 COPPER 0.0709 4.3635 1.6247 25.9949 CORN 5.4593 435.7500 1.2528 20.0455 COTTON2 1.1594 75.3100 1.5395 24.6316 CRUDE_W 0.9844 78.1200 1.2601 20.1624 DAX 139.5253 18345.0000 0.7606 12.1690 DOW 233.4891 39573.0000 0.5900 9.4403 DX 0.3731 105.7050 0.3530 5.6482 EUR 0.0045 1.0722 0.4180 6.6881 EURIBOR-ICE 0.0507 97.4000 0.0521 0.8332 EUROSTX 43.5427 4960.0000 0.8779 14.0460 FEEDCOW 1.8112 262.6750 0.6895 11.0326 GASOIL 10.2393 785.0000 1.3044 20.8699 GASOLINE 0.0342 2.2928 1.4905 23.8486 GAS_US_mini 0.1046 2.7350 3.8250 61.1998 GBP 0.0055 1.2629 0.4376 7.0009 GOLD_micro 21.9077 2310.5000 0.9482 15.1709 HEATOIL 0.0341 2.5696 1.3258 21.2125 JGB-SGX-mini 0.2453 142.9700 0.1716 2.7457 JPY 0.0000 0.0063 0.5872 9.3957 LEANHOG 1.1613 75.2500 1.5432 24.6910 LIVECOW 1.2826 186.1250 0.6891 11.0261 LUMBER-new 9.4043 477.5000 1.9695 31.5117 MILK 0.3243 20.5200 1.5806 25.2899 MXP 0.0006 0.0539 1.1501 18.4016 NASDAQ_micro 143.5822 19952.0000 0.7196 11.5142 NIKKEI 317.4045 39410.0000 0.8054 12.8863 NZD 0.0036 0.6078 0.5896 9.4340 OAT 0.5168 123.7400 0.4177 6.6827 OATIES 6.9821 312.7500 2.2325 35.7200 OJ 7.9869 426.5500 1.8724 29.9589 PALLAD 23.2468 926.0000 2.5105 40.1673 PLAT 16.8898 1031.8000 1.6369 26.1909 REDWHEAT 11.1045 596.2500 1.8624 29.7984 RICE 0.1427 15.5800 0.9157 14.6507 ROBUSTA 73.8581 4058.0000 1.8201 29.1210 RUSSELL 19.1782 2034.8000 0.9425 15.0802 SHATZ 0.0894 105.7150 0.0846 1.3528 SILVER-mini 0.5975 29.5500 2.0219 32.3505 SMI 80.6544 12068.0000 0.6683 10.6933 SOFR 0.0668 96.3150 0.0694 1.1098 SOYBEAN 10.8737 1106.5000 0.9827 15.7234 SOYMEAL 4.5924 334.9000 1.3713 21.9406 SOYOIL 0.6387 43.5600 1.4663 23.4610 SP400 23.3195 2936.0000 0.7943 12.7082 SP500_micro 28.3734 5529.7500 0.5131 8.2097 SUGAR11 0.2946 19.5100 1.5098 24.1575 US10 0.4052 110.0469 0.3682 5.8907 US10U 0.5518 113.7656 0.4850 7.7605 US2 0.1015 102.0508 0.0994 1.5908 US20 0.8247 118.9062 0.6935 11.0968 US30 1.2277 126.5938 0.9698 15.5164 US5 0.2603 106.5391 0.2443 3.9088 VIX 0.3580 15.8000 2.2661 36.2578 WHEAT 10.1923 581.5000 1.7528 28.0441 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.50 0.56 375.75 1.00 375.75 50772.53 135.12 4.32 58.36 BITCOIN 61.44 2.74 168.18 1.00 168.18 50772.53 301.89 -7.01 -211.57 BOBL 1165.30 0.24 275.01 1.07 295.29 50772.53 171.94 -5.52 -94.93 BTP 1159.60 0.50 574.32 1.07 616.68 50772.53 82.33 -8.86 -72.92 BUND 1320.00 0.43 566.25 1.07 608.01 50772.53 83.51 -2.65 -22.16 BUXL 1315.20 1.07 1401.94 1.07 1505.34 50772.53 33.73 -5.93 -19.99 CAC 764.00 0.90 690.48 1.07 741.41 50772.53 68.48 -7.76 -53.15 CAD 731.15 0.35 253.26 1.00 253.26 50772.53 200.48 -6.80 -136.24 CANOLA 122.86 1.33 163.40 0.73 119.71 50772.53 424.13 -17.77 -753.49 CHF 1406.81 0.44 619.80 1.00 619.80 50772.53 81.92 -6.03 -49.43 COCOA 779.10 4.07 3167.41 1.00 3167.41 50772.53 16.03 4.76 7.62 COFFEE 841.31 2.05 1723.31 1.00 1723.31 50772.53 29.46 4.91 14.46 COPPER 1090.88 1.62 1772.33 1.00 1772.33 50772.53 28.65 -0.78 -2.25 CORN 217.88 1.25 272.96 1.00 272.96 50772.53 186.01 -20.00 -372.01 COTTON2 376.55 1.54 579.69 1.00 579.69 50772.53 87.59 -12.47 -109.24 CRUDE_W 781.20 1.26 984.43 1.00 984.43 50772.53 51.58 10.48 54.05 DAX 183.45 0.76 139.53 1.07 149.82 50772.53 338.90 -0.54 -18.20 DOW 197.86 0.59 116.74 1.00 116.74 50772.53 434.90 -3.86 -167.71 DX 1057.05 0.35 373.15 1.00 373.15 50772.53 136.06 8.36 113.80 EUR 1340.25 0.42 560.23 1.00 560.23 50772.53 90.63 -7.90 -71.59 EURIBOR-ICE 2435.00 0.05 126.80 1.07 136.15 50772.53 372.90 -1.66 -61.98 EUROSTX 496.00 0.88 435.43 1.07 467.54 50772.53 108.60 -3.41 -36.98 FEEDCOW 1313.38 0.69 905.62 1.00 905.62 50772.53 56.06 0.38 2.12 GASOIL 785.00 1.30 1023.93 1.00 1023.93 50772.53 49.59 1.95 9.65 GASOLINE 962.98 1.49 1435.35 1.00 1435.35 50772.53 35.37 6.71 23.75 GAS_US_mini 68.38 3.82 261.53 1.00 261.53 50772.53 194.13 0.10 1.93 GBP 789.31 0.44 345.37 1.00 345.37 50772.53 147.01 -0.19 -2.85 GOLD_micro 231.05 0.95 219.08 1.00 219.08 50772.53 231.76 -3.16 -73.17 HEATOIL 1079.23 1.33 1430.82 1.00 1430.82 50772.53 35.48 -5.15 -18.27 JGB-SGX-mini 142970.00 0.17 24534.29 0.01 153.89 50772.53 329.93 0.56 18.32 JPY 787.56 0.59 462.48 1.00 462.48 50772.53 109.78 -16.84 -184.92 LEANHOG 301.00 1.54 464.50 1.00 464.50 50772.53 109.31 -15.04 -164.39 LIVECOW 744.50 0.69 513.06 1.00 513.06 50772.53 98.96 19.59 193.87 LUMBER-new 131.31 1.97 258.62 1.00 258.62 50772.53 196.32 -16.79 -329.65 MILK 410.40 1.58 648.69 1.00 648.69 50772.53 78.27 -0.54 -4.21 MXP 269.35 1.15 309.78 1.00 309.78 50772.53 163.90 -2.86 -46.83 NASDAQ_micro 399.04 0.72 287.16 1.00 287.16 50772.53 176.81 5.60 98.99 NIKKEI 39410.00 0.81 31740.45 0.01 199.09 50772.53 255.02 1.11 28.37 NZD 607.75 0.59 358.34 1.00 358.34 50772.53 141.69 3.17 44.97 OAT 1237.40 0.42 516.82 1.07 554.94 50772.53 91.49 -7.17 -65.63 OATIES 156.38 2.23 349.11 1.00 349.11 50772.53 145.44 -11.57 -168.21 OJ 639.83 1.87 1198.03 1.00 1198.03 50772.53 42.38 7.72 32.71 PALLAD 926.00 2.51 2324.68 1.00 2324.68 50772.53 21.84 -4.22 -9.22 PLAT 515.90 1.64 844.49 1.00 844.49 50772.53 60.12 2.84 17.05 REDWHEAT 298.12 1.86 555.23 1.00 555.23 50772.53 91.44 -13.85 -126.67 RICE 311.60 0.92 285.32 1.00 285.32 50772.53 177.95 9.61 171.02 ROBUSTA 405.80 1.82 738.58 1.00 738.58 50772.53 68.74 7.84 53.92 RUSSELL 101.74 0.94 95.89 1.00 95.89 50772.53 529.48 -7.67 -406.03 SHATZ 1057.15 0.08 89.38 1.07 95.98 50772.53 529.02 -7.20 -380.77 SILVER-mini 738.75 2.02 1493.68 1.00 1493.68 50772.53 33.99 0.95 3.22 SMI 1206.80 0.67 806.54 1.12 903.73 50772.53 56.18 17.53 98.47 SOFR 2407.88 0.07 167.01 1.00 167.01 50772.53 304.01 3.51 106.85 SOYBEAN 553.25 0.98 543.68 1.00 543.68 50772.53 93.39 -18.91 -176.59 SOYMEAL 334.90 1.37 459.24 1.00 459.24 50772.53 110.56 -12.54 -138.61 SOYOIL 261.36 1.47 383.24 1.00 383.24 50772.53 132.48 -15.09 -199.94 SP400 2936.00 0.79 2331.95 1.00 2331.95 50772.53 21.77 -7.93 -17.28 SP500_micro 276.49 0.51 141.87 1.00 141.87 50772.53 357.89 8.76 313.47 SUGAR11 218.51 1.51 329.92 1.00 329.92 50772.53 153.89 -0.46 -7.06 US10 1100.47 0.37 405.16 1.00 405.16 50772.53 125.31 1.02 12.79 US10U 1137.66 0.49 551.80 1.00 551.80 50772.53 92.01 4.04 37.22 US2 2041.02 0.10 202.92 1.00 202.92 50772.53 250.20 -6.04 -151.22 US20 1189.06 0.69 824.67 1.00 824.67 50772.53 61.57 6.25 38.49 US30 1265.94 0.97 1227.68 1.00 1227.68 50772.53 41.36 3.67 15.18 US5 1065.39 0.24 260.28 1.00 260.28 50772.53 195.07 -1.11 -21.59 VIX 158.00 2.27 358.05 1.00 358.05 50772.53 141.80 -20.00 -283.61 WHEAT 290.75 1.75 509.61 1.00 509.61 50772.53 99.63 -14.20 -141.46 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 58.360 0.010 2.5 1.514 BITCOIN -211.570 0.043 2.5 -22.910 BOBL -94.927 0.004 2.5 -0.963 BTP -72.922 0.014 2.5 -2.487 BUND -22.162 0.004 2.5 -0.225 BUXL -19.993 0.004 2.5 -0.203 CAC -53.154 0.014 2.5 -1.813 CAD -136.237 0.010 2.5 -3.535 CANOLA -753.486 0.010 2.5 -18.331 CHF -49.429 0.010 2.5 -1.282 COCOA 7.624 0.009 2.5 0.163 COFFEE 14.462 0.005 2.5 0.169 COPPER -2.249 0.043 2.5 -0.244 CORN -372.010 0.010 2.5 -9.050 COTTON2 -109.236 0.009 2.5 -2.340 CRUDE_W 54.052 0.043 2.5 5.853 DAX -18.198 0.014 2.5 -0.621 DOW -167.711 0.009 2.5 -3.898 DX 113.796 0.010 2.5 2.953 EUR -71.593 0.010 2.5 -1.858 EURIBOR-ICE -61.982 0.014 2.5 -2.114 EUROSTX -36.982 0.014 2.5 -1.261 FEEDCOW 2.119 0.013 2.5 0.070 GASOIL 9.653 0.017 2.5 0.418 GASOLINE 23.748 0.017 2.5 1.029 GAS_US_mini 1.932 0.043 2.5 0.209 GBP -2.850 0.010 2.5 -0.074 GOLD_micro -73.166 0.014 2.5 -2.496 HEATOIL -18.272 0.017 2.5 -0.792 JGB-SGX-mini 18.320 0.043 2.5 1.984 JPY -184.915 0.010 2.5 -4.798 LEANHOG -164.387 0.024 2.5 -9.990 LIVECOW 193.866 0.013 2.5 6.424 LUMBER-new -329.654 0.009 2.5 -7.058 MILK -4.211 0.009 2.5 -0.090 MXP -46.833 0.059 2.5 -6.874 NASDAQ_micro 98.985 0.009 2.5 2.300 NIKKEI 28.371 0.043 2.5 3.072 NZD 44.966 0.010 2.5 1.167 OAT -65.633 0.014 2.5 -2.239 OATIES -168.206 0.010 2.5 -4.092 OJ 32.710 0.009 2.5 0.701 PALLAD -9.216 0.014 2.5 -0.314 PLAT 17.049 0.014 2.5 0.582 REDWHEAT -126.672 0.005 2.5 -1.680 RICE 171.025 0.010 2.5 4.161 ROBUSTA 53.921 0.005 2.5 0.630 RUSSELL -406.032 0.013 2.5 -13.455 SHATZ -380.768 0.004 2.5 -3.861 SILVER-mini 3.225 0.014 2.5 0.110 SMI 98.469 0.014 2.5 3.359 SOFR 106.848 0.024 2.5 6.494 SOYBEAN -176.585 0.004 2.5 -1.642 SOYMEAL -138.610 0.004 2.5 -1.289 SOYOIL -199.937 0.004 2.5 -1.861 SP400 -17.275 0.013 2.5 -0.572 SP500_micro 313.468 0.009 2.5 7.285 SUGAR11 -7.058 0.009 2.5 -0.150 US10 12.790 0.005 2.5 0.162 US10U 37.218 0.005 2.5 0.472 US2 -151.223 0.005 2.5 -1.916 US20 38.490 0.005 2.5 0.488 US30 15.180 0.005 2.5 0.192 US5 -21.591 0.005 2.5 -0.274 VIX -283.609 0.099 2.5 -70.006 WHEAT -141.460 0.005 2.5 -1.877 ===================== Position diags ===================== AUD 3.51 BITCOIN 32.69 BOBL 1.74 BTP 2.81 BUND 0.85 BUXL 0.34 CAC 2.34 CAD 5.20 CANOLA 10.32 CHF 2.13 COCOA 0.34 COFFEE 0.34 COPPER 3.10 CORN 4.53 COTTON2 1.88 CRUDE_W 5.58 DAX 11.56 DOW 