******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240715_203935 produced at 2024-07-15 21:38:36.769914 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.30 -0.39 0.0 999.00 -999.00 -0.30 -0.30 -72.75 999999999.0 -56 -56 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -4.42 24.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.06 -0.09 0.0 0.44 -0.44 -0.06 -0.06 -3.16 16.0 -2 -2 caleb_strategy_v3 CHF False False 0.04 -0.04 -0.09 0.0 0.56 -0.56 -0.04 -0.09 -2.20 13.0 -1 -2 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 -0.07 0.0 0.81 -0.81 -0.65 -0.65 -0.83 10.0 -8 -8 caleb_strategy_v3 JPY False False 0.02 -0.15 -0.07 0.0 0.41 -0.41 -0.15 -0.12 -2.77 17.0 -6 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -29.20 59.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.06 0.0 0.73 -0.73 0.00 0.00 -1.53 19.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.08 -0.06 0.0 0.11 -0.11 -0.08 -0.08 -7.54 13.0 -9 -9 caleb_strategy_v3 CAD False False 0.02 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -2.12 29.0 0 0 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.05 0.0 0.41 -0.41 -0.04 -0.04 -1.14 10.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.05 0.0 0.07 -0.07 -0.06 -0.06 -8.00 12.0 -9 -9 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.50 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.04 0.0 0.14 -0.14 -0.01 -0.01 -16.28 51.0 -2 -2 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.03 0.0 0.00 -0.02 -0.02 -0.02 -16.23 26.0 -11 -11 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.03 0.0 0.31 -0.31 0.00 0.00 -0.71 8.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.03 0.0 0.12 -0.12 -0.07 -0.07 -2.56 11.0 -6 -6 caleb_strategy_v3 BTP False False 0.04 -0.08 -0.03 0.0 0.39 -0.39 -0.08 -0.08 -0.73 10.0 -2 -2 caleb_strategy_v3 US2 False True 0.06 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.43 13.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.03 0.0 0.10 -0.10 -0.06 -0.06 -0.98 3.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -1.79 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 -3.90 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.11 -0.11 -0.06 -0.06 -1.47 7.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.88 9.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.00 -0.01 -0.02 0.0 0.00 -0.01 -0.01 -0.01 -4.36 3.0 -2 -2 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.44 -0.44 0.00 0.00 -0.38 10.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.48 5.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -0.63 10.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.77 9.0 -3 -3 caleb_strategy_v3 BUXL False False 0.04 -0.09 -0.01 0.0 0.17 -0.17 -0.09 -0.09 -0.29 4.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.01 0.0 0.33 -0.33 -0.05 -0.05 -0.45 20.0 -3 -3 caleb_strategy_v3 DX False False 0.03 0.16 -0.01 0.0 999.00 -999.00 0.16 0.09 -0.36 999999999.0 5 3 caleb_strategy_v3 DOW False False 0.01 0.00 0.00 0.0 0.41 -0.41 0.00 0.00 0.37 66.