******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240702_203939 produced at 2024-07-02 21:38:17.343784 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.26 -0.32 0.0 999.00 -999.00 -0.26 -0.26 -69.71 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.64 -0.28 0.0 0.80 -0.80 -0.64 -0.64 -3.51 10.0 -8 -8 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 -0.21 0.0 0.43 -0.43 0.00 0.00 -7.68 16.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.81 24.0 0 0 caleb_strategy_v3 JPY False False 0.02 -0.14 -0.12 0.0 0.41 -0.41 -0.14 -0.17 -5.12 17.0 -6 -7 caleb_strategy_v3 US2 False True 0.06 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.87 13.0 0 0 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.10 0.0 0.38 -0.38 -0.04 -0.04 -2.63 10.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.10 0.0 0.40 -0.40 -0.04 -0.04 -2.56 10.0 -1 -1 caleb_strategy_v3 CHF False False 0.04 -0.04 -0.09 0.0 0.55 -0.55 -0.04 -0.04 -2.23 13.0 -1 -1 caleb_strategy_v3 LEANHOG False False 0.01 -0.09 -0.08 0.0 0.12 -0.12 -0.09 -0.08 -9.15 13.0 -10 -9 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.06 0.0 0.65 -0.65 -0.02 -0.02 -2.62 29.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.08 -0.08 -0.04 -0.05 -9.01 12.0 -6 -7 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.06 0.0 0.18 -0.18 0.00 0.00 -0.62 2.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.05 0.0 0.58 -0.58 -0.12 -0.12 -1.16 14.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -27.66 59.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.05 0.0 0.50 -0.50 -0.05 -0.05 -5.49 60.0 -6 -6 caleb_strategy_v3 CAC True False 0.02 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.86 12.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.72 -0.72 0.00 0.00 -1.15 19.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.04 0.0 0.15 -0.15 -0.01 -0.01 -13.96 51.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.03 0.0 0.12 -0.12 -0.10 -0.10 -1.56 7.0 -6 -6 caleb_strategy_v3 RUSSELL False False 0.00 -0.09 -0.03 0.0 0.21 -0.21 -0.09 -0.09 -9.99 68.0 -28 -28 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -4.45 66.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.02 0.0 0.01 -0.01 -0.01 -0.01 -4.98 3.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.02 0.0 0.05 -0.05 0.00 -0.01 -8.14 26.0 1 -3 caleb_strategy_v3 US5 False False 0.03 -0.03 -0.02 0.0 0.81 -0.81 -0.03 -0.06 -0.56 25.0 -1 -2 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.74 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -2.12 11.0 -4 -4 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.02 0.0 0.32 -0.32 -0.02 -0.02 -1.21 20.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.01 0.0 0.07 -0.07 -0.03 -0.02 -1.46 8.0 -3 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.44 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.02 -0.83 10.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.47 9.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.25 3.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.43 -0.43 -0.04 0.00 -0.35 10.0 -1 0 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.17 -0.17 -0.08 -0.08 -0.26 4.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 -0.01 0.0 0.32 -0.32 0.04 0.00 -0.21 8.0 1 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.01 0.0 0.40 -0.40 -0.04 -0.06 -1.86 56.0 -5 -9 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.01 0.00 0.0 0.35 -0.35 0.01 0.04 0.29 58.0 2 6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.33 5.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.61 -0.61 0.00 0.00 0.07 26.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.00 0.0 0.57 -0.57 0.00 0.00 -0.12 17.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.04 0.00 0.0 0.23 -0.23 0.04 0.04 0.01 6.0 1 1 caleb_strategy_v3 US10U False False 0.03 0.07 0.00 0.0 0.45 -0.45 0.07 0.07 0.10 13.0 2 2 caleb_strategy_v3 PALLAD False False 0.03 -0.06 -0.00 0.0 0.06 -0.06 -0.06 -0.03 -0.02 2.0 -2 -1 caleb_strategy_v3 PLAT False False 0.02 0.03 0.00 0.0 0.15 -0.15 0.03 0.03 0.29 10.0 2 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 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v3 GBP False False 0.02 -0.02 0.01 0.0 0.53 -0.53 -0.02 0.00 0.61 22.0 -1 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.65 3.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.39 -0.39 0.02 0.02 0.72 21.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.21 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.29 -0.29 0.01 0.01 0.68 23.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.02 0.73 18.0 0 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 1.76 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.70 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.06 0.03 0.0 0.28 -0.28 0.06 0.04 2.10 23.0 5 3 caleb_strategy_v3 AUD False False 0.02 0.18 0.04 0.0 0.39 -0.39 0.18 0.18 1.87 19.0 9 9 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.04 0.0 999.00 -999.00 0.03 0.09 1.46 999999999.0 1 3 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.05 0.0 0.41 -0.41 0.09 0.08 6.29 48.0 11 10 caleb_strategy_v3 DX False False 0.03 0.16 0.10 0.0 999.00 -999.00 0.16 0.16 3.04 999999999.0 5 5 caleb_strategy_v3 SMI False True 0.04 0.00 0.11 0.0 0.00 0.00 0.00 0.00 2.69 9.