******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240627_204016 produced at 2024-06-28 21:38:24.865781 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -71.12 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.64 -0.18 0.0 0.80 -0.80 -0.64 -0.64 -2.25 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 -3.88 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 -1.97 13.0 0 0 caleb_strategy_v3 JPY False False 0.02 -0.14 -0.12 0.0 0.41 -0.41 -0.14 -0.14 -5.11 17.0 -6 -6 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.10 0.0 0.40 -0.40 -0.04 -0.04 -2.42 10.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.10 0.0 0.38 -0.38 -0.04 -0.04 -2.69 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 -9.79 13.0 -11 -11 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.08 0.0 0.65 -0.65 -0.02 -0.02 -3.58 29.0 -1 -1 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.07 0.0 0.58 -0.58 -0.12 -0.12 -1.71 14.0 -3 -3 caleb_strategy_v3 CHF False False 0.04 -0.04 -0.07 0.0 0.56 -0.56 -0.04 -0.04 -1.53 13.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.07 0.0 0.49 -0.49 -0.05 -0.05 -8.15 60.0 -6 -6 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.08 -0.08 -0.04 -0.04 -9.32 12.0 -6 -6 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -0.61 2.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -25.86 59.0 0 0 caleb_strategy_v3 CAC True False 0.02 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -2.00 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 -17.39 51.0 -7 -7 caleb_strategy_v3 RUSSELL False False 0.00 -0.09 -0.04 0.0 0.21 -0.21 -0.09 -0.09 -12.38 68.0 -29 -29 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.72 -0.72 0.00 0.00 -0.99 19.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.03 0.0 0.12 -0.12 -0.04 -0.04 -2.27 11.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.03 0.0 0.12 -0.12 -0.10 -0.10 -1.75 7.0 -6 -6 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -4.54 66.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.03 0.0 0.01 -0.01 -0.01 -0.01 -6.53 3.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -1.73 9.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -1.63 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.84 2.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -0.70 3.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.02 0.0 0.40 -0.40 -0.04 -0.04 -2.27 56.0 -5 -5 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.89 10.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.02 0.0 0.32 -0.32 -0.02 -0.02 -1.36 20.0 -1 -1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.43 -0.43 -0.04 -0.04 -0.23 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.09 -0.01 0.0 0.17 -0.17 -0.09 -0.09 -0.21 4.0 -2 -2 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.30 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 -0.32 2.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.38 9.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.03 -0.01 0.0 0.81 -0.81 -0.03 -0.03 -0.31 25.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.23 18.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.12 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.60 -0.60 0.00 0.00 0.11 26.0 0 0 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 US10 False False 0.03 0.00 0.00 0.0 0.57 -0.57 0.00 0.00 0.14 17.0 0 0 caleb_strategy_v3 GBP False False 0.02 -0.02 -0.00 0.0 0.53 -0.53 -0.02 -0.02 -0.05 22.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.13 5.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.08 0.00 0.0 0.32 -0.32 0.08 0.08 0.10 8.0 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 -0.96 26.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.01 -0.00 0.0 0.35 -0.35 0.01 0.01 -0.41 58.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.03 0.01 0.0 0.15 -0.15 0.03 0.03 0.46 10.0 2 2 caleb_strategy_v3 US30 False False 0.04 0.08 0.01 0.0 0.23 -0.23 0.08 0.08 0.17 6.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.28 -0.28 0.01 0.01 0.63 23.0 1 1 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.01 0.0 0.10 -0.10 0.00 0.00 0.43 4.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 0.01 0.0 0.43 -0.43 0.00 0.00 0.20 16.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.77 3.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.02 0.0 0.39 -0.39 0.02 0.02 1.03 21.0 1 1 caleb_strategy_v3 US10U False False 0.03 0.07 0.02 0.0 0.45 -0.45 0.07 0.07 0.44 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 0.47 9.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.18 0.03 0.0 0.39 -0.39 0.18 0.18 1.58 19.0 9 9 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.05 0.03 0.0 0.28 -0.28 0.05 0.05 2.40 23.0 4 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 3.95 4.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.04 0.0 999.00 -999.00 0.03 0.03 1.28 999999999.