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.04 0.00 0.0 0.23 -0.23 0.04 0.04 0.03 6.0 1 1 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.01 4.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.59 -0.59 0.00 0.00 0.16 26.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.00 0.0 0.39 -0.39 0.02 0.02 0.25 21.0 1 1 caleb_strategy_v3 US5 False False 0.03 0.03 0.00 0.0 0.82 -0.82 0.03 0.03 0.15 25.0 1 1 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.02 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.27 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.00 0.0 0.12 -0.12 0.02 0.02 0.08 18.0 3 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.00 0.0 0.04 -0.04 0.00 0.00 0.48 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.03 0.01 0.0 0.16 -0.16 0.03 0.03 0.23 6.0 1 1 caleb_strategy_v3 US10U False False 0.03 0.10 0.01 0.0 0.45 -0.45 0.10 0.10 0.29 13.0 3 3 caleb_strategy_v3 RUSSELL False False 0.00 -0.09 0.01 0.0 0.23 -0.23 -0.09 -0.05 2.46 68.0 -28 -15 caleb_strategy_v3 US10 False False 0.03 0.00 0.01 0.0 0.57 -0.57 0.00 0.00 0.18 17.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.26 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.10 0.01 0.0 0.29 -0.29 0.10 0.09 0.95 23.0 8 7 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.31 -0.31 0.00 0.00 0.72 23.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.06 -0.06 0.02 0.02 0.82 3.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.13 0.02 0.0 0.36 -0.36 0.13 0.14 2.88 58.0 21 22 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.72 999999999.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 0.02 0.0 0.41 -0.41 -0.01 -0.01 2.78 56.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 0.07 0.03 0.0 999.00 -999.00 0.07 0.07 0.82 999999999.0 2 2 caleb_strategy_v3 EUR False False 0.04 0.00 0.04 0.0 0.58 -0.58 0.00 0.00 0.96 14.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.03 0.04 0.0 0.51 -0.51 0.03 0.03 4.32 60.0 3 3 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.04 0.0 999.00 -999.00 0.12 0.12 1.49 999999999.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.05 0.0 0.41 -0.41 0.09 0.06 6.33 48.0 10 7 caleb_strategy_v3 AUD False False 0.02 0.23 0.08 0.0 0.39 -0.39 0.23 0.21 3.91 19.0 11 10 caleb_strategy_v3 GBP False False 0.02 0.02 0.10 0.0 0.54 -0.54 0.02 0.02 4.00 22.0 1 1 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.11 0.0 0.38 -0.38 0.18 0.18 4.89 17.0 8 8 caleb_strategy_v3 SMI False True 0.04 0.00 0.12 0.0 0.00 0.00 0.00 0.00 2.83 9.