10.11 DX 3.53 EUR 2.35 EURIBOR-ICE 12.72 EUROSTX 3.70 FEEDCOW 1.86 GASOIL 2.15 GASOLINE 1.53 GAS_US_mini 21.02 GBP 3.81 GOLD_micro 7.90 HEATOIL 1.54 JGB-SGX-mini 35.73 JPY 2.85 LEANHOG 6.64 LIVECOW 3.28 LUMBER-new 4.20 MILK 1.68 MXP 24.06 NASDAQ_micro 4.11 NIKKEI 27.62 NZD 3.68 OAT 3.12 OATIES 3.54 OJ 0.91 PALLAD 0.74 PLAT 2.05 REDWHEAT 1.21 RICE 4.33 ROBUSTA 0.80 RUSSELL 17.55 SHATZ 5.36 SILVER-mini 1.16 SMI 1.92 SOFR 18.48 SOYBEAN 0.87 SOYMEAL 1.03 SOYOIL 1.23 SP400 0.72 SP500_micro 8.32 SUGAR11 3.27 US10 1.59 US10U 1.17 US2 3.17 US20 0.78 US30 0.52 US5 2.47 VIX 35.00 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.5 1.2 1.9 5.0 5 BITCOIN -22.9 -26.2 -19.6 0.0 0 BOBL -1.0 -1.1 -0.8 0.0 0 BTP -2.5 -2.8 -2.2 -1.0 -1 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.2 -0.2 -0.2 0.0 0 CAC -1.8 -2.0 -1.6 0.0 0 CAD -3.5 -4.1 -3.0 -2.0 -2 CANOLA -18.3 -19.4 -17.3 -9.0 -9 CHF -1.3 -1.5 -1.1 -1.0 -1 COCOA 0.2 0.1 0.2 1.0 1 COFFEE 0.2 0.1 0.2 0.0 0 COPPER -0.2 -0.6 0.1 0.0 0 CORN -9.1 -9.5 -8.6 -7.0 -7 COTTON2 -2.3 -2.5 -2.2 -4.0 -4 CRUDE_W 5.9 5.3 6.4 4.0 4 DAX -0.6 -1.8 0.5 6.0 6 DOW -3.9 -4.9 -2.9 0.0 0 DX 3.0 2.6 3.3 4.0 4 EUR -1.9 -2.1 -1.6 -1.0 -1 EURIBOR-ICE -2.1 -3.4 -0.8 -8.0 -8 EUROSTX -1.3 -1.6 -0.9 0.0 0 FEEDCOW 0.1 -0.1 0.3 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOLINE 1.0 0.9 1.2 1.0 1 GAS_US_mini 0.2 -1.9 2.3 5.0 5 GBP -0.1 -0.5 0.3 0.0 0 GOLD_micro -2.5 -3.3 -1.7 -7.0 -7 HEATOIL -0.8 -0.9 -0.6 0.0 0 JGB-SGX-mini 2.0 -1.6 5.6 0.0 0 JPY -4.8 -5.1 -4.5 -4.0 -4 LEANHOG -10.0 -10.7 -9.3 -11.0 -11 LIVECOW 6.4 6.1 6.8 8.0 8 LUMBER-new -7.1 -7.5 -6.6 -1.0 -1 MILK -0.1 -0.3 0.1 NaN 0 MXP -6.9 -9.3 -4.5 -9.0 -9 NASDAQ_micro 2.3 1.9 2.7 2.0 2 NIKKEI 3.1 0.3 5.8 -1.0 -1 NZD 1.2 0.8 1.5 2.0 2 OAT -2.2 -2.6 -1.9 0.0 0 OATIES -4.1 -4.4 -3.7 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD -0.3 -0.4 -0.2 -2.0 -2 PLAT 0.6 0.4 0.8 2.0 2 REDWHEAT -1.7 -1.8 -1.6 -2.0 -2 RICE 4.2 3.7 4.6 NaN 0 ROBUSTA 0.6 0.5 0.7 1.0 1 RUSSELL -13.5 -15.2 -11.7 -22.0 -22 SHATZ -3.9 -4.4 -3.3 NaN 0 SILVER-mini 0.1 -0.0 0.2 0.0 0 SMI 3.4 3.2 3.6 0.0 0 SOFR 6.5 4.6 8.3 NaN 0 SOYBEAN -1.6 -1.7 -1.6 -6.0 -6 SOYMEAL -1.3 -1.4 -1.2 0.0 0 SOYOIL -1.9 -2.0 -1.7 -2.0 -2 SP400 -0.6 -0.6 -0.5 0.0 0 SP500_micro 7.3 6.5 8.1 10.0 10 SUGAR11 -0.2 -0.5 0.2 -1.0 -1 US10 0.2 0.0 0.3 0.0 0 US10U 0.5 0.4 0.6 2.0 2 US2 -1.9 -2.2 -1.6 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.1 0.2 1.0 1 US5 -0.3 -0.5 -0.0 -1.0 -1 VIX -70.0 -73.5 -66.5 -56.0 -56 WHEAT -1.9 -2.0 -1.7 -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 0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 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 0.3 0.3 0.4 0.0 -0.2 0.1 -0.0 BITCOIN -0.6 -0.2 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.3 -0.2 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.2 0.5 -0.2 -2.7 -0.0 -0.1 0.2 -0.1 0.5 -0.1 -0.2 -0.5 0.3 0.4 0.4 -0.5 -0.1 0.0 0.0 BOBL 0.6 0.2 -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 -0.2 -0.0 -0.0 0.0 -0.1 0.0 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 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 0.1 -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 -0.1 -0.6 -0.6 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 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.2 -0.0 -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 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -0.1 -0.3 0.1 -0.7 -0.7 -0.5 -0.3 CAC -0.6 -0.6 -0.6 0.1 0.0 0.2 0.0 0.3 0.0 0.0 0.2 -0.1 0.5 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.3 -0.2 -1.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.7 -0.5 -0.6 -0.6 -0.3 -0.0 0.3 -0.2 0.4 CAD -0.0 0.0 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.5 0.0 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.0 0.5 0.2 -0.2 -0.2 0.0 -0.3 -0.1 -0.2 CANOLA -0.6 -0.2 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -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 -0.3 -0.5 -0.1 0.1 -0.3 -0.6 0.1 -0.2 CHF 0.5 0.6 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.4 0.0 -0.5 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 -0.0 -0.3 0.1 0.6 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -1.1 0.3 0.6 0.4 -0.5 0.2 -0.5 0.0 -0.4 COCOA 0.0 0.0 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.1 0.2 -0.0 -2.