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.06 0.0 0.41 -0.41 0.09 0.09 7.55 48.0 11 11 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.07 0.0 0.27 -0.27 0.05 0.05 8.68 36.0 6 6 caleb_strategy_v3 DX False False 0.03 0.13 0.10 0.0 999.00 -999.00 0.13 0.13 3.10 999999999.0 4 4 caleb_strategy_v3 SMI False True 0.04 0.00 0.13 0.0 0.00 0.00 0.00 0.00 3.23 9.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.16 0.15 0.0 0.38 -0.38 0.16 0.16 6.71 17.0 7 7 caleb_strategy_v3 CRUDE_W False False 0.02 0.12 0.16 0.0 0.12 -0.12 0.12 0.12 6.64 5.0 5 5 caleb_strategy_v3 SOFR False True 0.07 0.00 0.45 0.0 0.00 0.00 0.00 0.00 6.10 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.4 Shocked risk 46.7 Sum abs risk 46.1 Leverage 3.51 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3262605.18, 'annual_cash_vol_target': 815651.295, 'daily_cash_vol_target': 50978.2059375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6660 0.5559 8.8948 BITCOIN 1655.9356 62230.0000 2.6610 42.5759 BOBL 0.2691 116.6000 0.2308 3.6923 BTP 0.5667 115.7000 0.4898 7.8369 BUND 0.5547 132.0500 0.4201 6.7210 BUXL 1.3804 131.5800 1.0491 16.7860 CAC 69.0673 7541.5000 0.9158 14.6533 CAD 0.0025 0.7316 0.3418 5.4681 CANOLA 8.2505 623.0000 1.3243 21.1892 CHF 0.0049 1.1236 0.4347 6.9554 COCOA 318.4950 7239.0000 4.3997 70.3954 COFFEE 4.5105 226.8000 1.9888 31.8204 COPPER 0.0692 4.3440 1.5930 25.4879 CORN 5.3252 433.7500 1.2277 19.6435 COTTON2 1.1475 74.5600 1.5390 24.6238 CRUDE_W 0.9697 78.6400 1.2330 19.7284 DAX 137.1903 18390.0000 0.7460 11.9361 DOW 227.9477 39454.0000 0.5778 9.2441 DX 0.3696 105.5550 0.3501 5.6021 EUR 0.0045 1.0745 0.4151 6.6420 EURIBOR-ICE 0.0494 97.4000 0.0507 0.8118 EUROSTX 42.7749 4942.0000 0.8655 13.8486 FEEDCOW 1.7921 261.8500 0.6844 10.9504 GASOIL 10.2669 788.7500 1.3017 20.8267 GASOLINE 0.0336 2.3021 1.4577 23.3239 GAS_US_mini 0.1033 2.6750 3.8635 61.8162 GBP 0.0055 1.2652 0.4336 6.9380 GOLD_micro 22.1378 2336.8000 0.9474 15.1577 HEATOIL 0.0335 2.5812 1.2970 20.7523 JGB-SGX-mini 0.2366 142.8600 0.1656 2.6494 JPY 0.0000 0.0063 0.5794 9.2706 LEANHOG 1.1496 74.7000 1.5389 24.6222 LIVECOW 1.2586 185.9750 0.6768 10.8284 LUMBER-new 9.4176 486.0000 1.9378 31.0044 MILK 0.3216 20.3500 1.5802 25.2839 MXP 0.0006 0.0537 1.1289 18.0630 NASDAQ_micro 140.3741 20042.0000 0.7004 11.2064 NIKKEI 318.3119 39555.0000 0.8047 12.8757 NZD 0.0035 0.6085 0.5813 9.3011 OAT 0.5078 123.4800 0.4113 6.5803 OATIES 7.2657 323.0000 2.2494 35.9909 OJ 7.8346 424.2000 1.8469 29.5507 PALLAD 22.7612 927.5000 2.4540 39.2647 PLAT 17.1845 1001.9000 1.7152 27.4431 REDWHEAT 11.4407 612.2500 1.8686 29.8981 RICE 0.1383 15.4650 0.8940 14.3039 ROBUSTA 71.9937 4046.0000 1.7794 28.4701 RUSSELL 18.9862 2052.3000 0.9251 14.8019 SHATZ 0.0874 105.7350 0.0826 1.3219 SILVER-mini 0.5860 29.7500 1.9696 31.5139 SMI 79.5761 12056.0000 0.6601 10.5609 SOFR 0.0662 96.3450 0.0687 1.0990 SOYBEAN 10.6525 1105.0000 0.9640 15.4244 SOYMEAL 4.4927 335.1000 1.3407 21.4512 SOYOIL 0.6278 43.4200 1.4459 23.1337 SP400 22.6654 2944.8000 0.7697 12.3148 SP500_micro 27.7109 5538.2500 0.5004 8.0057 SUGAR11 0.3145 20.4700 1.5362 24.5786 US10 0.4016 110.2500 0.3643 5.8285 US10U 0.5516 114.0000 0.4839 7.7421 US2 0.0995 102.1172 0.0975 1.5598 US20 0.8253 119.2812 0.6919 11.0706 US30 1.2293 126.9375 0.9685 15.4954 US5 0.2581 106.6797 0.2419 3.8708 VIX 0.3539 15.7000 2.2541 36.0653 WHEAT 11.0223 602.5000 1.8294 29.2708 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.00 0.56 370.24 1.00 370.24 50978.21 137.69 4.43 60.93 BITCOIN 62.23 2.66 165.59 1.00 165.59 50978.21 307.85 -7.76 -238.85 BOBL 1166.00 0.23 269.08 1.07 288.01 50978.21 177.00 -5.52 -97.72 BTP 1157.00 0.49 566.70 1.07 606.57 50978.21 84.04 -9.38 -78.87 BUND 1320.50 0.42 554.69 1.07 593.72 50978.21 85.86 -2.63 -22.56 BUXL 1315.80 1.05 1380.44 1.07 1477.56 50978.21 34.50 -5.98 -20.61 CAC 754.15 0.92 690.67 1.07 739.26 50978.21 68.96 -8.50 -58.59 CAD 731.65 0.34 250.05 1.00 250.05 50978.21 203.88 -6.77 -138.07 CANOLA 124.60 1.32 165.01 0.73 120.82 50978.21 421.95 -16.94 -714.83 CHF 1404.44 0.43 610.52 1.00 610.52 50978.21 83.50 -7.04 -58.79 COCOA 723.90 4.40 3184.95 1.00 3184.95 50978.21 16.01 3.33 5.33 COFFEE 850.50 1.99 1691.46 1.00 1691.46 50978.21 30.14 4.82 14.53 COPPER 1086.00 1.59 1729.99 1.00 1729.99 50978.21 29.47 -0.95 -2.79 CORN 216.88 1.23 266.26 1.00 266.26 50978.21 191.46 -20.00 -382.92 COTTON2 372.80 1.54 573.74 1.00 573.74 50978.21 88.85 -11.92 -105.87 CRUDE_W 786.40 1.23 969.65 1.00 969.65 50978.21 52.57 11.66 61.29 DAX 183.90 0.75 137.19 1.07 146.84 50978.21 347.16 -0.34 -11.93 DOW 197.27 0.58 113.97 1.00 113.97 50978.21 447.28 -4.37 -195.34 DX 1055.55 0.35 369.58 1.00 369.58 50978.21 137.93 8.65 119.30 EUR 1343.19 0.42 557.59 1.00 557.59 50978.21 91.43 -7.21 -65.93 EURIBOR-ICE 2435.00 0.05 123.54 1.07 132.23 50978.21 385.52 -1.71 -65.86 EUROSTX 494.20 0.87 427.75 1.07 457.84 50978.21 111.34 -3.59 -39.98 FEEDCOW 1309.25 0.68 896.05 1.00 896.05 50978.21 56.89 0.54 3.07 GASOIL 788.75 1.30 1026.69 1.00 1026.69 50978.21 49.65 2.01 9.96 GASOLINE 966.88 1.46 1409.47 1.00 1409.47 50978.21 36.17 8.15 29.46 GAS_US_mini 66.88 3.86 258.37 1.00 