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.16 0.0 0.28 -0.28 0.25 0.24 20.50 36.0 32 30 caleb_strategy_v3 CRUDE_W False False 0.02 0.12 0.17 0.0 0.12 -0.12 0.12 0.12 7.07 5.0 5 5 caleb_strategy_v3 SOFR False True 0.07 0.00 0.57 0.0 0.00 0.00 0.00 0.00 7.73 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.1 Shocked risk 58.8 Sum abs risk 45.1 Leverage 3.27 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3293199.5, 'annual_cash_vol_target': 823299.875, 'daily_cash_vol_target': 51456.2421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6775 0.5032 8.0518 BITCOIN 1858.8935 64520.0000 2.8811 46.0978 BOBL 0.2610 116.5000 0.2240 3.5840 BTP 0.5695 118.0700 0.4823 7.7172 BUND 0.5408 131.9000 0.4100 6.5604 BUXL 1.3131 130.7200 1.0045 16.0726 CAC 69.9255 7655.5000 0.9134 14.6144 CAD 0.0025 0.7326 0.3351 5.3614 CANOLA 7.9059 614.9000 1.2857 20.5716 CHF 0.0045 1.1249 0.3975 6.3597 COCOA 278.9015 7441.0000 3.7482 59.9708 COFFEE 4.9053 239.7500 2.0460 32.7358 COPPER 0.0619 4.5150 1.3718 21.9492 CORN 6.2579 403.5000 1.5509 24.8145 COTTON2 1.0429 72.4000 1.4405 23.0481 CRUDE_W 0.8845 78.1800 1.1313 18.1008 DAX 145.8903 18719.0000 0.7794 12.4699 DOW 210.6330 40571.0000 0.5192 8.3067 DX 0.3436 103.9000 0.3307 5.2909 EUR 0.0041 1.0930 0.3777 6.0430 EURIBOR-ICE 0.0497 97.5400 0.0510 0.8156 EUROSTX 45.8168 5009.0000 0.9147 14.6350 FEEDCOW 1.7972 258.3500 0.6956 11.1301 GASOIL 10.4070 774.5000 1.3437 21.4993 GASOLINE 0.0305 2.2790 1.3398 21.4363 GAS_US_mini 0.0937 2.1900 4.2764 68.4217 GBP 0.0056 1.2976 0.4286 6.8572 GOLD_micro 20.4126 2427.3000 0.8410 13.4553 HEATOIL 0.0329 2.5404 1.2939 20.7018 JGB-SGX-mini 0.2380 143.1100 0.1663 2.6614 JPY 0.0000 0.0064 0.6395 10.2318 LEANHOG 1.2241 69.7500 1.7550 28.0805 LIVECOW 1.1891 183.9000 0.6466 10.3457 LUMBER-new 9.8269 462.5000 2.1247 33.9957 MILK 0.2773 20.2800 1.3674 21.8779 MXP 0.0005 0.0557 0.9192 14.7071 NASDAQ_micro 153.8833 20606.7500 0.7468 11.9482 NIKKEI 377.2795 41150.0000 0.9168 14.6694 NZD 0.0034 0.6080 0.5668 9.0681 OAT 0.5297 124.7800 0.4245 6.7924 OATIES 6.6230 313.5000 2.1126 33.8018 OJ 8.7712 450.5000 1.9470 31.1518 PALLAD 23.7861 950.0000 2.5038 40.0607 PLAT 15.7894 1011.5000 1.5610 24.9758 REDWHEAT 11.5684 571.5000 2.0242 32.3876 RICE 0.1334 14.9900 0.8902 14.2440 ROBUSTA 79.3460 4407.0000 1.8005 28.8073 RUSSELL 23.6143 2212.3000 1.0674 17.0786 SHATZ 0.0864 105.7050 0.0817 1.3079 SILVER-mini 0.5470 31.6375 1.7288 27.6609 SMI 78.0452 12314.0000 0.6338 10.1407 SOFR 0.0642 96.5100 0.0665 1.0641 SOYBEAN 12.2953 1038.7500 1.1837 18.9386 SOYMEAL 4.3267 307.6000 1.4066 22.5057 SOYOIL 0.8059 44.8200 1.7981 28.7702 SP400 25.4578 3073.3000 0.8284 13.2537 SP500_micro 27.5111 5691.2500 0.4834 7.7343 SUGAR11 0.3052 20.1400 1.5152 24.2433 US10 0.3880 110.9531 0.3497 5.5955 US10U 0.5431 114.4688 0.4745 7.5914 US2 0.0941 102.5859 0.0917 1.4680 US20 0.8382 119.0938 0.7038 11.2613 US30 1.2675 126.0938 1.0052 16.0833 US5 0.2462 107.4375 0.2292 3.6667 VIX 0.3492 17.5000 1.9952 31.9239 WHEAT 11.4221 555.5000 2.0562 32.8988 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.50 0.50 340.94 1.00 340.94 51456.24 150.92 9.98 150.66 