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.08 0.12 0.0 0.27 -0.27 0.08 0.09 15.27 36.0 10 12 caleb_strategy_v3 LIVECOW False False 0.02 0.16 0.14 0.0 0.39 -0.39 0.16 0.18 6.09 17.0 7 8 caleb_strategy_v3 SOFR False True 0.07 0.00 0.16 0.0 0.00 0.00 0.00 0.00 2.19 11.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.12 0.17 0.0 0.12 -0.12 0.12 0.10 6.95 5.0 5 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.6 Shocked risk 46.8 Sum abs risk 44.7 Leverage 3.40 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3275556.07, 'annual_cash_vol_target': 818889.0175, 'daily_cash_vol_target': 51180.56359375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0036 0.6680 0.5398 8.6372 BITCOIN 1683.8310 62680.0000 2.6864 42.9823 BOBL 0.2768 115.8800 0.2389 3.8222 BTP 0.5546 115.5200 0.4801 7.6820 BUND 0.5738 130.4600 0.4398 7.0368 BUXL 1.4201 127.5000 1.1138 17.8208 CAC 67.6484 7568.0000 0.8939 14.3020 CAD 0.0026 0.7324 0.3584 5.7343 CANOLA 8.1369 651.1000 1.2497 19.9956 CHF 0.0048 1.1158 0.4290 6.8640 COCOA 318.5393 7730.0000 4.1208 65.9331 COFFEE 4.2175 226.6000 1.8612 29.7794 COPPER 0.0660 4.4275 1.4896 23.8330 CORN 5.5306 421.2500 1.3129 21.0065 COTTON2 1.1446 72.6900 1.5746 25.1942 CRUDE_W 0.9626 79.6300 1.2088 19.3408 DAX 132.9944 18346.0000 0.7249 11.5988 DOW 215.8273 39629.0000 0.5446 8.7139 DX 0.3535 105.4150 0.3353 5.3655 EUR 0.0043 1.0780 0.3986 6.3772 EURIBOR-ICE 0.0492 97.3300 0.0506 0.8093 EUROSTX 41.5886 4952.0000 0.8398 13.4374 FEEDCOW 1.8227 260.9750 0.6984 11.1748 GASOIL 10.4350 805.0000 1.2963 20.7403 GASOLINE 0.0335 2.3389 1.4323 22.9169 GAS_US_mini 0.1009 2.4650 4.0938 65.5014 GBP 0.0054 1.2691 0.4218 6.7494 GOLD_micro 20.6604 2337.7000 0.8838 14.1407 HEATOIL 0.0346 2.6462 1.3069 20.9102 JGB-SGX-mini 0.2326 142.3200 0.1634 2.6152 JPY 0.0000 0.0063 0.5623 8.9968 LEANHOG 1.1447 74.0500 1.5458 24.7335 LIVECOW 1.2375 185.5250 0.6670 10.6728 LUMBER-new 9.1216 489.0000 1.8654 29.8459 MILK 0.3051 20.0600 1.5211 24.3380 MXP 0.0006 0.0541 1.0612 16.9798 NASDAQ_micro 136.5142 20230.0000 0.6748 10.7970 NIKKEI 316.4150 40235.0000 0.7864 12.5827 NZD 0.0034 0.6080 0.5649 9.0388 OAT 0.4983 122.9500 0.4053 6.4852 OATIES 6.7761 317.5000 2.1342 34.1472 OJ 8.3692 440.4500 1.9001 30.4023 PALLAD 24.8114 1021.0000 2.4301 38.8817 PLAT 16.7524 1012.1000 1.6552 26.4834 REDWHEAT 11.1594 609.2500 1.8317 29.3065 RICE 0.1375 15.2550 0.9012 14.4185 ROBUSTA 67.6189 4087.0000 1.6545 26.4718 RUSSELL 18.7324 2052.3000 0.9128 14.6041 SHATZ 0.0895 105.5300 0.0848 1.3574 SILVER-mini 0.5503 30.2500 1.8193 29.1093 SMI 76.6911 12060.0000 0.6359 10.1746 SOFR 0.0669 96.2150 0.0695 1.1119 SOYBEAN 10.2547 1113.0000 0.9214 14.7417 SOYMEAL 4.2991 325.7000 1.3199 21.1192 SOYOIL 0.7237 46.7600 1.5476 24.7617 SP400 22.2070 2937.2000 0.7561 12.0970 SP500_micro 26.7316 5556.2500 0.4811 7.6977 SUGAR11 0.2975 20.8700 1.4257 22.8111 US10 0.4080 109.4531 0.3727 5.9636 US10U 0.5737 112.6719 0.5092 8.1469 US2 0.0952 102.0547 0.0933 1.4927 US20 0.8855 116.6875 0.7588 12.1414 US30 1.3322 123.0938 1.0823 17.3161 US5 0.2554 106.2891 0.2403 3.8449 VIX 0.3624 15.2000 2.3845 38.1517 WHEAT 10.8689 606.0000 1.7936 28.6968 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.00 0.54 360.60 1.00 360.60 51180.56 141.93 5.09 72.25 BITCOIN 62.68 2.69 168.38 1.00 168.38 51180.56 303.95 -8.40 -255.45 BOBL 1158.80 0.24 276.82 1.08 298.04 51180.56 171.72 -6.61 -113.56 BTP 1155.20 0.48 554.64 1.08 597.15 51180.56 85.71 -8.98 -76.98 BUND 1304.60 0.44 573.76 1.08 617.74 51180.56 82.85 -4.16 -34.45 BUXL 1275.00 1.11 1420.09 1.08 1528.94 51180.56 33.47 -7.57 -25.33 CAC 756.80 0.89 676.48 1.08 728.34 51180.56 70.27 -7.75 -54.49 CAD 732.45 0.36 262.51 1.00 262.51 51180.56 194.97 -5.17 -100.88 CANOLA 130.22 1.25 162.74 0.73 119.07 51180.56 429.84 -13.34 -573.61 CHF 1394.69 0.43 598.32 1.00 598.32 51180.56 85.54 -10.03 -85.76 COCOA 773.00 4.12 3185.39 1.00 3185.39 51180.56 16.07 2.12 3.41 COFFEE 849.75 1.86 1581.56 1.00 1581.56 51180.56 32.36 4.57 14.78 COPPER 1106.88 1.49 1648.76 1.00 1648.76 51180.56 31.04 -0.45 -1.39 CORN 210.62 1.31 276.53 1.00 276.53 51180.56 185.08 -20.00 -370.16 COTTON2 363.45 1.57 572.30 1.00 572.30 51180.56 89.43 -11.05 -98.81 CRUDE_W 796.30 1.21 962.57 1.00 962.57 51180.56 53.17 12.07 64.15 DAX 183.46 0.72 132.99 1.08 143.19 51180.56 357.44 0.23 8.40 DOW 198.14 0.54 107.91 1.00 107.91 51180.56 474.27 -4.04 -191.47 DX 1054.15 0.34 353.50 1.00 353.50 51180.56 144.78 8.10 117.22 EUR 1347.44 0.40 537.06 1.00 537.06 51180.56 95.30 -4.67 -44.53 EURIBOR-ICE 2433.25 0.05 123.08 1.08 132.51 51180.56 386.23 -2.66 -102.88 EUROSTX 495.20 0.84 415.89 1.08 447.76 51180.56 114.30 -3.10 -35.48 FEEDCOW 1304.88 0.70 911.36 1.00 911.36 51180.56 56.16 -1.13 -6.37 GASOIL 805.00 1.30 1043.50 1.00 1043.50 51180.56 49.05 3.29 16.12 GASOLINE 982.34 1.43 1407.01 1.00 1407.01 51180.56 36.38 9.26 33.67 GAS_US_mini 61.62 4.09 252.28 1.00 252.28 51180.56 202.87 -3.71 -75.20 GBP 793.19 0.42 334.60 1.00 334.60 51180.56 152.96 1.53 23.40 GOLD_micro 233.77 0.88 206.60 1.00 206.60 51180.56 247.72 -2.20 -54.55 HEATOIL 1111.40 1.31 1452.48 1.00 1452.48 51180.56 35.24 -1.65 -5.83 JGB-SGX-mini 142320.00 0.16 23262.13 0.01 144.45 51180.56 354.31 -2.00 -70.91 JPY 782.81 0.56 440.17 1.00 440.17 51180.56 116.27 -16.96 -197.18 LEANHOG 296.20 1.55 457.88 1.00 457.88 51180.56 111.78 -13.47 -150.60 LIVECOW 742.10 0.67 495.02 1.00 495.02 51180.56 