258.37 50978.21 197.31 -0.45 -8.83 GBP 790.75 0.43 342.89 1.00 342.89 50978.21 148.67 -0.12 -1.83 GOLD_micro 233.68 0.95 221.38 1.00 221.38 50978.21 230.28 -2.89 -66.62 HEATOIL 1084.10 1.30 1406.10 1.00 1406.10 50978.21 36.25 -4.44 -16.11 JGB-SGX-mini 142860.00 0.17 23655.51 0.01 148.03 50978.21 344.39 0.05 1.85 JPY 786.81 0.58 455.89 1.00 455.89 50978.21 111.82 -17.63 -197.10 LEANHOG 298.80 1.54 459.82 1.00 459.82 50978.21 110.87 -14.53 -161.13 LIVECOW 743.90 0.68 503.45 1.00 503.45 50978.21 101.26 19.99 202.38 LUMBER-new 133.65 1.94 258.98 1.00 258.98 50978.21 196.84 -15.49 -304.97 MILK 407.00 1.58 643.16 1.00 643.16 50978.21 79.26 -0.78 -6.16 MXP 268.45 1.13 303.06 1.00 303.06 50978.21 168.21 -3.30 -55.51 NASDAQ_micro 400.84 0.70 280.75 1.00 280.75 50978.21 181.58 5.68 103.18 NIKKEI 39555.00 0.80 31831.19 0.01 199.19 50978.21 255.93 3.13 80.13 NZD 608.50 0.58 353.73 1.00 353.73 50978.21 144.11 2.76 39.80 OAT 1234.80 0.41 507.84 1.07 543.56 50978.21 93.79 -7.56 -70.89 OATIES 161.50 2.25 363.28 1.00 363.28 50978.21 140.33 -11.25 -157.84 OJ 636.30 1.85 1175.20 1.00 1175.20 50978.21 43.38 8.34 36.18 PALLAD 927.50 2.45 2276.12 1.00 2276.12 50978.21 22.40 -4.23 -9.47 PLAT 500.95 1.72 859.23 1.00 859.23 50978.21 59.33 2.25 13.37 REDWHEAT 306.12 1.87 572.03 1.00 572.03 50978.21 89.12 -13.78 -122.79 RICE 309.30 0.89 276.51 1.00 276.51 50978.21 184.36 8.81 162.38 ROBUSTA 404.60 1.78 719.94 1.00 719.94 50978.21 70.81 7.57 53.62 RUSSELL 102.62 0.93 94.93 1.00 94.93 50978.21 537.00 -6.96 -373.70 SHATZ 1057.35 0.08 87.36 1.07 93.50 50978.21 545.21 -7.02 -382.85 SILVER-mini 743.75 1.97 1464.91 1.00 1464.91 50978.21 34.80 0.99 3.44 SMI 1205.60 0.66 795.76 1.12 888.47 50978.21 57.38 16.48 94.56 SOFR 2408.62 0.07 165.44 1.00 165.44 50978.21 308.14 3.26 100.45 SOYBEAN 552.50 0.96 532.62 1.00 532.62 50978.21 95.71 -19.68 -188.37 SOYMEAL 335.10 1.34 449.27 1.00 449.27 50978.21 113.47 -13.04 -148.00 SOYOIL 260.52 1.45 376.67 1.00 376.67 50978.21 135.34 -14.99 -202.93 SP400 2944.80 0.77 2266.54 1.00 2266.54 50978.21 22.49 -8.14 -18.30 SP500_micro 276.91 0.50 138.55 1.00 138.55 50978.21 367.93 8.83 324.70 SUGAR11 229.26 1.54 352.19 1.00 352.19 50978.21 144.75 0.76 10.94 US10 1102.50 0.36 401.62 1.00 401.62 50978.21 126.93 0.84 10.72 US10U 1140.00 0.48 551.63 1.00 551.63 50978.21 92.41 3.76 34.74 US2 2042.34 0.10 199.10 1.00 199.10 50978.21 256.04 -6.08 -155.69 US20 1192.81 0.69 825.32 1.00 825.32 50978.21 61.77 5.98 36.91 US30 1269.38 0.97 1229.34 1.00 1229.34 50978.21 41.47 3.32 13.76 US5 1066.80 0.24 258.09 1.00 258.09 50978.21 197.52 -1.25 -24.74 VIX 157.00 2.25 353.89 1.00 353.89 50978.21 144.05 -20.00 -288.10 WHEAT 301.25 1.83 551.11 1.00 551.11 50978.21 92.50 -14.12 -130.63 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 60.927 0.010 2.5 1.581 BITCOIN -238.847 0.043 2.5 -25.864 BOBL -97.722 0.004 2.5 -0.991 BTP -78.870 0.014 2.5 -2.690 BUND -22.562 0.004 2.5 -0.229 BUXL -20.615 0.004 2.5 -0.209 CAC -58.588 0.014 2.5 -1.998 CAD -138.068 0.010 2.5 -3.582 CANOLA -714.831 0.010 2.5 -17.391 CHF -58.786 0.010 2.5 -1.525 COCOA 5.334 0.009 2.5 0.114 COFFEE 14.532 0.005 2.5 0.170 COPPER -2.793 0.043 2.5 -0.302 CORN -382.917 0.010 2.5 -9.316 COTTON2 -105.871 0.009 2.5 -2.267 CRUDE_W 61.292 0.043 2.5 6.637 DAX -11.932 0.014 2.5 -0.407 DOW -195.339 0.009 2.5 -4.540 DX 119.300 0.010 2.5 3.095 EUR -65.927 0.010 2.5 -1.711 EURIBOR-ICE -65.858 0.014 2.5 -2.246 EUROSTX -39.982 0.014 2.5 -1.364 FEEDCOW 3.073 0.013 2.5 0.102 GASOIL 9.960 0.017 2.5 0.432 GASOLINE 29.464 0.017 2.5 1.277 GAS_US_mini -8.827 0.043 2.5 -0.956 GBP -1.833 0.010 2.5 -0.048 GOLD_micro -66.616 0.014 2.5 -2.272 HEATOIL -16.112 0.017 2.5 -0.698 JGB-SGX-mini 1.852 0.043 2.5 0.201 JPY -197.105 0.010 2.5 -5.114 LEANHOG -161.127 0.024 2.5 -9.792 LIVECOW 202.380 0.013 2.5 6.706 LUMBER-new -304.966 0.009 2.5 -6.529 MILK -6.157 0.009 2.5 -0.132 MXP -55.506 0.059 2.5 -8.147 NASDAQ_micro 103.180 0.009 2.5 2.398 NIKKEI 80.126 0.043 2.5 8.677 NZD 39.797 0.010 2.5 1.033 OAT -70.885 0.014 2.5 -2.418 OATIES -157.840 0.010 2.5 -3.840 OJ 36.178 0.009 2.5 0.775 PALLAD -9.466 0.014 2.5 -0.323 PLAT 13.369 0.014 2.5 0.456 REDWHEAT -122.788 0.005 2.5 -1.629 RICE 162.383 0.010 2.5 3.951 ROBUSTA 53.616 0.005 2.5 0.626 RUSSELL -373.696 0.013 2.5 -12.383 SHATZ -382.849 0.004 2.5 -3.882 SILVER-mini 3.436 0.014 2.5 0.117 SMI 94.558 0.014 2.5 3.225 SOFR 100.452 0.024 2.5 6.105 SOYBEAN -188.368 0.004 2.5 -1.752 SOYMEAL -147.996 0.004 2.5 -1.376 SOYOIL -202.935 0.004 2.5 -1.889 SP400 -18.297 0.013 2.5 -0.606 SP500_micro 324.701 0.009 2.5 7.546 SUGAR11 10.942 0.009 2.5 0.233 US10 10.723 0.005 2.5 0.136 US10U 34.740 0.005 2.5 0.440 US2 -155.695 0.005 2.5 -1.973 US20 36.913 0.005 2.5 0.468 US30 13.760 0.005 2.5 0.174 US5 -24.744 0.005 2.5 -0.314 VIX -288.101 0.099 2.5 -71.115 WHEAT -130.632 0.005 2.5 -1.733 ===================== Position diags ===================== AUD 3.57 BITCOIN 33.34 BOBL 1.79 BTP 2.87 BUND 0.87 BUXL 0.35 CAC 2.35 CAD 5.29 CANOLA 10.27 CHF 2.17 COCOA 0.34 COFFEE 0.35 COPPER 3.19 