BITCOIN 64.52 2.88 185.89 1.00 185.89 51456.24 276.81 -9.74 -269.65 BOBL 1165.00 0.22 260.96 1.09 283.61 51456.24 181.43 -8.31 -150.77 BTP 1180.70 0.48 569.48 1.09 618.91 51456.24 83.14 -2.58 -21.45 BUND 1319.00 0.41 540.83 1.09 587.77 51456.24 87.54 -4.28 -37.45 BUXL 1307.20 1.00 1313.13 1.09 1427.11 51456.24 36.06 -7.80 -28.12 CAC 765.55 0.91 699.25 1.09 759.95 51456.24 67.71 -6.51 -44.11 CAD 732.55 0.34 245.47 1.00 245.47 51456.24 209.62 -3.90 -81.75 CANOLA 122.98 1.29 158.12 0.73 116.06 51456.24 443.35 -15.09 -669.11 CHF 1406.12 0.40 558.91 1.00 558.91 51456.24 92.07 -9.19 -84.62 COCOA 744.10 3.75 2789.02 1.00 2789.02 51456.24 18.45 3.96 7.30 COFFEE 899.06 2.05 1839.47 1.00 1839.47 51456.24 27.97 6.93 19.39 COPPER 1128.75 1.37 1548.44 1.00 1548.44 51456.24 33.23 2.28 7.58 CORN 201.75 1.55 312.89 1.00 312.89 51456.24 164.45 -20.00 -328.90 COTTON2 362.00 1.44 521.46 1.00 521.46 51456.24 98.68 -12.11 -119.54 CRUDE_W 781.80 1.13 884.45 1.00 884.45 51456.24 58.18 11.22 65.28 DAX 187.19 0.78 145.89 1.09 158.55 51456.24 324.54 2.60 84.30 DOW 202.86 0.52 105.32 1.00 105.32 51456.24 488.59 0.32 15.75 DX 1039.00 0.33 343.58 1.00 343.58 51456.24 149.77 -0.92 -13.77 EUR 1366.25 0.38 516.02 1.00 516.02 51456.24 99.72 3.72 37.12 EURIBOR-ICE 2438.50 0.05 124.30 1.09 135.08 51456.24 380.92 -0.64 -24.20 EUROSTX 500.90 0.91 458.17 1.09 497.94 51456.24 103.34 -1.28 -13.25 FEEDCOW 1291.75 0.70 898.58 1.00 898.58 51456.24 57.26 -3.72 -21.32 GASOIL 774.50 1.34 1040.70 1.00 1040.70 51456.24 49.44 0.07 0.35 GASOLINE 957.18 1.34 1282.40 1.00 1282.40 51456.24 40.12 8.58 34.45 GAS_US_mini 54.75 4.28 234.13 1.00 234.13 51456.24 219.78 -6.82 -149.92 GBP 811.00 0.43 347.58 1.00 347.58 51456.24 148.04 10.42 154.24 GOLD_micro 242.73 0.84 204.13 1.00 204.13 51456.24 252.08 3.24 81.59 HEATOIL 1066.97 1.29 1380.51 1.00 1380.51 51456.24 37.27 -6.04 -22.50 JGB-SGX-mini 143110.00 0.17 23804.19 0.01 149.58 51456.24 344.00 -0.85 -29.20 JPY 799.31 0.64 511.15 1.00 511.15 51456.24 100.67 -10.62 -106.88 LEANHOG 279.00 1.76 489.65 1.00 489.65 51456.24 105.09 -11.81 -124.10 LIVECOW 735.60 0.65 475.64 1.00 475.64 51456.24 108.18 13.65 147.66 LUMBER-new 127.19 2.12 270.24 1.00 270.24 51456.24 190.41 -10.70 -203.71 MILK 405.60 1.37 554.60 1.00 554.60 51456.24 92.78 -2.39 -22.18 MXP 278.50 0.92 256.00 1.00 256.00 51456.24 201.00 1.47 29.47 NASDAQ_micro 412.14 0.75 307.77 1.00 307.77 51456.24 167.19 2.45 41.02 NIKKEI 41150.00 0.92 37727.95 0.01 237.07 51456.24 217.05 8.72 189.35 NZD 607.95 0.57 344.56 1.00 344.56 51456.24 149.34 0.64 9.50 OAT 1247.80 0.42 529.72 1.09 575.70 51456.24 89.38 -3.73 -33.37 OATIES 156.75 2.11 331.15 1.00 331.15 51456.24 155.39 -10.30 -160.11 OJ 675.75 1.95 1315.68 1.00 1315.68 51456.24 39.11 9.76 38.16 PALLAD 950.00 2.50 2378.61 1.00 2378.61 51456.24 21.63 0.30 0.64 PLAT 505.75 1.56 789.47 1.00 789.47 51456.24 65.18 1.20 7.85 REDWHEAT 285.75 2.02 578.42 