103.39 17.79 183.89 LUMBER-new 134.48 1.87 250.85 1.00 250.85 51180.56 204.03 -11.40 -232.52 MILK 401.20 1.52 610.28 1.00 610.28 51180.56 83.86 -1.84 -15.42 MXP 270.40 1.06 286.96 1.00 286.96 51180.56 178.36 -2.10 -37.43 NASDAQ_micro 404.60 0.67 273.03 1.00 273.03 51180.56 187.46 4.82 90.26 NIKKEI 40235.00 0.79 31641.50 0.01 196.49 51180.56 260.48 5.42 141.05 NZD 607.95 0.56 343.45 1.00 343.45 51180.56 149.02 1.85 27.59 OAT 1229.50 0.41 498.35 1.08 536.55 51180.56 95.39 -7.87 -75.11 OATIES 158.75 2.13 338.80 1.00 338.80 51180.56 151.06 -10.17 -153.64 OJ 660.68 1.90 1255.38 1.00 1255.38 51180.56 40.77 7.44 30.35 PALLAD 1021.00 2.43 2481.14 1.00 2481.14 51180.56 20.63 -0.29 -0.61 PLAT 506.05 1.66 837.62 1.00 837.62 51180.56 61.10 1.40 8.54 REDWHEAT 304.62 1.83 557.97 1.00 557.97 51180.56 91.73 -11.97 -109.84 RICE 305.10 0.90 274.94 1.00 274.94 51180.56 186.15 3.90 72.53 ROBUSTA 408.70 1.65 676.19 1.00 676.19 51180.56 75.69 7.74 58.59 RUSSELL 102.62 0.91 93.66 1.00 93.66 51180.56 546.44 -5.52 -301.37 SHATZ 1055.30 0.08 89.53 1.08 96.39 51180.56 530.98 -7.08 -376.09 SILVER-mini 756.25 1.82 1375.87 1.00 1375.87 51180.56 37.20 1.95 7.26 SMI 1206.00 0.64 766.91 1.11 853.15 51180.56 59.99 13.13 78.80 SOFR 2405.38 0.07 167.17 1.00 167.17 51180.56 306.17 1.17 35.96 SOYBEAN 556.50 0.92 512.73 1.00 512.73 51180.56 99.82 -16.79 -167.62 SOYMEAL 325.70 1.32 429.91 1.00 429.91 51180.56 119.05 -13.03 -155.08 SOYOIL 280.56 1.55 434.20 1.00 434.20 51180.56 117.87 -7.52 -88.65 SP400 2937.20 0.76 2220.70 1.00 2220.70 51180.56 23.05 -8.13 -18.75 SP500_micro 277.81 0.48 133.66 1.00 133.66 51180.56 382.92 7.07 270.62 SUGAR11 233.74 1.43 333.25 1.00 333.25 51180.56 153.58 2.24 34.47 US10 1094.53 0.37 407.96 1.00 407.96 51180.56 125.45 -0.73 -9.16 US10U 1126.72 0.51 573.70 1.00 573.70 51180.56 89.21 0.92 8.25 US2 2041.09 0.09 190.42 1.00 190.42 51180.56 268.78 -5.49 -147.66 US20 1166.88 0.76 885.47 1.00 885.47 51180.56 57.80 2.81 16.27 US30 1230.94 1.08 1332.19 1.00 1332.19 51180.56 38.42 0.27 1.04 US5 1062.89 0.24 255.42 1.00 255.42 51180.56 200.38 -2.19 -43.95 VIX 152.00 2.38 362.44 1.00 362.44 51180.56 141.21 -20.00 -282.42 WHEAT 303.00 1.79 543.45 1.00 543.45 51180.56 94.18 -11.79 -111.06 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 72.247 0.010 2.5 1.875 BITCOIN -255.448 0.043 2.5 -27.662 BOBL -113.555 0.004 2.5 -1.152 BTP -76.978 0.014 2.5 -2.626 BUND -34.447 0.004 2.5 -0.349 BUXL -25.328 0.004 2.5 -0.257 CAC -54.491 0.014 2.5 -1.859 CAD -100.883 0.010 2.5 -2.617 CANOLA -573.611 0.010 2.5 -13.955 CHF -85.758 0.010 2.5 -2.225 COCOA 3.406 0.009 2.5 0.073 COFFEE 14.783 0.005 2.5 0.173 COPPER -1.387 0.043 2.5 -0.150 CORN -370.161 0.010 2.5 -9.005 COTTON2 -98.814 0.009 2.5 -2.116 CRUDE_W 64.151 0.043 2.5 6.947 DAX 8.395 0.014 2.5 0.286 DOW -191.471 0.009 2.5 -4.450 DX 117.217 0.010 2.5 3.041 EUR -44.529 0.010 2.5 -1.155 EURIBOR-ICE -102.879 0.014 2.5 -3.509 EUROSTX -35.479 0.014 2.5 -1.210 FEEDCOW -6.373 0.013 2.5 -0.211 GASOIL 16.122 0.017 2.5 0.699 GASOLINE 33.671 0.017 2.5 1.460 GAS_US_mini -75.195 0.043 2.5 -8.143 GBP 23.400 0.010 2.5 0.607 GOLD_micro -54.548 0.014 2.5 -1.861 HEATOIL -5.830 0.017 2.5 -0.253 JGB-SGX-mini -70.908 0.043 2.5 -7.678 JPY -197.182 0.010 2.5 -5.116 LEANHOG -150.596 0.024 2.5 -9.152 LIVECOW 183.895 0.013 2.5 6.094 LUMBER-new -232.524 0.009 2.5 -4.978 MILK -15.418 0.009 2.5 -0.330 MXP -37.433 0.059 2.5 -5.494 NASDAQ_micro 90.263 0.009 2.5 2.098 NIKKEI 141.051 0.043 2.5 15.274 NZD 27.588 0.010 2.5 0.716 OAT -75.106 0.014 2.5 -2.562 OATIES -153.636 0.010 2.5 -3.738 OJ 30.347 0.009 2.5 0.650 PALLAD -0.607 0.014 2.5 -0.021 PLAT 8.539 0.014 2.5 0.291 REDWHEAT -109.839 0.005 2.5 -1.457 RICE 72.528 0.010 2.5 1.764 ROBUSTA 58.591 0.005 2.5 0.684 RUSSELL -301.365 0.013 2.5 -9.986 SHATZ -376.088 0.004 2.5 -3.814 SILVER-mini 7.265 0.014 2.5 0.248 SMI 78.795 0.014 2.5 2.688 SOFR 35.962 0.024 2.5 2.186 SOYBEAN -167.618 0.004 2.5 -1.559 SOYMEAL -155.075 0.004 2.5 -1.442 SOYOIL -88.654 0.004 2.5 -0.825 SP400 -18.746 0.013 2.5 -0.621 SP500_micro 270.620 0.009 2.5 6.289 SUGAR11 34.470 0.009 2.5 0.733 US10 -9.159 0.005 2.5 -0.116 US10U 8.251 0.005 2.5 0.105 US2 -147.658 0.005 2.5 -1.871 US20 16.269 0.005 2.5 0.206 US30 1.035 0.005 2.5 0.013 US5 -43.948 0.005 2.5 -0.557 VIX -282.421 0.099 2.5 -69.713 WHEAT -111.062 0.005 2.5 -1.473 ===================== Position diags ===================== AUD 3.68 BITCOIN 32.91 BOBL 1.74 BTP 2.92 BUND 0.84 BUXL 0.34 CAC 2.40 CAD 5.06 CANOLA 10.46 CHF 2.22 COCOA 0.34 COFFEE 0.38 COPPER 3.36 CORN 4.50 COTTON2 1.92 CRUDE_W 5.76 DAX 12.19 DOW 11.02 DX 3.76 EUR 2.47 EURIBOR-ICE 13.17 EUROSTX 3.90 FEEDCOW 1.86 GASOIL 2.13 GASOLINE 1.58 GAS_US_mini 21.97 GBP 3.97 GOLD_micro 8.45 HEATOIL 1.53 JGB-SGX-mini 38.37 JPY 3.02 LEANHOG 6.79 LIVECOW 3.43 LUMBER-new 4.37 MILK 1.80 MXP 26.18 NASDAQ_micro 4.36 NIKKEI 28.21 NZD 3.87 OAT 3.25 OATIES 3.68 OJ 0.87 PALLAD 0.70 PLAT 2.08 REDWHEAT 1.22 RICE 4.53 ROBUSTA 0.88 RUSSELL 18.11 SHATZ 5.38 SILVER-mini 1.27 SMI 2.05 SOFR 18.61 SOYBEAN 0.93 SOYMEAL 1.11 SOYOIL 1.10 SP400 0.76 SP500_micro 8.90 SUGAR11 3.27 US10 1.59 US10U 1.13 US2 3.41 US20 0.73 US30 0.49 US5 2.54 VIX 34.86 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.9 1.5 2.2 9.0 9 BITCOIN -27.7 -31.0 -24.4 0.0 0 BOBL -1.2 -1.3 -1.0 0.0 0 BTP -2.6 -2.9 -2.3 -1.0 -1 BUND -0.3 -0.4 -0.3 -1.0 -1 BUXL -0.3 -0.3 -0.2 -2.0 -2 CAC -1.9 -2.1 -1.6 0.0 0 CAD -2.6 -3.1 -2.1 -1.0 -1 CANOLA -14.0 -15.0 -12.9 -4.0 -4 CHF -2.2 -2.4 -2.0 -1.0 -1 COCOA 0.1 0.0 0.1 0.0 0 COFFEE 0.2 0.1 0.2 0.0 0 COPPER -0.2 -0.5 0.2 0.0 0 CORN -9.0 -9.5 -8.6 -6.0 -6 COTTON2 -2.1 -2.3 -1.9 -4.0 -4 CRUDE_W 6.9 6.4 7.5 5.0 5 DAX 0.3 -0.9 1.5 2.0 2 DOW -4.4 -5.6 -3.3 0.0 0 DX 3.0 2.7 3.4 5.0 5 EUR -1.2 -1.4 -0.9 -3.0 -3 EURIBOR-ICE -3.5 -4.8 -2.2 -8.0 -8 EUROSTX -1.2 -1.6 -0.8 -1.0 -1 FEEDCOW -0.2 -0.4 -0.0 1.0 1 GASOIL 0.7 0.5 0.9 0.0 0 GASOLINE 1.5 1.3 1.6 1.0 1 GAS_US_mini -8.1 -10.3 -5.9 1.0 1 GBP 0.6 0.2 1.0 -1.0 -1 GOLD_micro -1.9 -2.7 -1.0 -5.0 -5 HEATOIL -0.3 -0.4 -0.1 0.0 0 JGB-SGX-mini -7.7 -11.5 -3.8 0.0 0 JPY -5.1 -5.4 -4.8 -6.0 -6 LEANHOG -9.2 -9.8 -8.5 -10.0 -10 LIVECOW 6.1 5.8 6.4 7.0 7 LUMBER-new -5.0 -5.4 -4.5 -2.0 -2 MILK -0.3 -0.5 -0.2 NaN 0 MXP -5.5 -8.1 -2.9 -6.0 -6 NASDAQ_micro 2.1 1.7 2.5 5.0 5 NIKKEI 15.3 12.5 18.1 10.0 10 NZD 0.7 0.3 1.1 1.0 1 OAT -2.6 -2.9 -2.2 -1.0 -1 OATIES -3.7 -4.1 -3.4 NaN 0 OJ 0.6 0.6 0.7 1.0 1 PALLAD -0.0 -0.1 0.0 -2.0 -2 PLAT 0.3 0.1 0.5 2.0 2 REDWHEAT -1.5 -1.6 -1.3 -3.0 -3 RICE 1.8 1.3 2.2 NaN 0 ROBUSTA 0.7 0.6 0.8 1.0 1 RUSSELL -10.0 -11.8 -8.2 -28.0 -28 SHATZ -3.8 -4.4 -3.3 NaN 0 SILVER-mini 0.2 0.1 0.4 0.0 0 SMI 2.7 2.5 2.9 0.0 0 SOFR 2.2 0.3 4.0 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -6.0 -6 SOYMEAL -1.4 -1.6 -1.3 0.0 0 SOYOIL -0.8 -0.9 -0.7 -2.0 -2 SP400 -0.6 -0.7 -0.5 0.0 0 SP500_micro 6.3 5.4 7.2 11.0 11 SUGAR11 0.7 0.4 1.1 0.0 0 US10 -0.1 -0.3 0.0 0.0 0 US10U 0.1 -0.0 0.2 2.0 2 US2 -1.9 -2.2 -1.5 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.0 -0.0 0.1 1.0 1 US5 -0.6 -0.8 -0.3 -1.0 -1 VIX -69.7 -73.2 -66.2 -56.0 -56 WHEAT -1.5 -1.6 -1.3 -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 -0.0 0.1 0.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.0 0.1 -0.2 0.1 0.2 -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 0.6 0.3 0.5 0.1 -0.2 0.1 -0.0 BITCOIN -0.6 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.3 -0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 0.5 -0.2 -2.7 -0.0 -0.0 0.2 -0.1 0.5 -0.1 -0.2 -0.4 -0.4 0.3 0.1 -0.5 -0.2 -0.0 0.0 BOBL 0.6 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.2 0.0 -0.0 -0.4 -0.2 -0.3 -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 -0.6 -0.0 0.1 -0.1 -0.0 -0.7 -0.5 -0.3 -0.3 BTP -0.1 -0.3 -0.4 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.7 0.1 -0.5 -0.5 0.1 -0.6 -0.4 0.0 0.1 BUND 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 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.0 -0.1 0.1 -0.7 -0.6 -0.2 -0.4 BUXL 0.2 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 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 0.4 -0.2 -0.1 -0.2 0.0 -0.0 0.0 -0.2 -0.0 -0.2 0.2 -0.2 -1.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.6 -0.4 -0.6 -0.6 -0.4 0.0 0.3 -0.2 0.4 CAD 0.1 0.0 -0.2 -0.1 -0.1 -0.1 -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 0.5 -0.0 -0.1 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 0.1 -0.1 -0.0 -0.2 -0.1 -0.0 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 0.0 -0.2 -0.1 -2.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -1.1 0.1 -0.2 -0.2 0.1 -0.2 -0.6 0.1 -0.2 CHF 0.1 0.5 -0.4 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.4 -0.2 -0.5 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 -0.2 -0.3 -0.1 0.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -1.1 -0.5 0.3 0.3 -0.4 0.2 -0.5 0.0 -0.4 COCOA -0.4 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.0 0.0 0.2 0.3 0.3 0.4 0.0 0.1 -0.1 0.2 -0.1 -2.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 0.1 0.0 0.6 0.4 0.1 0.5 0.3 COFFEE -0.1 0.2 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.3 -0.1 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 0.3 0.0 0.6 -0.0 0.5 0.5 0.6 0.1 -0.4 0.5 -0.1 COPPER -0.6 -0.6 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -1.2 0.0 0.0 0.1 -0.0 0.1 -0.0 0.3 -0.1 -0.0 0.1 0.5 0.0 -0.0 0.4 0.3 CORN -0.6 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.2 -0.5 -0.2 -0.1 -0.3 -0.3 -0.4 -0.3 -0.2 -0.1 -0.2 -0.3 -0.2 -1.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -1.1 -0.5 -0.3 -0.3 0.1 -0.7 -0.6 -0.7 -0.0 COTTON2 0.2 -0.3 -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 -0.2 0.0 -0.0 0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.4 -0.1 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.6 -0.1 -0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.3 0.2 0.6 0.2 0.1 0.3 0.2 0.3 0.3 0.1 0.1 0.2 0.3 0.2 -0.6 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 0.1 -0.4 -0.1 0.7 0.6 0.7 0.7 DAX -0.6 -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 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.0 0.5 -0.1 1.5 -0.0 -0.0 0.2 -0.0 0.4 -0.0 -0.5 -0.1 -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 -1.9 0.0 0.0 0.1 0.0 0.4 -0.0 -0.5 -0.2 -0.4 -0.5 -0.4 0.3 -0.1 0.4 -0.2 DX 0.4 -0.0 0.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.1 0.5 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 0.0 0.2 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 -0.0 -0.1 -0.0 -0.1 -0.1 -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 -0.0 -0.2 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.4 0.4 -0.2 -0.1 -0.0 -0.2 -0.7 -0.2 -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 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.7 -0.7 -0.2 0.2 EUROSTX -0.5 -0.6 -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 -0.0 0.5 -0.1 -0.3 0.0 -0.0 0.2 -0.0 0.4 -0.0 0.3 -0.2 -0.6 -0.6 0.0 -0.3 0.1 -0.6 0.2 FEEDCOW 0.1 0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 -0.1 0.0 0.0 -0.2 -0.4 -0.4 -0.4 0.0 -0.0 -0.0 -0.0 0.0 -1.