CORN 4.66 COTTON2 1.90 CRUDE_W 5.69 DAX 11.84 DOW 10.39 DX 3.58 EUR 2.37 EURIBOR-ICE 13.15 EUROSTX 3.80 FEEDCOW 1.89 GASOIL 2.15 GASOLINE 1.57 GAS_US_mini 21.37 GBP 3.86 GOLD_micro 7.85 HEATOIL 1.57 JGB-SGX-mini 37.29 JPY 2.90 LEANHOG 6.74 LIVECOW 3.36 LUMBER-new 4.21 MILK 1.70 MXP 24.69 NASDAQ_micro 4.22 NIKKEI 27.71 NZD 3.74 OAT 3.20 OATIES 3.41 OJ 0.93 PALLAD 0.76 PLAT 2.02 REDWHEAT 1.18 RICE 4.49 ROBUSTA 0.83 RUSSELL 17.79 SHATZ 5.53 SILVER-mini 1.19 SMI 1.96 SOFR 18.73 SOYBEAN 0.89 SOYMEAL 1.06 SOYOIL 1.26 SP400 0.75 SP500_micro 8.55 SUGAR11 3.08 US10 1.61 US10U 1.17 US2 3.24 US20 0.78 US30 0.53 US5 2.50 VIX 35.56 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.6 1.2 1.9 7.0 9 BITCOIN -25.9 -29.2 -22.5 0.0 0 BOBL -1.0 -1.2 -0.8 0.0 0 BTP -2.7 -3.0 -2.4 -1.0 -1 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.2 -0.2 -0.2 -1.0 -2 CAC -2.0 -2.2 -1.8 0.0 0 CAD -3.6 -4.1 -3.1 -1.0 -1 CANOLA -17.4 -18.4 -16.4 -9.0 -7 CHF -1.5 -1.7 -1.3 -1.0 -1 COCOA 0.1 0.1 0.1 0.0 0 COFFEE 0.2 0.1 0.2 0.0 0 COPPER -0.3 -0.6 0.0 0.0 0 CORN -9.3 -9.8 -8.9 -6.0 -6 COTTON2 -2.3 -2.5 -2.1 -4.0 -4 CRUDE_W 6.6 6.1 7.2 5.0 5 DAX -0.4 -1.6 0.8 2.0 1 DOW -4.5 -5.6 -3.5 0.0 0 DX 3.1 2.7 3.5 4.0 4 EUR -1.7 -1.9 -1.5 -2.0 -3 EURIBOR-ICE -2.2 -3.6 -0.9 -8.0 -8 EUROSTX -1.4 -1.7 -1.0 0.0 -1 FEEDCOW 0.1 -0.1 0.3 2.0 2 GASOIL 0.4 0.2 0.6 0.0 0 GASOLINE 1.3 1.1 1.4 1.0 1 GAS_US_mini -1.0 -3.1 1.2 5.0 3 GBP -0.0 -0.4 0.3 -1.0 -1 GOLD_micro -2.3 -3.1 -1.5 -5.0 -5 HEATOIL -0.7 -0.9 -0.5 0.0 0 JGB-SGX-mini 0.2 -3.5 3.9 0.0 0 JPY -5.1 -5.4 -4.8 -5.0 -6 LEANHOG -9.8 -10.5 -9.1 -11.0 -11 LIVECOW 6.7 6.4 7.0 7.0 7 LUMBER-new -6.5 -7.0 -6.1 -2.0 -2 MILK -0.1 -0.3 0.0 NaN 0 MXP -8.1 -10.6 -5.7 -6.0 -6 NASDAQ_micro 2.4 2.0 2.8 2.0 4 NIKKEI 8.7 5.9 11.4 4.0 6 NZD 1.0 0.7 1.4 1.0 1 OAT -2.4 -2.7 -2.1 -1.0 -1 OATIES -3.8 -4.2 -3.5 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD -0.3 -0.4 -0.2 -2.0 -2 PLAT 0.5 0.3 0.7 2.0 2 REDWHEAT -1.6 -1.7 -1.5 -3.0 -3 RICE 4.0 3.5 4.4 NaN 0 ROBUSTA 0.6 0.5 0.7 1.0 1 RUSSELL -12.4 -14.2 -10.6 -29.0 -29 SHATZ -3.9 -4.4 -3.3 NaN 0 SILVER-mini 0.1 -0.0 0.2 0.0 0 SMI 3.2 3.0 3.4 0.0 0 SOFR 6.1 4.2 8.0 NaN 0 SOYBEAN -1.8 -1.8 -1.7 -6.0 -6 SOYMEAL -1.4 -1.5 -1.3 0.0 0 SOYOIL -1.9 -2.0 -1.8 -2.0 -2 SP400 -0.6 -0.7 -0.5 0.0 0 SP500_micro 7.5 6.7 8.4 11.0 11 SUGAR11 0.2 -0.1 0.5 0.0 0 US10 0.1 -0.0 0.3 0.0 0 US10U 0.4 0.3 0.6 2.0 2 US2 -2.0 -2.3 -1.6 NaN 0 US20 0.5 0.4 0.5 0.0 0 US30 0.2 0.1 0.2 2.0 2 US5 -0.3 -0.6 -0.1 -1.0 -1 VIX -71.1 -74.7 -67.6 -56.0 -56 WHEAT -1.7 -1.9 -1.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.1 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 0.5 0.3 0.3 0.4 0.1 -0.2 0.1 -0.0 BITCOIN -0.6 -0.3 0.0 -0.0 -0.0 -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 0.1 -0.2 0.5 -0.2 -2.7 -0.0 -0.1 0.2 -0.1 0.5 -0.1 -0.2 -0.5 0.1 0.4 0.3 -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 0.3 0.1 -0.2 -0.0 -0.7 -0.5 -0.3 -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 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.0 -0.1 0.0 -0.0 0.2 -0.0 0.7 -0.0 -0.6 -0.6 0.2 -0.5 -0.4 0.0 0.1 BUND 0.5 0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 -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 0.1 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -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 -0.1 0.2 -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 -1.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.6 -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 -0.1 -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 0.3 -0.2 -0.2 0.1 -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 -0.1 -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 0.1 -0.3 -0.6 0.1 -0.2 CHF 0.4 0.6 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.4 -0.1 -0.5 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 -0.1 -0.3 0.0 0.6 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -1.1 0.2 0.6 0.4 -0.5 0.2 -0.5 0.0 -0.4 COCOA -0.1 -0.0 -0.5 -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 -0.4 0.3 -0.0 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 0.4 0.1 -2.7 0.0 -0.0 0.2 -0.0 0.2 0.0 0.6 0.1 0.6 0.1 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 0.1 0.5 0.0 -0.0 0.4 0.3 CORN -0.5 -0.2 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.5 -0.2 -0.1 -0.3 -0.3 -0.4 -0.3 -0.1 -0.1 -0.2 -0.4 -0.2 -1.8 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.0 0.0 0.2 -0.7 -0.6 -0.7 -0.0 COTTON2 0.1 -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 -0.1 -0.2 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.5 0.3 -0.2 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.5 -0.2 -0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.2 0.2 0.5 0.2 0.1 0.2 0.2 0.3 0.3 0.1 0.1 0.2 0.3 0.2 -0.6 -0.0 0.0 -0.0 0.1 0.1 0.0 0.2 0.1 -0.2 -0.4 -0.1 0.7 0.6 0.7 0.7 DAX -0.6 -0.5 -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 -0.0 -0.5 -0.4 -0.6 -0.6 0.2 0.1 0.2 -0.1 0.3 DOW 0.1 -0.2 -0.4 0.1 0.0 0.2 0.0 0.3 0.0 0.0 0.3 