1.00 578.42 51456.24 88.96 -15.20 -135.18 RICE 299.80 0.89 266.90 1.00 266.90 51456.24 192.79 1.02 19.59 ROBUSTA 440.70 1.80 793.46 1.00 793.46 51456.24 64.85 9.56 61.97 RUSSELL 110.62 1.07 118.07 1.00 118.07 51456.24 435.81 1.71 74.33 SHATZ 1057.05 0.08 86.41 1.09 93.91 51456.24 547.96 -7.95 -435.88 SILVER-mini 790.94 1.73 1367.38 1.00 1367.38 51456.24 37.63 5.61 21.12 SMI 1231.40 0.63 780.45 1.12 871.18 51456.24 59.07 14.05 82.99 SOFR 2412.75 0.07 160.47 1.00 160.47 51456.24 320.66 3.97 127.18 SOYBEAN 519.38 1.18 614.77 1.00 614.77 51456.24 83.70 -18.92 -158.38 SOYMEAL 307.60 1.41 432.67 1.00 432.67 51456.24 118.93 -17.03 -202.56 SOYOIL 268.92 1.80 483.55 1.00 483.55 51456.24 106.41 -6.33 -67.41 SP400 3073.30 0.83 2545.78 1.00 2545.78 51456.24 20.21 -2.23 -4.50 SP500_micro 284.56 0.48 137.56 1.00 137.56 51456.24 374.08 7.29 272.52 SUGAR11 225.57 1.52 341.78 1.00 341.78 51456.24 150.55 0.24 3.57 US10 1109.53 0.35 388.03 1.00 388.03 51456.24 132.61 1.06 14.04 US10U 1144.69 0.47 543.11 1.00 543.11 51456.24 94.74 2.40 22.72 US2 2051.72 0.09 188.24 1.00 188.24 51456.24 273.35 -1.25 -34.25 US20 1190.94 0.70 838.22 1.00 838.22 51456.24 61.39 3.31 20.29 US30 1260.94 1.01 1267.50 1.00 1267.50 51456.24 40.60 0.66 2.69 US5 1074.38 0.23 246.21 1.00 246.21 51456.24 208.99 0.56 11.69 VIX 175.00 2.00 349.17 1.00 349.17 51456.24 147.37 -20.00 -294.74 WHEAT 277.75 2.06 571.10 1.00 571.10 51456.24 90.10 -14.81 -133.48 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 150.661 0.010 2.5 3.909 BITCOIN -269.654 0.043 2.5 -29.200 BOBL -150.772 0.004 2.5 -1.529 BTP -21.449 0.014 2.5 -0.732 BUND -37.452 0.004 2.5 -0.380 BUXL -28.122 0.004 2.5 -0.285 CAC -44.110 0.014 2.5 -1.505 CAD -81.751 0.010 2.5 -2.121 CANOLA -669.110 0.010 2.5 -16.278 CHF -84.619 0.010 2.5 -2.196 COCOA 7.304 0.009 2.5 0.156 COFFEE 19.388 0.005 2.5 0.226 COPPER 7.579 0.043 2.5 0.821 CORN -328.904 0.010 2.5 -8.002 COTTON2 -119.542 0.009 2.5 -2.560 CRUDE_W 65.279 0.043 2.5 7.069 DAX 84.302 0.014 2.5 2.875 DOW 15.754 0.009 2.5 0.366 DX -13.768 0.010 2.5 -0.357 EUR 37.121 0.010 2.5 0.963 EURIBOR-ICE -24.199 0.014 2.5 -0.825 EUROSTX -13.249 0.014 2.5 -0.452 FEEDCOW -21.325 0.013 2.5 -0.707 GASOIL 0.346 0.017 2.5 0.015 GASOLINE 34.446 0.017 2.5 1.493 GAS_US_mini -149.918 0.043 2.5 -16.234 GBP 154.237 0.010 2.5 4.002 GOLD_micro 81.588 0.014 2.5 2.783 HEATOIL -22.504 0.017 2.5 -0.976 JGB-SGX-mini -29.197 0.043 2.5 -3.162 JPY -106.881 0.010 2.5 -2.773 LEANHOG -124.102 0.024 2.5 -7.542 LIVECOW 147.661 0.013 2.5 4.893 LUMBER-new -203.707 0.009 2.5 -4.361 MILK -22.182 0.009 2.5 -0.475 MXP 29.467 0.059 2.5 4.325 NASDAQ_micro 41.024 0.009 2.5 0.953 NIKKEI 189.345 0.043 2.5 20.504 NZD 9.505 0.010 2.5 0.247 OAT -33.367 0.014 2.5 -1.138 OATIES -160.107 0.010 2.5 -3.895 OJ 38.161 0.009 2.5 0.817 PALLAD 0.639 0.014 2.5 0.022 PLAT 7.845 0.014 2.5 0.268 REDWHEAT -135.181 0.005 2.5 -1.793 RICE 19.592 0.010 