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.1 0.6 0.5 -0.3 0.2 0.7 0.5 0.7 GASOIL 0.6 -0.1 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.1 0.2 0.5 0.2 -0.0 -0.0 0.3 0.0 0.1 0.0 0.0 0.2 0.2 0.2 0.8 0.0 0.1 -0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.1 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE 0.5 -0.3 -0.2 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -0.0 0.4 0.4 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 1.0 0.1 -0.0 -0.4 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini -0.3 0.6 0.6 0.0 0.0 0.0 0.1 0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 0.0 -0.1 -0.4 -0.4 -0.4 0.0 -0.0 -0.1 -0.3 -0.1 2.7 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -1.1 -0.5 -0.6 0.4 0.0 -0.1 -0.2 -0.2 -0.4 GBP -0.3 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 0.3 -0.2 0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.1 -0.0 0.2 0.0 0.0 0.1 -0.0 0.2 -0.0 0.2 0.3 0.2 0.5 0.4 -0.1 -0.7 -0.1 -0.4 GOLD_micro -0.2 -0.5 0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 0.3 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 0.0 0.1 -0.0 0.3 -0.0 -0.4 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.7 -0.1 0.1 0.0 0.5 0.1 -0.3 0.3 -0.1 HEATOIL 0.6 -0.0 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.2 -0.1 0.2 0.2 0.2 -0.0 -0.1 0.2 -0.1 0.1 0.0 -0.0 0.2 0.1 0.2 -2.7 -0.0 0.1 -0.1 0.1 0.0 0.0 -0.2 0.2 0.4 -0.3 -0.6 0.1 0.2 -0.2 0.1 JGB-SGX-mini 0.3 -0.1 -0.6 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -1.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 1.1 -0.4 -0.1 -0.4 -0.3 -0.3 -0.2 0.0 0.5 JPY -0.5 -0.4 -0.4 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.4 -0.2 -0.6 -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 -0.0 -0.2 -0.1 -0.2 -0.1 -1.1 -0.4 -0.5 -0.6 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.3 -0.6 -0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.2 -0.2 0.4 -0.4 0.4 -0.2 -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 -0.2 -0.4 -0.6 -0.6 -0.4 -0.3 -0.2 0.2 LIVECOW 0.6 0.6 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 0.4 0.2 0.2 0.2 0.2 0.4 0.2 0.4 0.4 0.2 0.1 0.2 0.2 0.2 -1.3 0.1 0.0 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 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 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.2 -0.1 NaN -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.1 0.2 -0.3 -0.7 -0.2 -0.4 0.1 -0.2 MILK -0.4 0.4 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 0.0 1.6 0.0 -0.0 0.1 -0.0 -0.0 0.0 -1.1 -0.2 0.2 0.6 0.6 -0.3 -0.7 -0.2 -0.7 MXP -0.4 -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 -0.3 -0.6 -0.1 0.6 0.5 0.7 0.7 NASDAQ_micro 0.6 0.6 -0.1 0.0 0.0 0.2 0.0 0.3 0.0 0.1 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 -0.4 -0.0 0.6 0.6 0.3 -0.1 0.1 -0.3 0.1 NIKKEI 0.2 -0.1 -0.3 0.1 0.0 0.2 0.0 0.3 0.1 0.2 0.4 0.2 0.6 0.2 0.0 0.3 0.2 0.2 0.2 0.1 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.2 0.1 0.6 0.1 1.1 0.5 0.1 -0.3 -0.4 0.0 -0.2 -0.3 -0.4 NZD -0.2 0.3 0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.0 -0.2 -0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.3 0.0 0.1 0.5 0.2 0.2 -0.2 0.3 0.1 OAT -0.2 -0.3 -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 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.7 0.0 -0.5 -0.5 -0.1 -0.7 -0.6 -0.2 -0.1 OATIES -0.6 -0.6 0.2 -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 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.5 -0.2 -0.0 -0.0 -0.0 0.3 0.4 OJ -0.6 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.0 0.4 0.0 0.1 0.1 0.2 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 0.1 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD 0.3 -0.1 0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 1.9 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.3 0.5 0.5 0.0 -0.2 -0.7 -0.7 -0.7 -0.6 PLAT -0.3 -0.1 0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 1.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 0.2 0.4 0.2 -0.7 -0.3 -0.1 0.1 REDWHEAT -0.6 -0.3 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.2 -0.2 -0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.0 -0.6 -0.1 0.4 -0.5 -0.7 -0.2 -0.6 RICE -0.4 0.1 0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 0.5 -0.2 0.6 -0.1 0.2 0.4 0.4 0.4 0.4 0.1 0.2 -0.2 0.5 -0.0 -1.8 0.0 -0.1 0.1 -0.1 0.2 -0.0 1.1 -0.5 0.6 0.6 0.3 -0.5 -0.2 -0.5 -0.1 ROBUSTA -0.2 0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.3 0.1 0.1 0.4 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 0.2 0.4 0.6 0.6 0.1 -0.3 0.3 0.1 RUSSELL -0.2 -0.2 -0.1 0.1 0.0 0.2 0.0 0.3 0.0 -0.0 0.2 -0.0 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.0 0.1 0.0 0.2 -0.0 -0.0 -0.1 -0.6 -0.6 -0.4 0.1 -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 -0.1 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.2 0.0 0.9 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 0.0 0.3 -0.0 -0.1 -0.7 -0.5 -0.5 -0.4 SILVER-mini -0.4 -0.0 