0.1 0.5 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.0 0.4 0.0 -1.8 0.0 -0.0 0.1 -0.0 0.4 -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 -0.1 0.1 0.4 0.2 0.5 0.1 0.2 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 -0.1 0.6 -0.1 0.3 -0.1 0.4 EUR -0.4 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -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 -0.0 -0.1 -0.1 -0.0 -0.1 -0.4 0.2 -0.4 -0.1 -0.0 -0.2 -0.7 -0.3 -0.5 EURIBOR-ICE 0.4 0.0 -0.5 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 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 1.5 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.2 -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 -0.4 -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 0.0 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 0.4 -0.4 0.3 0.7 0.6 0.7 GASOIL 0.6 -0.2 -0.3 -0.0 0.0 0.0 0.1 0.1 0.0 0.2 0.1 0.2 0.5 0.2 -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 0.1 0.0 0.1 0.2 0.0 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE 0.4 -0.4 -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 0.4 -0.0 0.0 0.2 0.3 0.1 -2.7 -0.0 0.1 -0.0 0.1 0.1 0.0 0.7 0.2 -0.0 -0.5 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini 0.0 0.6 0.6 -0.0 0.0 0.0 0.0 0.1 0.0 -0.1 -0.2 -0.1 -0.4 0.0 0.0 -0.2 -0.4 -0.4 -0.4 0.1 -0.0 -0.1 -0.4 0.0 2.7 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.5 0.0 0.6 0.1 -0.0 -0.2 -0.2 -0.4 GBP -0.3 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.3 -0.2 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.2 -0.1 0.0 0.4 0.4 -0.1 -0.7 -0.1 -0.4 GOLD_micro -0.4 -0.5 0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.3 -0.1 0.0 -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 0.2 -0.0 -0.7 0.0 0.2 0.0 0.5 0.0 -0.3 0.3 -0.1 HEATOIL 0.6 -0.1 -0.3 -0.0 0.1 0.0 0.1 0.1 0.0 0.2 -0.1 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 0.0 0.1 -0.4 -0.6 0.1 0.2 -0.1 0.1 JGB-SGX-mini 0.6 -0.0 -0.6 0.0 -0.0 -0.0 0.0 -0.1 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 -0.3 -0.2 0.0 0.5 JPY -0.3 -0.3 -0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -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 -0.4 -0.3 -0.5 -0.6 -0.7 -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 -0.3 -0.2 0.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -1.1 0.4 -0.4 -0.6 -0.6 -0.4 -0.3 -0.3 0.2 LIVECOW 0.5 0.6 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 -1.2 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 -0.0 -0.3 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.3 -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 0.2 -0.1 -0.4 -0.7 -0.3 -0.4 0.0 -0.2 MILK -0.3 0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 -0.1 0.0 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 -0.4 0.6 0.6 0.6 -0.4 -0.7 -0.2 -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 0.3 -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 0.0 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 0.3 0.6 0.6 0.2 -0.1 0.1 -0.3 0.1 NIKKEI 0.1 -0.1 -0.3 0.1 0.0 0.2 0.0 0.3 0.0 0.2 0.4 0.2 0.6 0.1 -0.0 0.3 0.2 0.2 0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.6 0.0 1.1 0.3 -0.0 -0.5 -0.5 -0.0 -0.2 -0.3 -0.4 NZD -0.2 0.4 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.2 -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 -0.1 0.0 -0.0 0.3 -0.1 0.2 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 -0.1 -0.2 -0.1 -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 0.0 -0.6 -0.5 -0.1 -0.7 -0.6 -0.2 -0.1 OATIES -0.6 -0.5 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -2.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.5 -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 0.0 0.2 -0.0 0.4 0.0 0.1 0.1 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 0.3 -0.2 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 0.3 -0.1 -0.3 -0.7 -0.7 -0.7 -0.6 PLAT -0.5 0.0 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 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 0.4 0.2 0.4 0.2 -0.7 -0.3 -0.1 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 -0.1 -0.0 -0.2 -0.2 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.5 -0.4 -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 -0.2 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 0.0 -1.8 0.1 -0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.2 -0.4 -0.2 -0.4 -0.1 ROBUSTA -0.1 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 0.3 0.6 0.1 -0.3 0.3 0.1 RUSSELL -0.3 -0.2 -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 -0.0 0.2 -0.1 -0.2 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.0 -0.2 -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 -0.1 -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 0.1 -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 0.5 0.3 0.1 0.0 0.2 0.0 0.3 0.0 -0.1 0.5 -0.0 0.6 0.1 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 -0.4 0.0 0.5 0.6 0.3 0.1 0.1 -0.0 SOFR 0.4 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 