2.5 0.477 ROBUSTA 61.966 0.005 2.5 0.724 RUSSELL 74.335 0.013 2.5 2.463 SHATZ -435.883 0.004 2.5 -4.420 SILVER-mini 21.124 0.014 2.5 0.720 SMI 82.988 0.014 2.5 2.831 SOFR 127.183 0.024 2.5 7.729 SOYBEAN -158.376 0.004 2.5 -1.473 SOYMEAL -202.557 0.004 2.5 -1.884 SOYOIL -67.406 0.004 2.5 -0.627 SP400 -4.498 0.013 2.5 -0.149 SP500_micro 272.516 0.009 2.5 6.333 SUGAR11 3.574 0.009 2.5 0.076 US10 14.038 0.005 2.5 0.178 US10U 22.720 0.005 2.5 0.288 US2 -34.250 0.005 2.5 -0.434 US20 20.289 0.005 2.5 0.257 US30 2.691 0.005 2.5 0.034 US5 11.692 0.005 2.5 0.148 VIX -294.737 0.099 2.5 -72.753 WHEAT -133.482 0.005 2.5 -1.771 ===================== Position diags ===================== AUD 3.92 BITCOIN 29.97 BOBL 1.84 BTP 2.84 BUND 0.89 BUXL 0.37 CAC 2.31 CAD 5.44 CANOLA 10.79 CHF 2.39 COCOA 0.40 COFFEE 0.33 COPPER 3.60 CORN 4.00 COTTON2 2.11 CRUDE_W 6.30 DAX 11.07 DOW 11.35 DX 3.89 EUR 2.59 EURIBOR-ICE 12.99 EUROSTX 3.52 FEEDCOW 1.90 GASOIL 2.14 GASOLINE 1.74 GAS_US_mini 23.80 GBP 3.84 GOLD_micro 8.60 HEATOIL 1.62 JGB-SGX-mini 37.25 JPY 2.61 LEANHOG 6.39 LIVECOW 3.58 LUMBER-new 4.08 MILK 1.99 MXP 29.50 NASDAQ_micro 3.89 NIKKEI 23.50 NZD 3.87 OAT 3.05 OATIES 3.78 OJ 0.84 PALLAD 0.74 PLAT 2.22 REDWHEAT 1.18 RICE 4.69 ROBUSTA 0.76 RUSSELL 14.44 SHATZ 5.56 SILVER-mini 1.28 SMI 2.01 SOFR 19.49 SOYBEAN 0.78 SOYMEAL 1.11 SOYOIL 0.99 SP400 0.67 SP500_micro 8.69 SUGAR11 3.20 US10 1.68 US10U 1.20 US2 3.46 US20 0.78 US30 0.51 US5 2.65 VIX 36.38 WHEAT 1.20 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 3.9 3.5 4.3 11.0 11 BITCOIN -29.2 -32.2 -26.2 0.0 0 BOBL -1.5 -1.7 -1.3 0.0 0 BTP -0.7 -1.0 -0.4 -2.0 -2 BUND -0.4 -0.5 -0.3 0.0 0 BUXL -0.3 -0.3 -0.2 -2.0 -2 CAC -1.5 -1.7 -1.3 0.0 0 CAD -2.1 -2.7 -1.6 0.0 0 CANOLA -16.3 -17.4 -15.2 -2.0 -2 CHF -2.2 -2.4 -2.0 -1.0 -1 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.2 0.2 0.3 1.0 1 COPPER 0.8 0.5 1.2 2.0 2 CORN -8.0 -8.4 -7.6 -9.0 -9 COTTON2 -2.6 -2.8 -2.3 -6.0 -6 CRUDE_W 7.1 6.4 7.7 5.0 5 DAX 2.9 1.8 4.0 21.0 21 DOW 0.4 -0.8 1.5 0.0 0 DX -0.4 -0.7 0.0 5.0 5 EUR 1.0 0.7 1.2 0.0 0 EURIBOR-ICE -0.8 -2.1 0.5 -8.0 -8 EUROSTX -0.5 -0.8 -0.1 -3.0 -3 FEEDCOW -0.7 -0.9 -0.5 0.0 0 GASOIL 0.0 -0.2 0.2 0.0 0 GASOLINE 1.5 1.3 1.7 4.0 4 GAS_US_mini -16.2 -18.6 -13.9 -11.0 -11 GBP 4.0 3.6 4.4 1.0 1 GOLD_micro 2.8 1.9 3.6 -1.0 -1 HEATOIL -1.0 -1.1 -0.8 -2.0 -2 JGB-SGX-mini -3.2 -6.9 0.6 -2.0 -2 JPY -2.8 -3.0 -2.5 -6.0 -6 LEANHOG -7.5 -8.2 -6.9 -9.0 -9 LIVECOW 4.9 4.5 5.3 8.0 8 LUMBER-new -4.4 -4.8 -4.0 -2.0 -2 MILK -0.5 -0.7 -0.3 NaN 0 MXP 4.3 1.4 7.3 3.0 3 NASDAQ_micro 1.0 0.6 1.3 8.0 8 NIKKEI 20.5 18.2 22.9 32.0 32 NZD 0.2 -0.1 0.6 1.0 1 OAT -1.1 -1.4 -0.8 -1.0 -1 OATIES -3.9 -4.3 -3.5 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD 0.0 -0.1 0.1 0.0 0 PLAT 0.3 0.0 0.5 0.0 0 REDWHEAT -1.8 -1.9 -1.7 -3.0 -3 RICE 0.5 0.0 0.9 NaN 0 ROBUSTA 0.7 0.6 0.8 0.0 0 RUSSELL 2.5 1.0 3.9 -28.0 -28 SHATZ -4.4 -5.0 -3.9 