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.2 -0.0 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.0 0.3 0.5 -0.1 -0.3 0.2 0.1 SMI -0.4 0.3 0.3 0.1 0.0 0.2 0.0 0.3 0.0 -0.1 0.5 -0.1 0.6 0.1 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 -0.0 0.5 0.1 2.0 0.1 -0.0 0.2 -0.0 0.3 0.0 0.7 -0.3 -0.3 0.4 0.5 0.3 0.1 0.1 -0.0 SOFR 0.2 0.4 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 0.1 0.1 0.3 0.1 0.1 -0.5 0.6 0.0 SOYBEAN -0.6 -0.5 0.0 -0.0 -0.0 -0.0 -0.0 -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 -0.1 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.3 -0.0 -0.1 -0.3 0.1 -0.7 -0.7 -0.5 -0.7 SOYMEAL -0.6 -0.3 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.3 0.1 0.2 0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.5 -0.2 -0.0 0.0 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.2 0.5 0.6 0.2 -0.2 -0.5 -0.6 -0.0 -0.0 SP400 -0.3 -0.4 -0.2 0.1 0.0 0.2 0.0 0.3 0.0 -0.1 0.3 -0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.3 -0.1 -1.8 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.4 -0.6 -0.6 -0.2 0.1 -0.3 0.1 -0.7 SP500_micro 0.5 0.6 0.1 0.1 0.0 0.2 0.0 0.4 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.4 0.1 -0.6 -0.2 0.6 0.6 0.5 0.2 0.0 0.0 0.0 SUGAR11 0.6 0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.4 0.2 -0.3 0.1 -0.1 -0.1 0.2 0.0 0.1 -0.0 -0.1 0.2 -0.3 0.2 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.7 0.5 0.6 0.4 -0.5 0.3 0.7 0.5 0.7 US10 0.2 0.4 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 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 0.0 0.2 0.1 0.0 -0.6 0.4 0.1 US10U 0.2 0.4 0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 0.3 0.2 0.0 -0.5 0.6 0.3 US2 0.3 0.3 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.3 0.0 1.8 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -1.1 0.2 0.0 0.0 -0.1 -0.1 -0.7 0.0 -0.5 US20 0.1 0.4 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.3 -0.0 0.0 0.3 0.2 -0.0 -0.3 0.7 0.5 US30 0.1 0.4 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.1 0.0 0.3 0.2 -0.2 -0.3 0.4 0.6 US5 0.2 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 0.0 -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 0.1 0.0 0.2 0.0 0.0 -0.7 0.3 -0.2 VIX 0.3 -0.2 0.1 -0.1 -0.1 -0.4 -0.1 -0.7 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -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 -0.4 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.2 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.6 -0.0 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 -0.2 4.4 5.6 -4.0 -7.6 -2.1 -9.6 0.3 -7.1 8.8 -0.3 11.2 -4.8 6.8 14.1 -2.3 -2.8 -2.5 -2.6 5.3 3.8 3.0 -1.2 4.0 3.8 3.4 2.4 2.9 2.0 0.5 2.4 -0.0 20.0 18.0 9.5 14.7 2.7 -6.7 4.0 -1.3 BITCOIN -20.0 -9.4 -1.5 -4.0 0.1 -0.5 -3.6 0.8 -5.9 0.2 10.9 -13.6 15.2 -10.0 -6.5 -7.4 -7.4 -7.5 -7.6 -5.6 10.9 -14.5 20.0 -16.5 -20.0 -2.0 -1.1 6.8 -6.6 12.8 -7.3 -3.7 -16.2 -12.4 9.4 2.8 -16.3 -4.7 -0.5 0.7 BOBL 17.1 4.1 -5.8 0.4 -4.2 -0.5 -2.5 -1.4 -0.0 -7.5 -6.3 0.3 -5.6 1.7 -2.6 -20.0 -9.7 -13.4 -10.2 -1.2 -3.8 -4.1 -5.0 0.2 3.8 -0.3 -5.4 -1.3 -2.1 -1.7 0.2 -11.1 -0.6 2.9 -3.8 -0.5 -20.0 -15.4 -8.2 -10.2 BTP -4.4 -9.2 -10.9 0.7 -7.6 -0.9 -4.5 -2.5 -0.0 -8.3 3.9 -10.3 8.5 -9.8 -10.4 -0.5 4.6 1.6 3.0 -5.8 -0.7 -9.4 4.1 -7.9 -20.0 -3.6 -5.5 0.4 -6.7 3.7 -5.5 12.6 5.5 -15.2 -15.7 3.7 -17.4 -13.0 0.1 2.7 BUND 12.1 2.2 -4.3 0.4 -4.6 -0.6 -2.7 -1.5 -0.0 -8.3 -5.3 -1.2 -2.9 0.8 -2.4 3.7 -0.3 -0.9 -1.9 -1.0 -2.5 -6.0 -3.4 -0.9 1.2 -0.1 -7.3 -0.5 -3.4 -0.7 -0.3 3.7 -2.7 0.7 -4.3 2.0 -20.0 -19.2 -7.1 -11.3 BUXL 7.6 -0.4 -2.1 0.4 -5.1 -0.6 -3.0 -1.7 -0.0 -9.3 -4.7 -5.4 -2.4 -2.4 -4.1 -1.5 -2.9 -3.9 -4.1 -2.3 -2.6 -9.0 -3.8 -3.2 -2.3 -0.6 -8.8 -0.3 -5.0 -0.5 -1.5 -0.6 -6.9 -2.0 -7.4 3.0 -20.0 -20.0 -14.6 -9.9 CAC -20.0 -20.0 -20.0 5.0 2.9 6.9 3.3 8.0 4.0 -6.3 5.8 -13.5 11.9 -14.1 -10.2 -7.7 0.0 -2.2 0.2 -14.8 -1.1 -17.1 9.1 -20.0 -9.6 -4.0 -2.0 0.4 -4.7 3.3 -6.2 11.5 -17.2 -20.0 -20.0 -13.9 0.3 7.8 -4.6 10.9 CAD 1.7 1.0 -5.5 -4.7 -8.9 -2.5 -11.3 0.4 -8.4 0.9 -17.6 0.7 -15.8 -6.7 -12.2 -4.3 -2.9 -3.8 -3.2 -5.5 -8.6 -0.6 -10.0 -1.8 -0.9 -4.2 0.5 -6.1 -0.7 -6.7 -1.6 -0.5 20.0 15.5 -1.0 -3.7 2.4 -7.8 -3.7 -5.1 CANOLA -18.4 -7.3 16.7 -2.0 -1.1 -0.7 -2.3 -0.4 -2.8 7.7 -4.7 -0.4 -6.6 -5.4 -3.5 -13.6 -9.7 -14.3 -13.6 -5.9 -4.7 3.0 -7.1 -6.2 -19.5 -2.2 0.6 -1.7 -1.8 -2.5 -3.0 -20.0 2.3 -4.7 -4.6 3.6 -6.5 -16.6 4.0 -5.2 CHF 2.8 15.5 -11.0 -3.7 -7.1 -2.0 -9.0 0.3 -6.6 -18.3 -15.0 -15.9 -13.7 -0.5 -6.8 -17.1 -16.5 -17.0 -16.6 -3.1 -10.9 -17.8 -12.2 -4.8 4.9 -0.7 -11.4 -3.7 -7.8 -4.1 -1.7 -20.0 -20.0 10.3 9.3 -13.8 5.9 -14.0 0.5 -12.4 COCOA -13.8 -2.4 -16.5 -1.5 -0.9 -0.5 -1.7 -0.3 -2.1 -3.8 2.9 -5.3 4.3 -2.1 0.1 10.7 15.1 16.7 18.2 0.5 5.4 -7.5 7.6 -4.7 -17.3 1.0 -0.7 4.0 -1.5 6.1 -0.9 20.0 -12.7 3.2 1.2 20.0 10.9 3.3 14.6 8.1 COFFEE -4.3 7.1 11.7 -3.7 -2.2 -1.3 -4.4 -0.8 -5.4 -10.6 12.2 -5.1 11.6 10.2 10.7 4.0 7.2 5.5 7.1 12.9 16.3 -0.0 14.3 6.3 -20.0 3.6 -0.9 7.1 -1.2 7.5 0.1 11.1 -1.9 14.4 14.7 20.0 4.2 -11.6 14.6 -3.1 COPPER -17.1 -18.5 14.3 -1.5 0.0 -0.2 -1.4 0.3 -2.3 -1.8 3.0 -5.7 3.4 -7.7 -0.1 -0.5 -2.9 -0.2 -1.6 -0.6 5.3 -3.7 5.9 -5.4 -8.8 0.1 0.3 2.2 -1.2 2.3 -1.8 5.1 -3.2 -0.9 3.0 16.4 1.1 -0.1 11.9 8.4 CORN -20.0 -12.7 5.7 -3.3 -1.9 -1.2 -3.9 -0.7 -4.7 -13.3 -10.0 -15.0 -13.9 -14.7 -10.8 -16.1 -12.7 -17.5 -16.7 -17.3 -11.0 -20.0 -12.6 -20.0 -12.2 -4.0 -8.0 -2.6 -8.8 -3.2 -6.9 -20.0 -20.0 -7.9 -8.2 2.0 -20.0 -17.3 -20.0 -1.2 COTTON2 6.6 -9.5 -20.0 -2.9 -1.7 -1.0 -3.4 -0.6 -4.2 -6.8 -12.0 -2.7 -8.9 -7.8 -12.6 -7.9 1.1 -2.4 0.1 -13.3 -14.3 -2.1 -9.3 -5.7 -20.0 -3.6 -1.7 -2.8 -0.6 -0.5 -1.6 -0.5 6.2 11.8 -2.3 -20.0 -3.2 -9.9 12.5 -0.7 CRUDE_W 18.4 -3.2 -3.4 1.3 9.1 0.9 9.0 2.8 5.7 20.0 10.0 20.0 15.4 20.0 9.5 13.1 12.2 13.2 12.8 10.1 7.7 20.0 11.1 19.1 -4.6 -0.9 7.7 -0.5 7.9 3.0 4.0 3.8 -2.2 3.1 -11.4 -2.3 20.0 19.3 20.0 20.0 DAX -18.5 -16.8 -14.6 5.5 3.2 7.6 3.6 8.7 4.4 -1.4 13.8 -9.4 16.4 -12.4 -5.2 -9.3 -11.3 -10.5 -11.3 -2.5 10.3 -5.5 18.4 -8.9 11.5 -0.4 -1.1 6.8 -2.5 10.7 -4.1 -8.5 -6.2 -20.0 -20.0 4.9 4.0 5.9 -3.8 9.3 DOW 3.4 -7.5 -12.5 5.2 3.0 7.3 3.5 8.3 4.2 -3.7 11.9 6.8 14.2 -0.5 -1.1 -11.2 -11.2 -11.4 -11.5 1.9 7.1 4.9 15.1 3.5 -14.0 0.7 1.7 5.1 0.6 10.1 -0.1 -8.6 -7.9 -10.9 -14.7 -11.7 10.4 -2.6 11.1 -6.4 DX 10.9 -1.3 7.2 -4.0 -7.6 -2.1 -9.6 0.3 -7.1 5.8 16.8 16.5 15.4 14.5 16.0 7.1 6.9 7.3 7.2 11.3 11.1 9.7 10.8 12.4 -20.0 6.0 1.1 5.7 5.1 5.6 6.5 16.7 20.0 20.0 4.4 20.0 -3.9 8.0 -3.7 12.9 EUR -11.6 -0.7 -4.3 -4.1 -7.8 -2.2 -9.9 0.3 -7.3 12.7 -12.8 -14.4 -10.9 -14.8 -11.0 -7.4 -7.1 -7.4 -7.1 -8.4 -6.7 -5.0 -6.0 -9.8 20.0 -4.5 2.9 -2.4 -3.0 -1.5 -5.9 -7.5 18.1 -6.5 -2.2 -0.4 -5.7 -20.0 -7.0 -15.8 EURIBOR-ICE 11.8 -1.0 -16.3 0.4 -4.2 -0.5 -2.5 -1.4 -0.0 -5.5 -4.5 0.5 -0.3 1.2 -4.2 -5.5 -4.9 -5.7 -5.0 -2.1 -3.0 -3.7 -1.8 -0.8 11.7 -1.1 -4.0 -1.4 -2.2 -0.6 -0.5 -2.3 0.5 -0.5 -4.8 -3.7 -20.0 -20.0 -5.4 5.0 EUROSTX -16.5 -19.9 -16.8 5.3 3.1 7.4 3.5 8.5 4.3 -3.1 15.0 -7.6 17.1 -8.0 -3.7 -5.9 -2.3 -6.1 -4.1 -1.5 10.5 -5.5 19.1 -7.5 -2.3 0.0 -0.6 7.8 -3.0 12.5 -4.0 5.9 -8.1 -20.0 -20.0 1.1 -8.5 3.7 -17.8 4.5 FEEDCOW 4.0 6.9 -6.0 -5.0 -2.9 -1.8 -5.8 -1.0 -7.1 -3.5 6.4 6.0 -3.0 3.8 1.2 -9.1 -20.0 -19.2 -20.0 2.3 -0.5 -1.9 -0.1 2.2 -7.5 -0.9 -1.3 -1.1 -1.2 1.8 -0.4 -20.0 -4.9 20.0 15.6 -9.3 6.8 20.0 15.9 20.0 GASOIL 20.0 -2.5 -9.2 1.3 8.6 0.8 8.5 2.6 5.4 19.0 3.2 20.0 13.4 19.1 -2.3 -0.4 12.9 1.2 6.7 4.1 0.8 20.0 8.4 16.5 6.3 1.2 11.8 -0.3 10.3 2.6 6.8 0.1 4.5 5.5 3.6 -9.5 -19.8 -12.9 -20.0 -20.0 GASOLINE 16.3 -8.2 -5.6 1.3 8.5 0.8 8.4 2.6 5.3 20.0 8.2 20.0 14.3 15.7 -1.9 20.0 20.0 20.0 20.0 3.2 3.8 20.0 10.9 13.7 -20.0 -1.0 8.4 -0.3 8.2 3.8 3.9 19.1 3.2 -0.8 -12.7 -4.4 20.0 20.0 20.0 20.0 GAS_US_mini -9.2 17.7 20.0 0.7 4.9 0.5 4.9 1.5 3.1 -12.4 -7.6 -11.6 -11.1 -4.9 1.0 -6.3 -20.0 -20.0 -20.0 1.0 -2.0 -15.3 -12.6 -6.0 20.0 1.4 -7.7 -0.5 -5.2 -3.9 -1.0 -20.0 -20.0 -19.4 12.7 0.6 -1.6 -6.5 -7.3 -13.3 GBP -9.0 6.4 -1.4 -4.7 -9.0 -2.5 -11.4 0.4 -8.4 2.2 11.4 -16.2 5.0 3.1 8.9 -1.0 -0.8 -1.0 -0.9 2.5 4.4 -6.0 4.8 -3.5 1.3 2.3 1.4 4.7 -4.2 4.6 -2.5 3.2 14.0 5.9 15.0 12.2 -1.7 -20.0 -2.8 -10.9 GOLD_micro -7.5 -16.0 6.6 -2.0 0.1 -0.3 -1.8 0.4 -2.9 -1.0 6.7 -4.0 8.0 -7.1 2.9 -10.7 -13.6 -11.7 -12.7 1.5 7.9 -1.3 9.9 -2.3 -3.1 -0.5 -0.1 3.1 -1.4 4.6 -2.4 -13.4 -3.2 4.4 0.8 15.6 2.3 -8.4 9.6 -1.8 HEATOIL 20.0 -0.3 -9.0 1.3 8.7 0.8 8.6 2.7 5.5 20.0 -3.3 20.0 6.9 20.0 -2.1 -6.0 11.3 -3.9 3.1 3.5 -2.4 20.0 3.0 17.8 -20.0 -1.6 10.2 -2.7 9.0 0.9 4.6 -4.3 6.3 12.0 -8.7 -20.0 2.6 7.0 -5.0 2.1 JGB-SGX-mini 9.2 -2.5 -18.4 0.4 -4.5 -0.5 -2.7 -1.5 -0.0 -8.5 -4.4 -6.7 -0.8 -3.8 -5.6 20.0 18.4 20.0 18.8 -5.3 -5.2 -12.6 -2.7 -6.4 -8.6 -2.1 -6.0 -2.4 -4.4 -1.8 -2.2 20.0 -14.7 -2.2 -12.3 -8.6 -8.6 -4.6 1.0 16.4 JPY -13.9 -12.9 -10.9 -2.7 -5.1 -1.4 -6.5 0.2 -4.8 -13.2 -15.4 -14.7 -15.4 -15.1 -15.3 -15.4 -16.2 -15.5 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -5.6 -4.7 -5.9 -5.9 -6.3 -5.7 -20.0 -16.2 -14.8 -19.9 -20.0 -20.0 -11.5 -19.2 -11.1 LEANHOG -9.9 -20.0 -12.0 -4.0 -2.3 -1.4 -4.7 -0.8 -5.8 -10.9 -9.9 -14.8 -6.9 -17.3 -17.6 20.0 -20.0 20.0 -10.7 -20.0 -18.9 -17.7 -10.2 -20.0 5.1 -5.9 -1.6 -3.2 -2.5 -1.4 -5.0 -20.0 -10.2 -11.8 -20.0 -20.0 -12.6 -9.7 -7.1 4.6 LIVECOW 18.1 18.8 2.8 -5.0 -2.9 -1.8 -5.9 -1.0 -7.2 12.8 15.3 19.0 4.8 20.0 17.4 18.5 11.6 20.0 18.9 20.0 13.8 20.0 7.8 20.0 -9.5 7.5 3.6 5.1 7.1 4.3 8.9 20.0 20.0 20.0 20.0 19.5 5.3 20.0 11.4 20.0 LUMBER-new -3.8 -7.8 -20.0 -2.1 -1.2 -0.7 -2.5 -0.3 -3.0 1.7 -7.9 -4.8 -7.7 -6.9 -8.8 -14.0 -17.4 -17.2 -17.7 -12.4 -10.3 -5.3 -6.6 -10.5 NaN -3.4 0.6 -3.1 -0.5 -1.9 -2.1 -20.0 -2.5 4.9 -8.2 -20.0 -5.7 -9.2 2.2 -5.5 MILK -12.7 13.8 20.0 -2.5 -1.4 -0.9 -2.9 -0.5 -3.5 -8.6 6.1 -8.5 -3.6 1.4 7.9 -20.0 -20.0 -20.0 -20.0 9.0 7.8 -5.0 -0.7 1.8 12.2 2.7 -1.9 2.3 -1.7 -0.4 0.4 -20.0 -9.4 6.5 20.0 20.0 -10.4 -20.0 -6.2 -20.0 MXP -13.8 -20.0 -20.0 -1.6 -3.1 -0.9 -3.9 0.1 -2.9 -2.5 -1.6 -2.5 4.2 -5.4 -5.2 9.6 15.8 12.7 14.3 -8.5 -3.9 -2.8 1.9 -7.6 -20.0 -2.3 0.0 -1.0 -0.8 0.6 -2.1 20.0 11.5 -10.1 -18.4 -4.4 16.8 15.8 20.0 20.0 NASDAQ_micro 17.9 20.0 -2.8 4.5 2.6 6.3 3.0 7.2 3.6 10.8 16.3 13.2 16.5 14.7 15.5 -12.1 -10.8 -11.6 -11.2 20.0 20.0 16.2 20.0 20.0 -20.0 5.7 3.2 5.1 4.0 5.6 5.6 -7.8 -1.8 20.0 20.0 9.3 -3.9 3.4 -8.6 2.8 NIKKEI 6.6 -1.9 -10.3 5.9 3.4 8.2 3.9 9.4 4.8 19.1 14.4 19.0 17.9 16.4 2.7 14.5 9.7 9.9 8.9 10.7 17.6 20.0 20.0 16.3 -20.0 4.9 17.3 8.9 13.2 15.6 7.7 20.0 20.0 4.4 -8.3 -12.2 0.3 -7.1 -10.4 -12.9 NZD -7.2 9.3 2.1 -3.6 -6.8 -1.9 -8.6 0.3 -6.3 -13.8 0.8 -16.4 -1.4 1.9 8.9 0.1 0.2 0.1 0.1 3.3 2.9 -9.5 -0.5 -3.0 0.5 1.7 -5.3 1.9 -6.0 0.5 -2.2 4.9 0.9 2.8 14.3 6.2 5.5 -5.2 7.7 2.1 OAT -6.2 -9.9 -12.2 0.5 -5.5 -0.7 -3.3 -1.8 -0.0 -7.7 -7.4 -9.0 -2.9 -8.9 -9.7 -2.2 4.6 1.2 2.9 -8.7 -6.9 -10.0 -5.0 -8.9 1.9 -3.6 -4.9 -2.2 -4.8 -1.1 -4.2 12.6 