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 0.4 -0.1 0.6 0.3 0.1 0.5 0.3 COFFEE -0.1 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.3 0.0 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.3 0.1 -2.7 0.0 -0.0 0.2 -0.0 0.2 0.0 0.6 0.2 0.6 0.0 0.6 0.2 -0.4 0.5 -0.1 COPPER -0.6 -0.5 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 -0.1 -0.1 0.2 0.5 -0.0 -0.0 0.4 0.3 CORN -0.5 -0.2 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.5 -0.2 -0.1 -0.3 -0.3 -0.4 -0.3 -0.1 -0.1 -0.2 -0.3 -0.2 -1.8 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.4 -0.0 0.1 0.2 -0.7 -0.6 -0.7 -0.0 COTTON2 0.0 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 -0.0 -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 0.5 0.2 -0.3 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.4 -0.2 -0.1 -0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.2 0.2 0.5 0.2 0.0 0.2 0.2 0.3 0.3 0.1 0.1 0.2 0.3 0.1 -0.6 -0.0 0.0 -0.0 0.1 0.1 0.0 0.2 -0.0 -0.2 -0.5 -0.1 0.7 0.6 0.7 0.7 DAX -0.6 -0.4 -0.4 0.1 0.0 0.2 0.0 0.3 0.0 -0.0 0.4 -0.1 0.6 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.5 -0.1 1.5 0.0 -0.0 0.2 -0.0 0.4 -0.1 -0.5 -0.5 -0.6 -0.6 0.2 0.1 0.2 -0.1 0.3 DOW 0.1 -0.1 -0.4 0.1 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 0.0 -0.3 -0.4 -0.4 0.3 -0.1 0.4 -0.2 DX 0.3 -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 0.3 0.1 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.9 0.5 0.6 -0.2 0.6 -0.1 0.3 -0.1 0.5 EUR -0.4 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.3 -0.2 -0.4 -0.2 -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 -0.1 -0.4 -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 -0.0 -0.2 -0.1 -0.7 -0.7 -0.1 0.2 EUROSTX -0.5 -0.5 -0.5 0.1 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 -0.0 0.4 -0.0 0.3 -0.5 -0.6 -0.6 0.1 -0.3 0.1 -0.6 0.2 FEEDCOW 0.1 0.3 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 0.2 0.1 -0.1 0.1 0.0 -0.2 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.0 0.1 -1.0 -0.0 0.0 -0.0 0.0 0.1 0.0 -1.1 0.5 0.6 0.3 -0.4 0.3 0.7 0.6 0.7 GASOIL 0.5 -0.2 -0.3 -0.0 0.0 0.0 0.1 0.1 0.0 0.2 0.0 0.2 0.5 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 0.2 0.0 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE 0.3 -0.4 -0.2 -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 0.4 -0.0 0.0 0.2 0.3 0.1 -2.7 -0.0 0.0 -0.0 0.1 0.1 0.0 0.5 0.1 -0.1 -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 -0.4 0.0 0.1 -0.2 -0.4 -0.4 -0.4 0.1 -0.0 -0.0 -0.4 0.0 2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.5 0.1 0.6 0.1 -0.0 -0.2 -0.2 -0.4 GBP -0.2 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.3 -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 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.2 -0.2 0.0 0.4 0.4 -0.1 -0.7 -0.2 -0.4 GOLD_micro -0.4 -0.5 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.0 -0.2 -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 -0.0 0.2 -0.0 0.5 0.0 -0.3 0.3 -0.1 HEATOIL 0.6 -0.2 -0.3 -0.0 0.0 0.0 0.1 0.1 0.0 0.2 -0.2 0.2 0.2 0.2 -0.1 -0.1 0.2 -0.1 0.1 -0.0 -0.1 0.2 0.1 0.1 -2.7 -0.0 0.0 -0.1 0.1 0.0 0.0 -0.2 0.1 -0.1 -0.4 -0.6 0.1 0.2 -0.1 0.1 JGB-SGX-mini 0.6 -0.0 -0.5 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 1.1 -0.1 -0.1 -0.4 -0.3 -0.4 -0.2 0.0 0.5 JPY -0.2 -0.3 -0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.1 -0.3 -0.3 -0.5 -0.6 -0.6 -0.4 -0.6 -0.4 LEANHOG -0.6 -0.6 -0.3 -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 0.4 -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 0.2 -0.4 -0.6 -0.6 -0.4 -0.3 -0.3 0.2 LIVECOW 0.4 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.4 0.2 0.1 0.2 0.2 0.4 0.2 0.4 0.4 0.2 0.1 0.2 0.2 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.5 0.2 0.7 0.4 0.7 LUMBER-new -0.1 -0.3 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.2 -0.2 NaN -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.1 -0.2 -0.4 -0.7 -0.3 -0.4 0.0 -0.2 MILK -0.5 0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 -0.0 0.1 1.