NaN 0 SILVER-mini 0.7 0.6 0.8 0.0 0 SMI 2.8 2.6 3.0 0.0 0 SOFR 7.7 5.8 9.7 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -4.0 -4 SOYMEAL -1.9 -2.0 -1.8 0.0 0 SOYOIL -0.6 -0.7 -0.5 -2.0 -2 SP400 -0.1 -0.2 -0.1 0.0 0 SP500_micro 6.3 5.5 7.2 10.0 10 SUGAR11 0.1 -0.2 0.4 3.0 3 US10 0.2 0.0 0.3 0.0 0 US10U 0.3 0.2 0.4 3.0 3 US2 -0.4 -0.8 -0.1 NaN 0 US20 0.3 0.2 0.3 0.0 0 US30 0.0 -0.0 0.1 1.0 1 US5 0.1 -0.1 0.4 1.0 1 VIX -72.8 -76.4 -69.1 -56.0 -56 WHEAT -1.8 -1.9 -1.7 -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 0.3 0.2 0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.2 -0.1 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.2 0.1 0.2 0.0 0.2 0.5 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.1 0.6 0.4 0.6 0.2 -0.2 0.2 -0.1 BITCOIN -0.6 -0.6 -0.3 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.1 0.2 -0.1 0.4 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.4 -0.2 -2.7 -0.0 0.1 0.1 -0.0 0.3 -0.1 -0.2 0.4 -0.5 0.4 -0.2 -0.6 -0.2 -0.1 -0.0 BOBL 0.0 0.3 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.2 0.0 -0.0 -0.4 -0.2 -0.4 -0.3 -0.0 -0.0 0.0 -0.2 0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.8 -0.2 -0.1 -0.1 -0.1 -0.7 -0.5 -0.3 -0.4 BTP 0.2 -0.1 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.1 0.2 0.3 0.1 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 0.6 0.3 0.3 -0.3 0.0 -0.6 -0.5 -0.1 0.1 BUND -0.0 0.2 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.2 -0.1 -0.2 0.0 -0.7 -0.7 -0.3 -0.4 BUXL -0.2 0.1 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -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 -0.2 -0.3 0.0 -0.7 -0.7 -0.5 -0.4 CAC -0.1 -0.6 -0.6 0.1 0.1 0.1 0.1 0.2 0.1 0.0 0.0 0.0 0.4 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 -0.1 -1.2 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.5 -0.5 -0.6 -0.6 -0.6 0.1 0.2 -0.0 0.3 CAD 0.2 0.1 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 -0.4 0.1 -0.6 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.0 -0.4 0.3 -0.0 -0.1 0.2 -0.2 -0.1 -0.2 CANOLA 0.0 -0.5 0.3 -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 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.4 -0.3 -0.3 -0.1 -0.1 -0.5 0.2 -0.1 CHF -0.2 0.5 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.5 -0.1 -0.6 -0.0 -0.1 -0.4 -0.3 -0.4 -0.3 -0.0 -0.1 0.0 -0.4 -0.0 0.8 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 -0.4 -0.5 0.3 -0.3 0.3 -0.4 -0.0 -0.4 COCOA -0.6 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.4 0.3 0.4 0.4 0.0 0.1 0.0 0.2 -0.0 -2.4 0.0 0.0 0.1 0.0 0.3 -0.0 1.1 0.3 -0.1 0.3 0.6 0.4 0.1 0.6 0.3 COFFEE 0.0 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.4 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 0.6 0.5 0.6 0.6 0.6 0.1 -0.4 0.4 -0.1 COPPER -0.0 -0.4 0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 0.0 0.2 0.0 -1.5 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 