0.2 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 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.4 -0.4 -0.1 0.1 -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 -0.3 -0.1 -0.3 -0.1 -0.1 0.2 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.4 -0.2 0.0 0.3 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -0.1 -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 0.1 -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 0.5 -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 -0.6 -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 0.3 0.6 0.6 0.4 0.2 0.0 0.0 -0.0 SUGAR11 0.6 0.2 -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 -0.1 0.1 -0.3 0.1 -2.7 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.7 0.5 0.6 0.1 -0.6 0.4 0.7 0.6 0.7 US10 0.4 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 0.1 0.2 0.2 0.1 -0.0 -0.6 0.3 0.1 US10U 0.4 0.5 0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -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 0.0 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 -0.1 0.0 -0.0 -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 0.4 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 0.4 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 -0.2 0.1 0.2 0.3 0.2 -0.2 -0.3 0.3 0.6 US5 0.4 0.5 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.3 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.0 -0.2 0.0 0.8 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 -0.3 -0.9 -0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.2 NaN -0.2 -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 -0.0 -0.0 -0.0 -1.1 -0.4 -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 -2.8 6.3 5.4 -2.6 -11.8 -1.5 -9.7 0.6 -5.4 5.6 -0.5 6.5 -5.0 7.1 12.8 -2.3 -2.8 -2.5 -2.6 4.8 3.3 1.1 -1.4 3.1 3.7 3.0 -0.6 2.6 0.5 0.3 1.8 -0.0 19.5 10.7 8.8 12.8 1.7 -6.6 3.0 -1.1 BITCOIN -20.0 -7.9 0.4 -3.9 -5.1 -0.1 -6.7 1.0 -7.0 -8.3 12.4 -16.5 16.2 -7.1 -3.8 -7.2 -7.4 -7.5 -7.6 -3.6 13.6 -20.0 20.0 -18.4 -20.0 -0.9 -7.8 8.2 -11.1 14.0 -8.1 -3.7 -20.0 3.6 13.0 9.9 -16.4 -4.4 0.4 0.9 BOBL 18.9 5.9 -6.7 0.9 -1.7 -0.4 0.4 -1.3 1.7 -4.0 -6.2 4.9 -5.4 4.3 -2.3 -20.0 -9.1 -11.4 -9.0 -0.3 -3.8 3.9 -5.1 4.1 3.8 0.2 0.1 -1.2 2.0 -1.6 2.1 -9.5 10.5 2.3 -5.0 -0.6 -20.0 -15.4 -7.7 -10.2 BTP -4.0 -7.7 -10.5 1.7 -3.0 -0.7 0.7 -2.3 3.0 -11.9 5.1 -3.6 8.5 -5.5 -8.2 -0.4 4.7 1.8 3.2 -3.9 0.3 -5.0 4.4 -4.4 -20.0 -2.7 -7.2 1.2 -4.3 4.6 -3.7 13.0 -0.3 -20.0 -18.0 5.2 -16.4 -12.3 1.3 2.6 BUND 14.8 4.1 -4.8 1.0 -1.9 -0.4 0.4 -1.4 1.9 -5.4 -4.9 4.8 -2.8 4.4 -1.5 3.1 -0.5 -1.6 -2.3 0.3 -2.2 3.1 -3.5 3.8 1.2 0.7 -0.6 -0.3 1.9 -0.7 2.3 3.4 10.1 0.6 -5.2 2.2 -20.0 -19.0 -6.4 -11.2 BUXL 11.5 1.6 -2.3 1.2 -2.1 -0.5 0.5 -1.6 2.1 -7.0 -3.9 2.4 -2.3 2.6 -2.4 -1.8 -3.0 -4.3 -4.2 -0.5 -2.2 0.6 -3.8 2.0 -2.2 0.5 -1.8 0.0 0.9 -0.4 1.7 -0.6 9.5 -2.1 -8.3 3.7 -20.0 -20.0 -14.5 -9.6 CAC -20.0 -20.0 -20.0 4.8 1.0 6.8 2.9 7.8 3.8 -8.8 8.1 -12.0 12.8 -12.6 -8.1 -7.0 0.2 -1.6 0.6 -12.6 0.8 -18.8 10.0 -20.0 -9.7 -3.5 -4.6 1.1 -5.7 3.8 -6.5 12.0 -20.0 -20.0 -20.0 -10.4 -0.6 7.7 -5.9 10.9 CAD -0.1 1.3 -6.3 -3.2 -14.6 -1.8 -11.9 0.8 -6.7 0.9 -17.1 1.6 -15.5 -4.8 -11.9 -4.2 -2.8 -3.7 -3.2 -5.9 -9.2 1.9 -10.5 -1.0 -0.8 -4.2 -0.7 -6.2 1.7 -6.7 -0.7 -0.4 20.0 9.8 -5.0 -5.8 1.5 -8.2 -3.8 -5.4 CANOLA -20.0 -6.0 16.4 -1.8 -1.7 -0.5 -2.5 -0.3 -2.8 1.5 -4.6 -6.8 -6.4 -7.3 -3.8 -13.0 -9.6 -14.1 -13.5 -6.7 -4.7 -8.5 -6.9 -10.4 -19.4 -2.2 -0.4 -1.6 -2.5 -2.5 -3.2 -20.0 -6.3 -12.4 -3.5 3.8 -7.9 -16.9 3.0 -5.3 CHF 11.2 17.2 -12.3 -2.5 -11.4 -1.4 -9.3 0.6 -5.2 -17.6 -14.4 -4.9 -13.1 6.4 -4.7 -16.7 -16.4 -16.8 -16.5 0.3 -10.0 -7.1 -11.6 3.5 4.6 0.8 -7.6 -3.3 -2.8 -3.8 2.0 -20.0 8.4 20.0 12.6 -14.1 5.2 -14.3 1.0 -12.3 COCOA -4.0 -0.9 -16.6 -1.3 -1.3 -0.4 -1.9 -0.2 -2.2 -6.1 3.3 -5.4 4.5 -1.0 1.2 13.6 15.4 18.3 19.1 2.0 6.2 -10.0 7.9 -3.4 -17.2 1.3 -2.5 4.0 -1.9 5.8 -0.7 20.0 -18.1 8.4 -1.4 20.0 10.4 3.1 14.0 7.9 COFFEE -3.7 4.1 10.2 -3.3 -3.2 -0.9 -4.8 -0.6 -5.4 -9.2 12.0 -1.5 11.3 11.0 10.6 3.3 7.2 5.5 7.2 13.3 15.5 2.0 13.1 8.3 -20.0 3.9 -1.7 6.7 -1.0 6.9 0.7 10.6 5.7 17.8 3.8 20.0 4.8 -12.1 15.3 -3.4 COPPER -20.0 -16.7 14.9 -1.4 -1.8 -0.0 -2.4 0.4 -2.5 -7.3 3.3 -7.9 3.4 -7.5 0.6 0.3 -2.9 0.0 -1.6 -0.0 5.4 -7.1 5.5 -6.0 -8.1 0.3 -1.5 2.2 -2.3 2.1 -1.9 5.1 -5.3 -1.6 4.2 15.2 0.0 -0.4 11.5 8.1 CORN -16.0 -7.4 7.3 -3.3 -3.1 -0.9 -4.7 -0.6 -5.3 -14.9 -9.6 -16.1 -14.9 -14.9 -9.5 -16.1 -12.5 -17.6 -16.7 -13.1 -9.3 -20.0 -13.0 -20.0 -13.4 -3.6 -11.4 -2.9 -9.8 -4.7 -6.9 -20.0 -20.0 -0.9 0.8 5.3 -20.0 -18.0 -20.0 -0.7 COTTON2 2.4 -12.2 -20.0 -2.6 -2.5 -0.7 -3.8 -0.5 -4.3 8.4 -11.8 1.9 -8.6 -6.5 -12.5 -7.4 1.4 -1.6 0.6 -13.9 -14.4 5.3 -9.0 -4.5 -20.0 -3.5 2.4 -2.6 1.9 -0.4 -1.1 -0.5 20.0 9.7 -6.1 -20.0 -3.4 -10.1 12.1 -0.7 CRUDE_W 15.7 -6.0 -2.7 -0.1 5.8 0.3 7.3 2.7 3.9 19.7 7.9 20.0 14.7 17.5 5.4 12.3 12.1 12.9 12.7 6.4 5.9 20.0 10.4 15.2 -4.6 -2.5 4.9 -1.1 6.1 2.8 1.8 3.0 3.0 -5.9 -13.7 -1.9 20.0 18.6 20.0 20.0 DAX -19.5 -14.5 -12.8 5.1 1.1 7.2 3.1 8.3 4.1 -0.4 14.2 -10.5 16.3 -11.8 -3.3 -9.5 -11.4 -10.7 -11.4 -1.9 10.8 -8.4 18.0 -10.3 11.2 -0.1 -1.0 6.8 -3.8 10.1 -4.6 -8.7 -17.3 -20.0 -20.0 6.8 3.5 5.7 -3.5 9.6 DOW 1.7 -5.1 -13.2 4.8 1.0 6.7 2.9 7.7 3.8 2.1 11.6 6.9 13.5 -0.9 -1.8 -10.8 -11.2 -11.2 -11.5 1.0 6.4 4.1 13.8 2.4 -13.5 0.5 -2.3 5.0 -0.6 9.7 -0.6 -8.5 -1.1 -7.9 -13.6 -12.3 9.7 -2.9 11.2 -6.9 DX 10.4 -5.1 6.6 -2.7 -11.9 -1.5 -9.7 0.6 -5.4 13.5 15.4 18.4 14.3 12.7 14.2 7.1 6.9 7.3 7.1 10.0 9.8 15.3 9.7 13.1 -20.0 5.4 6.0 5.2 8.2 5.1 7.0 16.7 20.0 20.0 -2.9 20.0 -3.0 8.1 -2.6 13.5 EUR -13.4 2.2 -4.1 -2.8 -12.4 -1.6 -10.1 0.7 -5.7 -8.9 -11.7 -18.2 -10.2 -15.2 -9.7 -7.3 -7.1 -7.3 -7.1 -8.0 -6.0 -12.6 -5.4 -12.1 20.0 -4.2 -4.7 -2.0 -7.7 -1.3 -7.3 -7.4 6.4 -11.5 -3.6 -0.7 -7.5 -20.0 -8.2 -15.5 EURIBOR-ICE 13.3 0.7 -16.1 0.9 -1.7 -0.4 0.4 -1.3 1.7 -5.2 -4.0 4.5 -0.1 3.5 -3.9 -5.8 -4.9 -5.8 -5.0 -1.3 -2.8 1.8 -1.7 2.2 11.6 -0.6 -1.0 -1.2 0.9 -0.5 1.1 -2.2 6.4 -0.9 -5.9 -3.2 -20.0 -20.0 -4.4 5.5 EUROSTX -15.1 -16.9 -15.2 5.0 1.1 7.0 3.0 8.0 3.9 1.4 15.3 -6.9 16.9 -6.7 -1.4 -6.3 -2.3 -6.2 -4.1 -0.5 11.1 -7.3 18.7 -7.6 -2.2 0.6 -3.1 7.9 -4.0 11.9 -4.0 6.0 -17.1 -20.0 -20.0 3.1 -9.8 3.9 -18.7 5.0 FEEDCOW 3.6 8.0 -7.8 -4.4 -4.2 -1.3 -6.4 -0.8 -7.2 1.1 6.0 11.0 -2.9 6.5 1.7 -11.3 -20.0 -20.0 -20.0 3.8 -0.4 6.4 -0.1 6.7 -7.3 -0.2 3.4 -0.9 3.3 1.9 1.8 -20.0 20.0 20.0 11.4 -10.9 7.9 20.0 17.4 20.0 GASOIL 18.7 -6.1 -9.6 -0.1 5.5 0.3 6.9 2.5 3.7 17.9 1.9 20.0 12.9 15.3 -5.3 -0.8 13.2 1.3 7.0 0.3 -0.9 19.5 8.0 12.3 6.3 -0.5 7.5 -1.1 8.2 2.5 4.8 0.1 2.2 5.4 1.5 -10.3 -19.9 -12.7 -20.0 -20.0 GASOLINE 12.3 -11.3 -4.5 -0.1 5.4 0.3 6.8 2.5 3.6 20.0 7.2 20.0 13.8 8.7 -4.9 20.0 17.4 20.0 20.0 -0.8 2.4 18.4 10.5 8.9 -20.0 -2.7 5.8 -0.8 6.3 3.6 1.5 12.3 6.8 -0.8 -16.0 -3.8 20.0 20.0 20.0 20.0 GAS_US_mini 0.9 20.0 20.0 -0.1 3.5 0.2 4.3 1.6 2.3 -13.0 -7.9 -6.9 -11.9 2.3 4.4 -7.9 -20.0 -20.0 -20.0 4.8 -1.1 -7.3 -13.3 0.7 20.0 3.0 -4.0 -0.2 -1.1 -4.0 2.1 -20.0 -20.0 0.7 20.0 1.8 -1.4 -6.2 -6.9 -12.6 GBP -7.8 8.9 -2.2 -3.2 -14.6 -1.8 -11.9 0.8 -6.7 -13.5 12.3 -18.9 5.2 5.2 9.0 -0.9 -0.8 -1.0 -0.9 3.9 4.8 -11.0 4.8 -3.0 1.3 3.2 -8.2 4.9 -7.6 4.5 -2.2 3.3 -4.4 1.3 12.7 12.6 -3.0 -20.0 -4.1 -10.6 GOLD_micro -13.5 -15.4 8.1 -1.7 -2.3 -0.0 -3.0 0.5 -3.1 -3.4 6.6 -5.1 7.6 -6.9 3.4 -10.6 -13.6 -11.7 -12.7 1.6 7.4 -3.1 8.9 -2.8 -2.9 -0.2 -1.1 3.1 -2.5 4.2 -2.7 -13.5 1.0 6.8 0.1 16.3 1.4 -9.1 8.8 -2.3 HEATOIL 20.0 -4.2 -9.5 -0.1 5.6 0.3 7.0 2.5 3.7 20.0 -5.2 20.0 6.5 16.8 -5.8 -6.8 11.7 -3.9 3.4 -1.2 -4.7 19.4 2.5 12.3 -20.0 -3.5 5.2 -3.4 6.2 0.8 1.9 -4.2 1.1 2.2 -11.4 -20.0 2.9 6.9 -4.2 1.9 JGB-SGX-mini 18.5 -1.3 -17.0 1.0 -1.8 -0.4 0.4 -1.4 1.8 -7.9 -3.4 -0.3 -0.3 0.9 -4.1 20.0 18.2 20.0 18.5 -3.0 -4.4 -4.8 -2.3 -0.7 -8.6 -1.4 -5.1 -2.3 -1.8 -1.8 -0.2 20.0 -4.4 -2.8 -11.1 -8.6 -10.2 -4.8 0.3 16.2 JPY -9.3 -9.9 -10.0 -1.8 -7.9 -1.0 -6.5 0.4 -3.6 -12.6 -14.5 -13.9 -14.6 -14.2 -14.4 -15.1 -16.2 -15.4 -15.7 -17.6 -20.0 -18.4 -20.0 -16.9 20.0 -5.3 -5.7 -5.9 -5.9 -6.5 -5.2 -20.0 -14.9 -10.6 -16.3 -20.0 -19.6 -11.3 -18.6 -11.0 LEANHOG -17.7 -20.0 -8.6 -3.8 -3.7 -1.1 -5.6 -0.7 -6.2 -9.2 -8.9 -16.0 -6.5 -18.5 -18.3 20.0 -20.0 20.0 -18.3 -20.0 -18.2 -20.0 -9.5 -20.0 5.6 -6.2 -0.8 -3.0 -3.1 -1.2 -6.0 -20.0 16.2 -12.1 -20.0 -20.0 -13.0 -9.7 -7.6 5.0 LIVECOW 14.0 17.7 0.5 -4.5 -4.3 -1.3 -6.4 -0.8 -7.2 19.6 13.7 20.0 3.9 20.0 15.7 20.0 11.8 20.0 19.8 20.0 11.4 20.0 6.5 20.0 -8.8 7.1 9.5 4.6 11.3 4.1 10.1 20.0 20.0 20.0 20.0 15.5 6.4 20.0 12.9 20.0 LUMBER-new -0.2 -7.6 -20.0 -2.0 -1.9 -0.6 -2.9 -0.2 -3.2 -4.0 -8.1 -6.7 -7.8 -7.8 -9.3 -14.8 -17.5 -17.8 -18.0 -12.8 -10.0 -10.0 -6.3 -12.7 NaN -3.6 0.1 -3.0 -1.4 -1.8 -2.7 -20.0 6.6 -3.3 -9.7 -20.0 -7.4 -9.8 1.1 -6.1 MILK -9.5 18.6 20.0 -2.3 -2.2 -0.6 -3.3 -0.4 -3.7 -5.9 6.2 -4.7 -3.9 4.6 8.9 -20.0 -20.0 -20.0 -20.0 10.7 8.0 -2.5 -0.9 4.7 12.5 3.2 -1.6 2.3 -1.2 -0.4 1.1 -20.0 -17.5 20.0 20.0 18.5 -11.4 -20.0 -7.3 -20.0 MXP -20.0 -20.0 -20.0 -1.1 -5.0 -0.6 -4.1 0.3 -2.3 -1.7 -0.9 -4.2 4.7 -5.3 -4.9 9.7 15.9 12.9 14.5 -8.2 -3.2 -3.8 2.2 -8.3 -20.0 -2.2 -0.6 -0.8 -1.1 0.7 -2.4 20.0 11.8 -20.0 -18.5 -3.8 17.4 16.5 20.0 20.0 NASDAQ_micro 20.0 20.0 -4.5 4.3 0.9 6.0 2.6 6.9 3.4 2.1 15.9 11.1 16.1 14.1 15.0 -11.8 -10.7 -11.4 -11.1 20.0 20.0 14.7 20.0 20.0 -20.0 5.5 2.1 4.8 4.2 5.4 6.0 -7.7 12.7 20.0 20.0 6.8 -3.8 3.1 -8.1 2.6 NIKKEI 2.9 -3.3 -10.2 5.5 1.2 7.8 3.3 8.9 4.4 17.1 13.4 14.3 17.2 12.0 -0.1 13.6 9.5 9.1 8.5 6.7 15.9 17.6 20.0 8.8 -20.0 3.2 14.4 9.0 9.3 16.7 4.2 20.0 13.4 -0.5 -15.4 -15.3 -0.6 -7.3 -10.2 -12.7 NZD -6.3 13.2 1.3 -2.4 -10.7 -1.3 -8.7 0.6 -4.9 -14.2 1.4 -14.4 -1.4 6.5 10.0 0.1 0.2 0.1 0.1 5.1 3.3 -8.5 -0.4 -0.0 0.6 2.7 -7.3 2.1 -5.2 0.5 -0.4 5.0 -2.9 4.7 15.5 5.4 4.8 -5.1 7.1 2.6 OAT -3.9 -6.8 -11.5 1.2 -2.2 -0.5 0.5 -1.7 2.2 -7.4 -6.4 -5.2 -2.4 -6.6 -8.6 -1.5 4.9 1.8 3.3 -7.0 -5.9 -4.6 -4.4 -5.6 1.9 -3.3 -3.8 -2.1 -2.7 -1.0 -3.1 13.3 1.0 -17.6 -16.4 -2.6 -20.0 -18.4 -4.7 -3.2 OATIES -20.0 -15.8 8.2 -1.6 -1.5 -0.4 -2.3 -0.3 -2.6 -4.0 -4.6 -7.4 -6.2 -7.5 -5.4 -5.4 0.9 0.9 2.4 -9.4 -4.8 -12.4 -3.8 -14.8 -19.8 -1.6 -0.4 -0.5 -2.7 -0.4 -3.1 0.5 -8.9 -14.7 -4.0 -1.3 -1.9 -1.1 8.8 11.4 OJ -20.0 10.1 