1.0 -15.8 -15.7 -3.5 -20.0 -18.3 -5.6 -3.0 OATIES -20.0 -20.0 5.5 -1.8 -1.0 -0.6 -2.1 -0.4 -2.6 -0.9 -5.1 -6.8 -6.5 -7.6 -6.1 -5.8 0.7 0.1 1.9 -10.6 -6.1 -8.6 -4.6 -13.7 -20.0 -1.8 -0.4 -0.7 -1.7 -0.5 -2.7 0.5 -2.7 -16.3 -5.8 -1.4 -0.8 -0.8 9.8 11.5 OJ -18.5 -0.1 -3.4 -3.1 -1.8 -1.1 -3.7 -0.6 -4.5 8.2 9.2 2.6 11.8 3.8 6.4 6.8 12.5 9.0 9.8 12.0 15.9 4.6 18.2 5.4 -20.0 3.0 2.5 4.5 0.3 6.4 0.7 17.5 11.7 3.4 20.0 20.0 7.4 9.3 20.0 20.0 PALLAD 8.1 -1.8 5.7 -1.7 0.0 -0.2 -1.6 0.4 -2.6 8.5 -6.4 6.8 -8.5 -1.2 -5.2 -1.6 -2.2 -2.1 -2.1 -2.3 -4.6 8.9 -8.8 2.3 14.4 -2.0 6.2 -2.3 3.3 -3.0 -0.0 5.6 20.0 14.5 1.3 -6.8 -20.0 -20.0 -20.0 -18.4 PLAT -8.4 -3.9 11.5 -2.2 0.1 -0.3 -2.0 0.5 -3.3 -1.8 1.9 1.2 -3.5 -5.2 -0.3 -4.9 -4.2 -5.0 -4.7 1.4 3.3 0.5 1.6 -0.6 7.8 -0.2 0.5 1.3 -0.2 1.3 -1.1 1.7 9.4 6.5 11.0 5.7 -20.0 -8.2 -3.5 3.6 REDWHEAT -20.0 -10.4 20.0 -3.1 -1.8 -1.1 -3.6 -0.6 -4.4 2.9 -2.3 -11.5 -9.4 -12.0 -6.0 -10.3 -3.6 -8.9 -6.1 -11.4 -3.1 -15.7 -6.9 -20.0 -6.0 -2.0 -0.1 -0.3 -2.8 -1.1 -4.2 -9.5 -1.3 -20.0 -3.9 12.7 -14.2 -20.0 -6.7 -17.1 RICE -11.1 4.3 9.9 -4.8 -2.8 -1.7 -5.6 -1.0 -6.8 -19.6 17.9 -15.5 17.9 -6.8 18.4 20.0 20.0 20.0 20.0 9.6 17.1 -17.1 19.1 -4.2 -13.8 3.3 -11.5 4.5 -6.6 4.2 -1.0 20.0 -20.0 18.9 20.0 8.7 -14.0 -6.9 -13.8 -3.9 ROBUSTA -6.7 7.2 0.9 -2.3 -1.4 -0.8 -2.7 -0.5 -3.3 -4.1 9.0 -5.3 9.6 5.9 7.3 20.0 20.0 20.0 20.0 11.9 17.5 0.0 19.5 5.2 -20.0 3.4 0.1 6.4 -0.1 8.2 1.0 20.0 7.7 12.5 17.0 20.0 2.8 -7.7 10.4 4.0 RUSSELL -6.3 -7.2 -4.4 4.9 2.8 6.8 3.2 7.8 3.9 -0.5 9.2 -3.8 11.1 -8.2 -3.4 -7.5 -6.8 -7.3 -7.0 -3.1 2.3 -1.2 6.1 -4.1 -1.4 -0.4 0.2 2.3 0.3 4.3 -0.9 -0.7 -3.6 -18.4 -17.9 -13.4 2.1 -20.0 0.9 -20.0 SHATZ 20.0 14.6 -1.7 0.3 -4.0 -0.5 -2.4 -1.3 -0.0 -6.8 -6.7 1.9 -7.4 2.8 -1.7 -20.0 -20.0 -20.0 -20.0 -0.2 -5.3 -1.7 -8.6 2.6 6.8 0.1 -3.1 -1.7 -0.5 -2.6 1.2 -20.0 1.7 7.9 -0.9 -3.6 -20.0 -15.6 -16.3 -12.1 SILVER-mini -11.3 -0.2 16.6 -1.7 0.0 -0.2 -1.5 0.3 -2.5 -2.9 5.7 -6.0 5.3 -1.0 3.8 -5.4 -6.5 -5.9 -6.3 3.8 7.5 -1.8 6.5 -1.2 2.0 0.1 0.2 2.5 -1.6 2.8 -2.0 -1.7 -5.0 -0.4 9.2 14.3 -3.4 -9.4 5.8 4.0 SMI -11.0 10.8 9.0 5.5 3.2 7.7 3.7 8.8 4.4 -10.1 17.8 -11.5 16.7 11.2 14.7 -3.9 1.6 -2.8 -0.5 18.2 20.0 -2.7 18.8 6.5 14.6 6.2 -1.1 8.6 -0.9 7.6 2.0 12.4 -12.9 -10.1 12.8 16.1 7.6 2.6 2.3 -0.0 SOFR 7.3 13.4 -3.0 0.5 -5.3 -0.7 -3.2 -1.8 -0.0 -7.6 -2.2 -1.5 -3.3 5.2 2.1 -2.7 -1.4 -2.9 -2.1 2.6 -0.8 -5.0 -3.6 1.7 -2.8 2.3 -3.5 1.0 -1.4 -0.1 1.6 3.1 3.7 3.0 10.0 4.3 4.3 -16.2 16.8 1.4 SOYBEAN -20.0 -14.4 0.5 -3.7 -2.1 -1.3 -4.3 -0.7 -5.3 -6.6 -12.7 -14.3 -8.1 -16.1 -12.6 -1.6 6.8 -0.5 1.9 -18.3 -12.6 -15.9 -10.7 -20.0 -20.0 -4.6 -0.4 -2.9 -3.8 -2.2 -5.7 5.9 -0.6 -4.0 -8.0 3.0 -20.0 -20.0 -15.1 -20.0 SOYMEAL -20.0 -9.6 10.4 -3.1 -1.8 -1.1 -3.6 -0.6 -4.4 -12.6 -10.4 -13.7 -9.7 -13.3 -8.4 16.1 7.2 8.0 5.3 -10.2 -6.9 -18.4 -7.5 -17.0 -20.0 -1.1 -6.4 -0.2 -5.8 -0.8 -4.2 8.5 -9.9 -1.1 1.2 13.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 4.2 2.4 -0.6 -2.8 -1.6 -1.0 -3.3 -0.6 -4.0 10.5 -10.6 5.0 -11.5 -1.7 -8.5 3.4 -0.1 -1.2 -2.3 -4.5 -8.2 10.5 -10.5 1.1 -20.0 -2.5 11.6 -3.4 5.4 -3.4 0.5 -4.2 20.0 18.1 6.0 -4.9 -13.9 -17.7 -0.9 -1.4 SP400 -7.8 -13.8 -6.4 5.0 2.9 6.9 3.3 7.9 4.0 -12.0 10.6 -9.5 12.7 -11.6 -5.0 -5.7 -6.0 -6.5 -6.2 -3.4 6.1 -7.5 12.8 -7.4 -13.4 -0.2 -3.7 4.0 -2.8 6.9 -2.2 0.7 -14.7 -20.0 -18.9 -7.3 3.3 -9.1 3.4 -20.0 SP500_micro 15.5 18.8 2.5 6.5 3.7 9.0 4.3 10.3 5.2 12.6 20.0 18.9 20.0 20.0 20.0 -14.8 -12.5 -13.8 -13.2 20.0 20.0 16.5 20.0 20.0 -20.0 8.5 2.8 9.1 4.7 10.1 7.6 -10.9 -7.0 20.0 20.0 15.0 5.6 0.6 0.3 0.1 SUGAR11 20.0 11.4 -17.3 -3.7 -2.2 -1.3 -4.4 -0.8 -5.3 15.3 -13.8 16.1 -9.1 12.4 -6.8 -2.7 10.6 0.9 5.4 -0.5 -12.6 20.0 -10.8 14.6 -20.0 -0.7 8.0 -4.9 7.7 -4.0 4.9 12.8 20.0 20.0 12.0 -16.7 8.8 20.0 16.4 20.0 US10 6.3 11.9 1.0 0.4 -4.5 -0.6 -2.7 -1.5 -0.0 -6.8 -2.7 -2.5 -5.0 3.7 0.4 -7.3 -7.4 -6.9 -7.1 1.1 -1.6 -4.8 -5.1 0.4 2.4 1.8 -3.4 0.7 -1.6 -0.7 1.1 -6.5 2.2 1.2 6.5 3.2 0.6 -18.5 10.6 2.1 US10U 5.4 12.6 2.5 0.5 -6.1 -0.8 -3.6 -2.0 -0.0 -9.5 -3.8 -5.0 -6.4 4.1 0.7 -5.1 -2.6 -4.9 -3.9 1.3 -2.1 -7.8 -6.8 -0.2 0.3 2.4 -5.5 1.0 -2.7 -0.8 1.2 0.5 1.2 0.8 8.7 5.0 1.0 -15.2 19.2 9.9 US2 9.1 10.0 -5.8 0.4 -4.7 -0.6 -2.8 -1.6 -0.0 -6.5 -7.4 -0.1 -9.0 3.8 -4.2 -20.0 -20.0 -20.0 -20.0 -2.1 -7.1 -2.1 -11.9 0.2 13.5 -0.2 -1.4 -2.0 -0.7 -3.4 0.6 -20.0 8.0 1.2 0.3 -4.4 -2.8 -20.0 1.3 -14.0 US20 3.6 11.8 3.0 0.4 -4.3 -0.5 -2.6 -1.4 -0.0 -7.3 -0.7 -4.1 -2.5 2.4 1.7 -1.1 -0.8 -0.8 -0.7 1.4 -0.3 -6.9 -3.3 -0.5 -1.0 2.0 -4.2 1.4 -2.1 0.1 0.9 4.8 -1.8 0.7 8.5 6.2 -1.3 -10.4 20.0 15.9 US30 3.7 11.6 3.9 0.4 -5.0 -0.6 -3.0 -1.6 -0.0 -8.5 -1.9 -5.0 -4.0 2.1 1.1 -6.5 -5.3 -5.4 -5.3 1.2 -0.8 -8.1 -4.4 -1.0 -0.5 2.2 -5.2 1.4 -2.7 -0.1 0.9 -3.2 -2.4 0.6 8.4 6.2 -5.5 -10.2 11.1 17.1 US5 7.3 12.2 -1.5 0.4 -4.8 -0.6 -2.9 -1.6 -0.0 -6.9 -5.0 -1.6 -7.3 4.3 -1.0 -10.6 -10.2 -10.1 -10.0 0.5 -3.1 -4.0 -6.9 0.7 5.8 1.4 -2.9 0.0 -1.3 -1.3 1.1 -11.4 4.6 1.5 5.5 1.0 0.9 -20.0 7.9 -5.7 VIX 6.1 -3.9 1.1 -8.2 -9.8 -9.5 -7.8 -11.4 -6.9 -20.0 -20.0 -18.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.0 -20.0 -12.7 NaN -9.6 -9.6 -11.0 -7.8 -13.3 -7.9 NaN NaN NaN NaN NaN -16.2 -20.0 NaN NaN WHEAT -20.0 -13.3 20.0 -2.5 -1.4 -0.9 -2.9 -0.5 -3.5 4.3 -0.7 -7.9 -6.4 -8.9 -4.4 -15.1 -14.2 -15.9 -15.4 -9.2 -2.0 -11.1 -4.2 -17.1 0.7 -1.4 0.7 0.1 -1.8 -0.4 -3.1 -20.0 -0.7 -19.8 -0.6 12.2 -13.1 -20.0 -9.9 -20.0 End of report for caleb_strategy_v3