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 -1.1 -0.2 0.6 0.6 0.6 -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 0.0 -0.0 -0.0 0.2 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 0.4 -0.6 -0.6 -0.1 0.6 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 -0.2 0.0 0.0 0.2 0.0 0.2 0.0 -0.0 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 -0.4 0.4 0.6 0.6 0.2 -0.1 0.1 -0.3 0.1 NIKKEI 0.0 -0.1 -0.3 0.1 0.0 0.2 0.0 0.3 0.0 0.2 0.4 0.1 0.6 0.1 -0.0 0.3 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.6 0.0 1.1 0.1 -0.3 -0.6 -0.5 -0.0 -0.2 -0.3 -0.4 NZD -0.1 0.4 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 -0.0 0.0 0.1 0.0 -0.1 0.1 -0.0 0.0 0.0 0.3 -0.1 0.1 0.5 0.2 0.2 -0.2 0.2 0.1 OAT -0.1 -0.2 -0.4 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.7 -0.1 -0.6 -0.5 -0.1 -0.7 -0.6 -0.1 -0.1 OATIES -0.6 -0.4 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.4 -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 -0.0 0.4 0.0 0.1 0.2 0.3 0.2 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 0.0 0.1 -0.0 0.2 0.0 0.9 0.2 -0.3 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD -0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.2 0.2 -0.1 -0.3 -0.7 -0.7 -0.7 -0.6 PLAT -0.5 0.1 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.0 -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 0.5 0.2 0.5 0.1 -0.7 -0.3 -0.1 0.1 REDWHEAT -0.6 -0.1 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 -0.1 -0.0 -0.2 -0.2 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.5 -0.5 -0.6 -0.0 0.4 -0.5 -0.7 -0.2 -0.6 RICE -0.2 0.3 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.5 0.0 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 0.2 -0.4 -0.2 -0.4 -0.1 ROBUSTA -0.0 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 0.3 0.0 1.1 0.1 0.6 0.2 0.6 0.1 -0.3 0.3 0.1 RUSSELL -0.3 -0.1 -0.1 0.0 0.0 0.2 0.0 0.3 0.0 -0.1 0.3 -0.1 0.4 -0.1 -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 -0.6 -0.5 -0.4 0.0 -0.7 -0.0 -0.7 SHATZ 0.6 0.5 -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 -0.0 0.0 -0.1 0.0 -1.1 0.3 0.2 -0.1 -0.2 -0.7 -0.5 -0.5 -0.4 SILVER-mini -0.6 -0.0 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 0.3 0.4 -0.1 -0.3 0.2 0.1 SMI -0.2 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 -0.1 -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 -0.3 0.1 0.5 0.6 0.3 0.1 0.1 -0.0 SOFR 0.5 0.6 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 0.2 0.1 0.3 0.3 0.1 0.1 -0.6 0.5 0.0 SOYBEAN -0.6 -0.3 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.1 -0.0 0.1 -0.0 0.0 -0.2 -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 -0.4 -0.0 0.2 -0.7 -0.7 -0.5 -0.7 SOYMEAL -0.6 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.3 -0.1 0.0 0.4 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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 0.1 0.2 -0.1 -0.2 -0.5 -0.6 -0.0 -0.0 SP400 -0.3 -0.3 -0.2 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 -0.5 -0.2 0.1 -0.3 0.1 -0.7 SP500_micro 0.6 0.6 -0.0 0.1 0.0 0.2 0.0 0.3 0.1 0.0 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 0.0 0.2 0.1 0.3 0.1 -0.6 0.4 0.6 0.6 0.4 0.2 0.0 0.0 -0.0 SUGAR11 0.6 0.1 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.4 0.1 -0.3 0.1 -0.1 -0.0 0.2 0.0 0.1 -0.1 -0.2 0.1 -0.3 0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 0.7 0.5 0.6 0.0 -0.6 0.4 0.7 0.7 0.7 US10 0.5 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -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 -0.0 -0.6 0.3 0.1 US10U 0.5 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 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.2 0.1 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.2 0.3 0.2 -0.0 -0.5 0.6 0.3 US2 0.5 0.4 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.2 0.0 -0.3 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.0 1.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.0 0.0 -0.0 -0.2 -0.1 -0.7 -0.0 -0.5 US20 0.5 0.5 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.3 0.1 0.2 0.3 0.2 -0.1 -0.4 0.7 0.5 US30 0.5 0.5 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -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 -0.3 0.3 0.6 US5 0.5 0.5 -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 0.0 -0.2 0.0 0.7 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 0.1 0.2 0.0 -0.0 -0.7 0.2 -0.2 VIX 0.3 -0.4 0.1 -0.1 -0.1 -0.4 -0.1 -0.7 -0.1 -0.1 -0.9 -0.0 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -0.9 -0.1 NaN -0.2 -0.1 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -0.9 -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 0.0 -0.1 -0.2 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 -0.2 -0.1 -0.2 0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -1.1 -0.5 -0.6 0.1 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 -2.5 6.6 5.3 -2.0 -11.1 -1.2 -8.1 0.7 -4.2 6.9 -0.4 7.3 -5.0 8.6 12.5 -2.4 -2.8 -2.6 -2.6 4.8 3.2 1.9 -1.4 3.4 3.6 3.1 0.3 2.6 1.1 0.3 2.0 -0.0 16.9 8.9 8.3 12.3 1.3 -6.6 2.7 -1.0 BITCOIN -17.8 -7.7 0.4 -3.7 -6.5 0.1 -7.0 1.1 -7.1 -11.3 13.0 -18.1 16.6 -5.5 -2.6 -7.3 -7.4 -7.5 -7.6 -2.4 14.4 -20.0 20.0 -18.0 -20.0 -0.4 -11.7 8.8 -12.6 14.5 -8.1 -3.7 -20.0 8.6 13.2 12.0 -16.5 -4.3 0.6 1.0 BOBL 19.4 5.2 -6.5 1.0 -1.4 -0.4 1.0 -1.3 2.0 0.3 -6.2 4.9 -5.3 4.1 -2.4 -20.0 -8.9 -10.6 -8.6 -0.5 -3.9 4.5 -5.0 4.2 3.8 0.1 0.1 -1.2 2.3 -1.5 2.2 -9.0 8.5 1.3 -6.0 -0.8 -20.0 -15.4 -7.5 -10.1 BTP -2.4 -7.5 -10.3 1.7 -2.5 -0.7 1.7 -2.2 3.5 -7.8 5.5 -1.0 8.5 -4.2 -7.6 -0.2 4.8 1.9 3.3 -3.4 0.5 -2.4 4.4 -3.3 -20.0 -2.3 -4.0 1.4 -2.2 4.7 -2.8 13.2 -5.3 -20.0 -18.2 5.8 -16.0 -12.2 1.7 2.5 BUND 15.8 3.6 -4.7 1.1 -1.6 -0.4 1.1 -1.4 2.2 0.0 -4.8 5.2 -2.7 4.4 -1.6 2.8 -0.6 -1.8 -2.5 0.2 -2.3 4.1 -3.4 4.1 1.3 0.6 -0.2 -0.4 2.5 -0.7 2.5 3.3 8.1 -0.4 -6.0 2.1 -20.0 -19.0 -6.1 -11.2 BUXL 12.9 1.2 -2.2 1.2 -1.8 -0.5 1.2 -1.6 2.5 -3.2 -3.7 3.2 -2.3 2.9 -2.4 -1.9 -3.0 -4.4 -4.3 -0.4 -2.2 1.8 -3.7 2.6 -2.2 0.5 -1.4 0.0 1.6 -0.4 2.0 -0.6 7.1 -3.4 -9.0 3.7 -20.0 -20.0 -14.5 -9.5 CAC -20.0 -20.0 -20.0 4.8 1.5 6.7 3.4 7.7 3.9 1.2 9.0 -9.3 13.3 -11.4 -6.9 -7.3 0.3 -1.3 0.8 -11.5 1.7 -14.5 10.5 -19.3 -9.8 -3.3 -2.0 1.4 -4.9 4.0 -6.3 12.2 -20.0 -20.0 -20.0 -9.3 -0.9 7.7 -6.4 10.9 CAD -0.4 1.4 -6.1 -2.5 -13.8 -1.5 -10.1 0.9 -5.2 3.6 -17.0 2.8 -15.4 -4.6 -12.0 -4.2 -2.8 -3.7 -3.2 -6.0 -9.2 3.3 -10.3 -0.9 -0.8 -4.3 0.5 -6.2 2.9 -6.7 -0.6 -0.4 20.0 7.5 -6.4 -6.5 1.2 -8.3 -3.9 -5.5 CANOLA -20.0 -4.9 15.9 -1.7 -1.9 -0.4 -2.7 -0.3 -2.9 -5.0 -4.5 -8.0 -6.4 -7.8 -3.6 -12.6 -9.6 -14.0 -13.4 -6.8 -4.6 -11.9 -7.0 -11.6 -19.5 -2.2 -2.2 -1.6 -3.4 -2.4 -3.5 -20.0 -13.2 -14.2 -3.5 3.8 -8.4 -16.9 2.7 -5.3 CHF 14.5 17.3 -12.0 -1.9 -10.8 -1.2 -7.8 0.7 -4.1 -16.8 -14.2 1.0 -13.0 8.4 -4.3 -16.7 -16.4 -16.8 -16.5 1.0 -9.8 -3.4 -11.4 5.9 4.5 1.1 -6.4 -3.2 -1.2 -3.7 3.1 -20.0 12.6 20.0 12.6 -14.6 4.9 -14.4 1.1 -12.3 COCOA 0.6 0.1 -13.6 -1.3 -1.5 -0.3 -2.0 -0.2 -2.2 -6.1 3.4 -4.7 4.6 -0.1 1.6 14.7 15.5 18.8 19.3 2.9 6.7 -7.8 8.1 -1.6 -17.1 1.5 -1.9 4.1 -1.5 5.8 -0.3 20.0 -11.2 11.5 -2.3 20.0 10.2 3.0 13.8 7.9 COFFEE -2.0 3.1 10.1 -3.3 -3.7 -0.8 -5.1 -0.6 -5.5 -9.7 12.1 0.1 11.4 11.4 10.7 2.5 7.2 5.3 7.1 13.7 15.5 3.1 13.0 9.1 -20.0 4.0 -2.6 6.7 -0.9 6.7 0.9 10.3 7.1 20.0 1.2 20.0 5.1 -12.3 15.7 -3.5 COPPER -20.0 -16.2 14.8 -1.3 -2.2 0.0 -2.4 0.4 -2.4 -7.1 3.5 -7.7 3.4 -7.2 0.9 0.8 -2.9 0.2 -1.5 0.4 5.5 -6.7 5.4 -5.4 -8.0 0.4 -1.6 2.2 -2.3 2.1 -1.8 5.2 -3.9 -2.2 4.7 14.9 -0.4 -0.5 11.4 8.1 CORN -15.2 -5.0 8.3 -3.2 -3.6 -0.8 -5.0 -0.5 -5.4 -15.0 -9.2 -15.9 -15.0 -14.4 -8.6 -16.3 -12.5 -17.7 -16.7 -11.2 -8.3 -20.0 -12.6 -19.8 -13.6 -3.2 -12.5 -2.9 -9.6 -5.2 -6.4 -20.0 -16.6 -0.5 3.5 5.9 -20.0 -18.2 -20.0 -0.6 COTTON2 0.1 -12.8 -20.0 -2.5 -2.8 -0.6 -4.0 -0.4 -4.3 11.6 -11.7 -1.3 -8.4 -7.3 -12.6 -7.3 1.5 -1.4 0.8 -14.3 -14.3 5.6 -8.8 -5.4 -20.0 -3.6 3.9 -2.5 2.0 -0.3 -1.3 -0.5 20.0 7.2 -8.9 -20.0 -3.5 -10.2 11.9 -0.7 CRUDE_W 12.6 -7.2 -3.0 -0.6 5.1 0.1 7.0 2.6 3.3 14.1 7.2 20.0 14.4 15.3 4.2 12.1 12.1 12.9 12.6 5.2 5.3 19.2 10.0 13.8 -4.6 -3.0 3.8 -1.2 5.7 2.7 1.0 2.8 -0.4 -7.5 -14.3 -1.7 20.0 18.4 20.0 20.0 DAX -20.0 -13.1 -13.0 5.0 1.5 7.1 3.5 8.1 4.1 -5.0 14.4 -11.1 16.3 -11.5 -2.5 -9.5 -11.4 -10.7 -11.4 -1.6 11.0 -9.8 17.8 -10.6 11.2 0.1 -2.3 6.9 -4.4 9.9 -4.7 -8.7 -20.0 -20.0 -20.0 7.5 3.2 5.7 -3.5 9.7 DOW 1.6 -4.3 -13.5 4.7 1.4 6.6 3.3 7.5 3.8 6.0 11.6 10.5 13.4 -0.2 -1.7 -10.7 -11.2 -11.2 -11.5 1.1 6.3 7.1 13.5 3.2 -13.4 0.8 0.0 5.1 1.0 9.6 0.1 -8.5 1.9 -9.0 -12.3 -12.7 9.5 -3.0 11.3 -7.1 DX 8.8 -6.0 6.7 -2.0 -11.2 -1.2 -8.2 0.7 -4.3 16.9 15.0 18.6 14.0 11.3 13.4 7.1 6.9 7.3 7.1 9.3 9.3 16.0 9.4 12.5 -20.0 5.1 8.2 5.0 8.7 5.1 6.9 16.7 20.0 20.0 -6.5 20.0 -2.6 8.1 -2.2 13.7 EUR -12.4 3.0 -3.9 -2.1 -11.8 -1.3 -8.6 0.8 -4.5 -17.1 -11.2 -18.6 -10.0 -14.5 -8.9 -7.3 -7.1 -7.3 -7.1 -7.6 -5.7 -14.0 -5.3 -12.1 20.0 -3.9 -7.6 -1.8 -8.6 -1.2 -7.3 -7.4 -4.0 -13.7 -4.3 -0.5 -8.1 -20.0 -8.6 -15.5 EURIBOR-ICE 14.5 0.3 -16.0 1.0 -1.4 -0.4 1.0 -1.2 2.0 -0.7 -3.9 4.9 -0.1 3.6 -3.9 -5.9 -4.9 -5.8 -5.0 -1.4 -2.8 2.7 -1.6 2.4 11.5 -0.7 -0.6 -1.2 1.4 -0.4 1.2 -2.1 4.3 -1.5 -6.8 -3.2 -20.0 -20.0 -4.1 5.7 EUROSTX -15.4 -15.6 -15.4 4.9 1.5 6.9 3.4 7.9 4.0 3.5 15.5 -5.4 16.9 -5.7 -0.4 -6.5 -2.3 -6.3 -4.1 0.1 11.3 -5.7 18.5 -6.9 -2.2 0.9 -1.3 8.0 -3.3 11.9 -3.7 6.0 -20.0 -20.0 -20.0 4.0 -10.3 3.9 -19.0 5.1 FEEDCOW 2.0 8.4 -7.9 -4.2 -4.8 -1.1 -6.7 -0.7 -7.2 7.0 5.7 8.9 -3.0 5.9 1.3 -12.1 -20.0 -20.0 -20.0 3.4 -0.6 6.2 -0.2 6.3 -7.2 -0.5 4.9 -1.0 3.2 1.9 1.4 -20.0 20.0 20.0 10.1 -11.5 8.3 20.0 17.9 20.0 GASOIL 15.1 -7.5 -9.2 -0.5 4.8 0.1 6.6 2.4 3.1 18.2 1.6 20.0 12.8 13.9 -6.1 -1.1 13.3 1.3 7.1 -0.8 -1.3 19.7 8.0 11.5 6.3 -1.0 7.0 -1.2 8.1 2.4 4.4 0.1 10.2 7.3 0.7 -10.4 -19.9 -12.6 -20.0 -20.0 GASOLINE 9.9 -12.8 -4.8 -0.5 4.8 0.1 6.5 2.4 3.1 19.5 6.9 20.0 13.7 5.1 -5.8 20.0 16.5 20.0 18.4 -2.0 1.9 17.4 10.2 7.0 -20.0 -3.2 5.3 -1.0 5.8 3.5 0.7 10.0 4.0 -3.8 -16.5 -3.8 20.0 20.0 20.0 20.0 GAS_US_mini 2.7 20.0 20.0 -0.3 3.1 0.1 4.2 1.6 2.0 -12.6 -8.0 -4.3 -12.1 4.3 5.3 -8.9 -20.0 -20.0 -20.0 5.7 -0.9 -4.5 -13.4 2.7 20.0 3.3 -2.2 -0.2 0.4 -4.0 3.0 -20.0 -20.0 2.7 20.0 1.9 -1.5 -6.2 -6.9 -12.4 GBP -6.1 9.4 -2.1 -2.5 -13.9 -1.5 -10.1 0.9 -5.3 -19.3 12.8 -18.6 5.3 6.7 9.6 -0.9 -0.8 -1.0 -0.9 4.6 5.1 -10.8 4.8 -1.9 1.3 3.8 -10.3 5.1 -7.3 4.5 -1.4 3.3 -8.9 0.2 12.2 12.9 -3.5 -20.0 -4.6 -10.6 GOLD_micro -13.7 -14.5 8.5 -1.6 -2.8 0.0 -3.1 0.5 -3.1 -7.4 6.7 -5.7 7.6 -6.9 3.7 -10.6 -13.6 -11.7 -12.7 1.7 7.6 -4.4 9.0 -3.0 -2.8 -0.1 -2.9 3.1 -3.2 4.1 -2.8 -13.6 -1.7 7.0 -0.2 16.7 1.1 -9.3 8.5 -2.5 HEATOIL 17.9 -5.6 -9.7 -0.5 4.9 0.1 6.7 2.5 3.2 19.4 -5.7 20.0 6.4 14.7 -6.8 -7.2 11.8 -4.0 3.6 -2.6 -5.1 18.3 2.3 10.7 -20.0 -4.0 4.7 -3.4 5.8 0.8 1.2 -4.1 5.8 -2.2 -12.1 -20.0 3.0 6.9 -4.0 1.8 JGB-SGX-mini 20.0 -1.5 -16.5 1.0 -1.5 -0.4 1.1 -1.4 2.1 -6.7 -3.2 1.4 -0.2 1.8 -3.9 20.0 18.2 20.0 18.5 -2.5 -4.1 -2.2 -2.1 0.7 -8.5 -1.3 -4.2 -2.2 -0.7 -1.8 0.3 20.0 -3.3 -2.4 -10.9 -8.7 -10.7 -4.8 0.1 16.2 JPY -6.6 -9.5 -9.1 -1.3 -7.4 -0.8 -5.4 0.5 -2.8 -12.4 -14.3 -13.7 -14.4 -13.8 -14.1 -15.0 -16.2 -15.3 -15.7 -16.5 -19.4 -17.1 -20.0 -15.4 20.0 -5.2 -6.1 -5.9 -5.8 -6.6 -5.0 -20.0 -13.9 -9.8 -14.6 -20.0 -19.5 -11.2 -18.4 -10.9 LEANHOG -19.6 -20.0 -7.9 -3.8 -4.3 -1.0 -6.0 -0.6 -6.4 -9.4 -8.5 -16.8 -6.4 -19.2 -18.7 20.0 -20.0 20.0 -20.0 -20.0 -17.8 -20.0 -9.2 -20.0 5.7 -6.3 -0.9 -3.0 -3.6 -1.1 -6.4 -20.0 7.8 -11.4 -20.0 -20.0 -13.0 -9.7 -7.5 5.1 LIVECOW 11.0 16.8 -0.2 -4.2 -4.8 -1.1 -6.7 -0.7 -7.2 20.0 13.0 20.0 3.5 20.0 14.6 20.0 11.9 20.0 20.0 19.3 10.1 20.0 5.9 20.0 -8.6 6.9 11.6 4.5 12.1 4.2 10.0 20.0 20.0 20.0 20.0 14.1 6.8 20.0 13.4 20.0 LUMBER-new -1.8 -7.6 -20.0 -1.9 -2.2 -0.5 -3.1 -0.2 -3.3 -6.4 -8.3 -8.1 -8.0 -8.4 -9.6 -15.6 -17.6 -18.2 -18.3 -13.2 -10.2 -13.3 -6.3 -14.0 NaN -3.7 -0.9 -3.1 -2.1 -1.7 -3.0 -20.0 -2.5 -5.4 -10.2 -20.0 -8.0 -10.1 0.7 -6.3 MILK -14.3 19.9 20.0 -2.2 -2.5 -0.6 -3.5 -0.4 -3.8 -5.6 6.3 -3.0 -4.1 5.6 9.2 -20.0 -20.0 -20.0 -20.0 11.4 8.1 -1.6 -1.1 5.7 12.7 3.3 -1.5 2.3 -1.1 -0.5 1.5 -20.0 -9.9 20.0 20.0 17.9 -11.8 -20.0 -7.7 -20.0 MXP -20.0 -20.0 -20.0 -0.8 -4.8 -0.5 -3.5 0.3 -1.8 0.9 -0.6 -3.8 4.9 -5.2 -4.8 9.9 16.0 13.1 14.6 -8.0 -3.0 -2.8 2.3 -8.3 -20.0 -2.2 -0.2 -0.7 -1.0 0.7 -2.4 20.0 15.5 -20.0 -18.7 -3.6 17.7 16.7 20.0 20.0 NASDAQ_micro 19.8 20.0 -5.8 4.2 1.3 5.9 2.9 6.8 3.5 -1.4 15.8 10.4 16.1 14.1 14.9 -11.8 -10.7 -11.4 -11.1 20.0 20.0 14.1 20.0 20.0 -20.0 5.4 1.6 4.7 4.3 5.4 6.1 -7.7 16.1 20.0 20.0 6.0 -3.7 3.0 -7.9 2.6 NIKKEI 0.8 -3.8 -8.9 5.4 1.7 7.6 3.8 8.7 4.4 16.9 13.1 11.8 17.0 10.2 -1.2 13.3 9.4 8.9 8.4 5.2 15.5 12.0 20.0 5.2 -20.0 2.4 12.5 8.7 6.1 16.5 2.2 20.0 3.2 -7.8 -17.7 -16.0 -1.0 -7.4 -10.1 -12.7 NZD -4.0 13.8 1.3 -1.8 -10.1 -1.1 -7.3 0.7 -3.8 -16.4 1.6 -13.2 -1.4 8.6 10.4 0.1 0.2 0.1 0.1 5.8 3.4 -7.1 -0.4 1.4 0.6 3.1 -7.9 2.2 -4.3 0.5 0.4 5.0 -3.0 4.1 15.3 5.1 4.5 -5.0 6.9 2.8 OAT -2.1 -6.6 -11.0 1.3 -1.9 -0.5 1.3 -1.6 2.6 -2.6 -6.1 -3.5 -2.3 -5.8 -8.3 -1.2 5.0 2.0 3.4 -6.6 -5.6 -2.7 -4.2 -4.9 1.9 -3.2 -1.9 -2.0 -1.6 -1.0 -2.7 13.5 -3.4 -17.8 -16.7 -2.3 -20.0 -18.5 -4.4 -3.2 OATIES -20.0 -13.4 8.1 -1.5 -1.7 -0.4 -2.4 -0.3 -2.6 -6.9 -4.5 -8.0 -6.2 -7.7 -5.2 -5.0 1.0 1.3 2.6 -9.6 -4.7 -16.6 -3.8 -16.5 -20.0 -1.5 -1.9 -0.4 -3.6 -0.4 -3.3 0.5 -15.0 -13.9 -3.1 -1.4 -2.2 -1.1 8.5 11.4 OJ -20.0 9.0 -0.4 -2.6 -3.0 -0.7 -4.2 -0.4 -4.5 8.5 9.1 -3.0 11.5 3.7 6.5 7.7 12.7 9.6 10.1 13.5 16.7 2.6 18.5 5.7 -20.0 3.1 0.0 4.1 -0.5 5.5 0.8 17.2 6.9 -10.5 20.0 20.0 6.3 9.1 20.0 20.0 PALLAD -2.4 -3.8 2.7 -1.6 -2.7 0.0 -3.0 0.5 -3.0 0.4 -6.8 -0.8 -8.7 -5.9 -7.0 -2.2 -2.3 -2.4 -2.3 -5.2 -5.9 1.4 -9.9 -2.9 14.6 -2.9 -0.3 -2.4 -0.6 -2.9 -2.4 5.5 9.1 7.6 -2.6 -8.8 -20.0 -20.0 -20.0 -18.1 PLAT -15.8 2.3 12.0 -2.0 -3.5 0.1 -3.8 0.6 -3.8 9.9 2.4 -1.3 -3.6 -3.8 0.4 -5.0 -4.2 -5.0 -4.7 1.8 3.7 4.0 1.6 -0.3 8.2 -0.0 3.5 1.4 0.9 1.2 -1.1 1.8 20.0 7.3 14.1 4.2 -20.0 -8.1 -2.2 4.0 REDWHEAT -20.0 -2.6 20.0 -2.6 -2.9 -0.7 -4.1 -0.4 -4.4 -12.2 -0.4 -13.6 -8.8 -11.2 -3.0 -10.4 -3.4 -8.7 -5.8 -8.8 -0.8 -20.0 -6.1 -20.0 -5.8 -1.4 -3.5 0.2 -6.1 -0.9 -5.1 -9.9 -20.0 -20.0 -0.0 12.3 -14.1 -20.0 -6.0 -17.3 RICE -6.5 9.7 6.0 -4.0 -4.5 -1.0 -6.3 -0.7 -6.8 -3.8 17.7 1.3 17.2 8.6 19.2 20.0 20.0 20.0 20.0 14.6 18.1 -0.0 18.2 6.4 -13.5 5.1 1.4 4.6 2.2 3.8 3.8 20.0 20.0 20.0 20.0 5.2 -12.2 -6.3 -11.7 -2.9 ROBUSTA -0.5 2.3 -6.8 -2.0 -2.2 -0.5 -3.1 -0.3 -3.3 -2.4 8.7 -1.4 9.3 6.3 7.3 20.0 20.0 20.0 20.0 12.3 16.2 2.6 17.3 7.5 -20.0 3.4 -0.6 5.9 0.5 7.2 1.5 20.0 6.2 20.0 6.0 20.0 2.0 -8.3 9.5 3.9 RUSSELL -10.2 -4.2 -4.1 4.4 1.4 6.2 3.1 7.1 3.6 -7.0 9.4 -10.3 10.6 -7.5 -3.3 -7.2 -6.7 -7.2 -6.9 -3.6 2.5 -6.8 5.9 -7.2 -1.4 -0.9 -2.2 2.3 -2.3 4.1 -2.6 -0.6 -12.1 -19.2 -16.5 -13.4 1.1 -20.0 -0.0 -20.0 SHATZ 20.0 14.8 -3.4 0.9 -1.4 -0.4 0.9 -1.2 1.9 1.5 -6.8 5.1 -7.5 4.3 -2.1 -20.0 -20.0 -20.0 -20.0 0.0 -5.8 6.4 -8.8 6.1 6.8 0.1 0.6 -1.7 2.6 -2.4 2.4 -20.0 12.8 7.0 -4.2 -4.7 -20.0 -16.2 -16.4 -12.5 SILVER-mini -18.8 -0.3 16.7 -1.4 -2.5 0.0 -2.7 0.4 -2.7 -7.2 5.6 -7.2 5.0 0.4 4.3 -5.3 -6.5 -6.0 -6.3 4.2 7.0 -4.3 5.6 -1.0 1.8 0.6 -2.6 2.5 -3.1 2.5 -2.1 -1.8 -4.8 -2.3 8.7 13.6 -4.5 -10.0 6.1 4.0 SMI -5.3 17.1 8.4 5.1 1.6 7.2 3.6 8.3 4.2 -11.0 17.9 2.5 16.3 14.1 15.5 -4.0 1.8 -2.6 -0.2 20.0 20.0 1.0 17.4 11.0 14.4 6.5 -1.7 8.0 0.3 6.7 3.2 12.9 -13.7 4.1 14.5 18.5 8.4 2.3 3.7 -0.1 SOFR 15.9 17.4 -4.2 1.2 -1.8 -0.5 1.2 -1.6 2.5 -5.0 -1.9 8.1 -3.3 9.0 2.2 -3.0 -1.4 -3.0 -2.1 4.4 -0.7 4.0 -3.7 7.5 -2.8 2.7 -0.4 0.9 2.3 -0.2 3.7 3.4 3.8 8.3 9.8 4.1 3.4 -16.9 15.8 1.1 SOYBEAN -20.0 -8.8 2.9 -3.2 -3.6 -0.8 -5.0 -0.5 -5.3 -14.2 -11.3 -15.7 -7.1 -15.6 -10.1 -0.9 7.1 -0.1 2.3 -14.9 -9.8 -20.0 -9.0 -20.0 -20.0 -4.0 -5.2 -2.3 -6.3 -2.0 -6.4 5.7 -8.8 -13.0 -0.7 4.7 -20.0 -20.0 -15.9 -20.0 SOYMEAL -19.6 -2.8 11.9 -2.6 -2.9 -0.7 -4.1 -0.4 -4.4 -10.3 -9.1 -11.7 -9.0 -11.2 -5.1 11.2 6.6 5.3 3.9 -6.2 -4.6 -12.6 -6.3 -12.2 -20.0 0.3 -3.1 0.5 -3.3 -0.6 -2.3 6.1 -2.3 0.1 13.0 13.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -6.3 -1.1 -4.1 -2.5 -2.8 -0.6 -4.0 -0.4 -4.3 -3.5 -11.5 -9.3 -11.9 -8.7 -10.5 2.0 -0.4 -2.3 -3.0 -8.6 -10.7 -6.5 -12.5 -7.3 -20.0 -4.2 -1.8 -4.0 -2.7 -3.6 -3.6 -5.6 3.1 4.8 -2.8 -6.2 -14.3 -18.7 -0.8 -1.0 SP400 -9.8 -9.7 -6.0 4.5 1.4 6.3 3.1 7.2 3.7 -5.6 11.1 -7.8 12.4 -7.8 -3.4 -6.4 -6.0 -6.8 -6.4 -2.1 6.7 -6.2 12.3 -6.2 -12.9 0.4 -3.7 4.4 -1.9 6.8 -1.7 0.6 -9.2 -16.5 -15.1 -5.1 2.2 -9.3 2.4 -20.0 SP500_micro 17.4 18.2 -0.3 5.8 1.8 8.2 4.1 9.4 4.8 0.6 20.0 17.2 20.0 20.0 20.0 -14.2 -12.3 -13.5 -13.0 20.0 20.0 18.9 20.0 20.0 -20.0 8.1 2.4 8.4 6.1 9.5 8.3 -10.6 18.5 20.0 20.0 12.6 5.0 0.2 1.3 -0.1 SUGAR11 20.0 1.8 -18.9 -3.1 -3.6 -0.8 -5.0 -0.5 -5.3 6.6 -14.5 10.9 -8.8 4.7 -10.2 -2.2 11.0 1.6 6.1 -7.2 -15.6 9.6 -11.4 4.5 -20.0 -3.4 2.5 -6.3 3.5 -4.3 1.3 13.0 20.0 20.0 0.5 -20.0 11.1 20.0 19.7 20.0 US10 14.5 15.3 -0.3 1.1 -1.6 -0.4 1.1 -1.4 2.2 -4.8 -2.5 6.3 -5.0 7.2 0.7 -7.5 -7.4 -6.9 -7.1 2.7 -1.6 2.4 -5.3 5.1 2.4 2.2 -0.7 0.6 1.7 -0.7 3.0 -6.3 1.5 5.3 6.4 3.2 -0.7 -18.8 9.7 2.1 US10U 14.5 16.0 0.8 1.5 -2.2 -0.6 1.5 -1.9 3.1 -6.2 -3.3 9.0 -6.6 10.2 1.7 -4.8 -2.5 -4.8 -3.8 4.0 -2.0 3.8 -7.4 7.4 0.3 3.3 -0.8 1.1 2.7 -0.9 4.4 1.0 3.5 7.6 8.9 5.3 -0.4 -15.4 19.2 9.6 US2 16.5 12.9 -6.1 1.1 -1.6 -0.4 1.1 -1.4 2.2 -6.4 -7.0 4.4 -8.5 5.3 -4.1 -20.0 -20.0 -20.0 -20.0 -1.5 -6.6 0.5 -10.8 2.2 12.7 -0.0 -1.6 -2.0 0.8 -3.2 1.6 -20.0 -1.7 1.1 -1.4 -5.1 -4.4 -20.0 -0.1 -14.9 US20 14.2 16.2 1.8 1.1 -1.6 -0.4 1.1 -1.4 2.2 -4.1 0.0 6.7 -2.7 7.6 2.8 -1.2 -0.8 -0.8 -0.7 4.0 0.1 3.1 -3.8 6.1 -1.0 2.8 -0.5 1.4 2.0 0.1 3.3 5.0 3.9 7.1 9.5 7.2 -3.1 -10.7 20.0 15.4 US30 14.3 15.7 2.4 1.3 -1.9 -0.5 1.3 -1.6 2.6 -4.9 -1.1 7.6 -4.3 8.6 2.6 -6.2 -5.2 -5.1 -5.2 4.3 -0.4 3.8 -5.2 6.9 -0.4 3.2 -0.4 1.5 2.5 -0.2 4.0 -2.8 5.6 7.4 9.3 7.2 -7.8 -10.4 10.2 16.6 US5 15.0 15.5 -2.8 1.1 -1.6 -0.4 1.1 -1.4 2.3 -5.9 -4.8 6.2 -7.1 7.1 -0.9 -10.0 -10.1 -9.9 -9.9 1.7 -3.0 2.0 -6.7 4.6 5.6 1.8 -0.9 0.0 1.6 -1.3 2.9 -11.1 0.3 4.4 4.7 0.6 -0.3 -20.0 7.0 -5.9 VIX 6.3 -7.9 1.5 -7.8 -6.0 -9.6 -4.2 -11.7 -5.0 -7.4 -20.0 -2.3 -20.0 -18.3 -20.0 -20.0 -20.0 -20.0 -20.0 -19.7 -20.0 -2.0 -20.0 -7.7 NaN -9.2 -5.0 -11.0 -4.6 -13.6 -6.3 NaN NaN NaN NaN NaN -17.0 -20.0 NaN NaN WHEAT -20.0 -4.8 20.0 -2.2 -2.5 -0.6 -3.5 -0.4 -3.8 -10.6 0.9 -11.8 -6.3 -9.7 -2.1 -15.3 -14.1 -16.1 -15.4 -8.6 -0.2 -20.0 -4.0 -20.0 0.7 -1.1 -3.8 0.4 -5.6 -0.3 -4.4 -20.0 -20.0 -20.0 3.1 11.4 -12.5 -20.0 -9.1 -20.0 End of report for caleb_strategy_v3