0.3 -2.8 -2.6 -0.8 -4.0 -0.5 -4.5 4.9 9.2 -2.8 11.7 3.6 6.4 7.4 12.6 9.4 10.0 13.4 17.1 1.3 19.1 5.2 -20.0 3.1 -0.4 4.3 -0.7 5.8 0.6 17.3 10.7 -5.7 20.0 20.0 6.6 9.2 20.0 20.0 PALLAD -1.9 -4.2 2.2 -1.7 -2.2 -0.0 -2.9 0.4 -3.0 -0.5 -6.9 -0.8 -8.6 -5.7 -6.9 -2.0 -2.2 -2.3 -2.2 -5.1 -5.9 0.8 -10.0 -2.8 14.5 -2.9 -0.5 -2.5 -0.7 -2.9 -2.3 5.5 8.6 7.8 -1.9 -8.5 -20.0 -20.0 -20.0 -18.2 PLAT -14.8 1.0 12.0 -2.1 -2.8 -0.1 -3.6 0.5 -3.8 3.1 2.2 -2.1 -3.5 -4.5 0.1 -5.0 -4.2 -5.0 -4.7 1.6 3.4 1.5 1.6 -0.7 8.0 -0.1 0.4 1.4 0.0 1.2 -1.2 1.7 18.5 7.0 13.0 4.7 -20.0 -8.1 -2.5 3.9 REDWHEAT -20.0 -4.8 20.0 -2.7 -2.6 -0.8 -3.9 -0.5 -4.3 -7.5 -0.8 -12.5 -8.9 -11.3 -3.7 -10.3 -3.4 -8.7 -5.9 -9.2 -1.4 -20.0 -6.1 -20.0 -5.8 -1.5 -1.0 0.1 -4.6 -1.0 -4.8 -9.8 -17.5 -20.0 -0.6 12.7 -14.1 -20.0 -6.2 -17.2 RICE -6.9 9.0 6.6 -4.2 -4.0 -1.2 -6.1 -0.8 -6.8 -17.0 17.9 -3.8 17.5 5.3 19.2 20.0 20.0 20.0 20.0 14.0 18.5 -3.9 19.0 4.3 -13.6 4.9 -1.5 4.7 0.4 4.0 3.0 20.0 17.9 20.0 20.0 6.4 -12.5 -6.5 -12.1 -3.2 ROBUSTA -4.0 3.6 -5.7 -2.0 -1.9 -0.6 -3.0 -0.4 -3.3 -4.5 8.7 -3.2 9.3 6.1 7.2 20.0 20.0 20.0 20.0 12.1 16.4 0.7 17.8 6.6 -20.0 3.4 -1.1 6.0 0.0 7.3 1.3 20.0 4.6 17.4 8.3 20.0 2.2 -8.1 9.7 3.9 RUSSELL -9.9 -4.9 -4.1 4.5 1.0 6.4 2.7 7.3 3.6 7.2 9.4 -8.5 10.7 -7.9 -3.4 -7.3 -6.8 -7.2 -7.0 -3.6 2.4 -4.2 6.0 -6.3 -1.4 -0.7 1.0 2.3 -0.9 4.2 -2.0 -0.6 -7.0 -20.0 -16.9 -13.5 1.3 -20.0 0.2 -20.0 SHATZ 20.0 15.9 -3.8 0.9 -1.6 -0.4 0.4 -1.2 1.6 -3.8 -6.8 5.1 -7.5 4.5 -1.9 -20.0 -20.0 -20.0 -20.0 0.3 -5.7 5.8 -9.0 6.1 6.8 0.2 0.6 -1.7 2.3 -2.4 2.4 -20.0 13.8 7.6 -2.9 -4.3 -20.0 -16.0 -16.3 -12.4 SILVER-mini -18.7 -1.1 16.9 -1.5 -2.0 -0.0 -2.6 0.4 -2.7 -6.7 5.5 -7.4 5.0 0.0 4.0 -5.3 -6.5 -6.0 -6.3 3.9 7.0 -4.5 5.8 -1.5 1.9 0.4 -1.9 2.4 -2.9 2.5 -2.2 -1.7 -4.0 -2.4 8.8 13.6 -4.2 -9.9 6.0 4.0 SMI -6.9 15.7 8.8 5.2 1.1 7.3 3.1 8.4 4.1 -15.1 17.8 -4.3 16.3 13.4 15.1 -4.1 1.7 -2.7 -0.3 19.5 20.0 -1.8 17.6 9.2 14.4 6.3 -2.5 8.1 -0.6 6.8 2.7 12.7 -14.9 0.4 14.2 18.2 8.2 2.4 3.4 -0.1 SOFR 13.3 17.2 -4.1 1.2 -2.2 -0.5 0.5 -1.6 2.2 -3.7 -1.9 7.2 -3.2 8.8 2.3 -3.0 -1.4 -3.0 -2.2 4.4 -0.6 3.0 -3.6 6.8 -2.8 2.8 -0.2 1.0 1.8 -0.1 3.5 3.3 3.5 7.7 10.0 4.3 3.6 -16.7 16.1 1.2 SOYBEAN -20.0 -10.6 2.2 -3.3 -3.1 -0.9 -4.7 -0.6 -5.3 -14.7 -11.6 -16.0 -7.3 -15.9 -10.9 -1.0 7.1 -0.2 2.2 -16.1 -10.6 -20.0 -9.5 -20.0 -20.0 -4.2 -4.8 -2.4 -6.2 -2.0 -6.4 5.8 -15.3 -12.6 -2.5 4.5 -20.0 -20.0 -15.8 -20.0 SOYMEAL -19.3 -4.6 11.4 -2.7 -2.6 -0.8 -3.9 -0.5 -4.4 -11.7 -9.4 -12.5 -9.1 -11.9 -5.8 12.0 6.7 5.8 4.1 -7.0 -5.0 -12.9 -6.5 -12.8 -20.0 0.1 -3.1 0.3 -3.5 -0.6 -2.6 6.6 -6.6 1.2 10.6 13.9 -20.0 -20.0 -20.0 -20.0 SOYOIL -5.0 -2.5 -4.6 -2.6 -2.5 -0.7 -3.8 -0.5 -4.2 -2.7 -11.6 -8.8 -12.0 -8.8 -10.7 2.3 -0.3 -2.0 -2.8 -8.8 -11.0 -6.1 -12.8 -7.4 -20.0 -4.2 -1.3 -4.1 -2.5 -3.7 -3.6 -5.3 3.2 4.2 -1.6 -6.3 -14.0 -18.5 -0.7 -1.2 SP400 -9.5 -10.5 -5.7 4.6 1.0 6.5 2.8 7.4 3.7 -4.5 11.0 -8.3 12.5 -8.8 -3.8 -6.3 -6.0 -6.7 -6.3 -2.5 6.7 -6.2 12.7 -6.5 -13.0 0.3 -2.7 4.3 -1.9 6.9 -1.7 0.6 -8.6 -18.9 -15.7 -5.7 2.5 -9.3 2.7 -20.0 SP500_micro 17.9 18.8 1.1 6.0 1.3 8.4 3.6 9.7 4.8 3.8 20.0 17.6 20.0 20.0 20.0 -14.4 -12.4 -13.6 -13.0 20.0 20.0 18.6 20.0 20.0 -20.0 8.2 2.5 8.6 5.7 9.6 8.1 -10.7 14.3 20.0 20.0 13.3 5.1 0.3 1.0 -0.1 SUGAR11 20.0 5.3 -17.4 -3.3 -3.1 -0.9 -4.7 -0.6 -5.3 12.3 -14.3 12.9 -8.8 7.2 -9.3 -2.2 10.9 1.5 6.0 -5.1 -13.9 14.7 -10.5 7.3 -20.0 -2.6 7.2 -5.9 5.7 -4.2 2.5 13.0 20.0 20.0 3.6 -20.0 10.5 20.0 18.8 20.0 US10 12.0 15.1 -0.3 1.0 -1.9 -0.4 0.4 -1.4 1.9 -3.6 -2.4 5.5 -5.0 7.0 0.8 -7.5 -7.4 -6.9 -7.1 2.6 -1.5 1.7 -5.3 4.6 2.4 2.3 -0.4 0.7 1.4 -0.7 2.8 -6.3 2.2 4.8 6.6 3.3 -0.3 -18.7 10.0 2.1 US10U 11.8 15.9 1.0 1.4 -2.6 -0.6 0.6 -2.0 2.6 -4.6 -3.3 7.8 -6.6 9.7 1.7 -4.9 -2.6 -4.8 -3.8 3.9 -1.8 2.5 -7.3 6.5 0.3 3.3 -0.6 1.1 2.0 -0.8 4.1 0.9 4.0 6.7 9.2 5.4 -0.0 -15.3 19.2 9.7 US2 14.1 12.7 -6.5 1.0 -1.9 -0.4 0.4 -1.4 1.9 -4.5 -7.0 3.7 -8.6 5.2 -4.1 -20.0 -20.0 -20.0 -20.0 -1.5 -6.7 0.4 -11.0 2.0 12.9 0.0 -0.7 -1.9 0.8 -3.2 1.6 -20.0 -0.4 1.0 -1.3 -5.0 -4.0 -20.0 0.2 -14.6 US20 11.4 16.0 2.0 1.0 -1.9 -0.4 0.4 -1.4 1.9 -3.2 -0.0 5.8 -2.6 7.2 2.9 -1.2 -0.8 -0.8 -0.7 3.9 0.2 2.0 -3.7 5.4 -1.0 2.8 -0.4 1.5 1.5 0.1 3.0 4.9 4.1 6.5 9.7 7.1 -2.6 -10.6 20.0 15.5 US30 11.6 15.4 2.6 1.2 -2.2 -0.5 0.5 -1.7 2.2 -4.8 -1.2 6.4 -4.3 8.0 2.7 -6.3 -5.2 -5.2 -5.2 4.1 -0.3 2.2 -5.1 5.9 -0.5 3.2 -0.5 1.6 1.8 -0.1 3.6 -2.9 5.1 6.7 9.7 7.1 -7.2 -10.4 10.4 16.7 US5 12.5 15.3 -2.8 1.1 -1.9 -0.4 0.4 -1.5 1.9 -3.8 -4.8 5.4 -7.1 6.9 -0.8 -10.2 -10.1 -9.9 -9.9 1.7 -3.0 1.4 -6.8 4.1 5.7 1.9 -0.4 0.1 1.3 -1.3 2.7 -11.2 1.1 4.0 4.8 0.7 0.0 -20.0 7.3 -5.8 VIX 6.2 -7.3 1.1 -7.9 -6.6 -9.7 -5.1 -11.8 -5.5 -18.0 -20.0 -7.5 -20.0 -19.1 -20.0 -20.0 -20.0 -20.0 -20.0 -19.9 -20.0 -4.9 -20.0 -8.8 NaN -9.3 -5.6 -11.1 -5.3 -13.6 -6.7 NaN NaN NaN NaN NaN -16.8 -20.0 NaN NaN WHEAT -20.0 -7.3 20.0 -2.3 -2.2 -0.6 -3.3 -0.4 -3.7 -6.3 0.4 -10.4 -6.3 -9.4 -2.8 -15.2 -14.1 -16.0 -15.4 -8.4 -0.7 -20.0 -3.8 -20.0 0.7 -1.2 -1.0 0.3 -4.1 -0.4 -4.0 -20.0 -18.2 -20.0 2.6 11.7 -12.7 -20.0 -9.3 -20.0 End of report for caleb_strategy_v3