0.2 0.1 0.0 0.6 0.1 0.0 0.5 0.3 CORN -0.6 -0.6 0.2 -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 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.3 -0.2 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.4 -0.6 -0.6 -0.2 -0.7 -0.5 -0.7 -0.1 COTTON2 0.2 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.4 -0.1 -0.4 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.2 -0.2 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.1 0.4 0.1 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.3 0.1 -0.2 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.4 -0.0 0.6 0.2 0.2 0.3 0.3 0.3 0.3 0.1 0.1 -0.0 0.4 0.1 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.3 0.2 0.2 -0.2 -0.1 0.7 0.7 0.7 0.7 DAX 0.1 -0.6 -0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.3 0.1 0.6 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.4 0.0 1.5 0.0 0.1 0.2 0.1 0.4 0.0 -0.4 -0.5 -0.6 -0.6 -0.0 0.2 0.2 -0.2 0.3 DOW 0.4 0.0 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.4 0.2 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.5 0.2 -2.0 0.0 0.2 0.2 0.1 0.3 0.1 -0.5 -0.1 -0.4 -0.6 -0.4 0.4 -0.1 0.4 -0.2 DX -0.2 -0.1 0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.2 0.5 -0.2 0.6 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.6 0.1 0.6 -0.2 0.2 -0.2 0.4 EUR 0.3 0.0 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 -0.3 0.2 -0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.1 2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 0.3 0.6 -0.0 0.1 -0.0 -0.7 -0.1 -0.6 EURIBOR-ICE 0.2 0.2 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.0 1.6 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX 0.0 -0.6 -0.4 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.4 0.1 0.6 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.4 0.0 -0.3 0.0 0.0 0.2 0.0 0.5 0.0 0.3 -0.5 -0.6 -0.6 -0.2 -0.2 0.1 -0.5 0.1 FEEDCOW -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.4 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -1.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -1.1 0.1 0.1 0.5 -0.2 0.1 0.7 0.4 0.7 GASOIL 0.3 0.1 -0.4 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.1 -0.1 0.5 0.1 0.0 -0.0 0.2 0.0 0.1 0.0 0.0 -0.1 0.2 0.0 0.8 0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 0.3 0.2 0.3 -0.2 -0.7 -0.5 -0.7 -0.7 GASOLINE 0.4 -0.0 -0.3 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.3 0.0 0.6 0.2 0.0 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.3 0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.2 0.0 1.1 0.2 0.3 -0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.0 0.6 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.3 -0.2 2.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.1 -0.0 -0.6 -0.1 0.1 -0.1 -0.3 -0.3 -0.5 GBP 0.2 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.4 0.2 0.2 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.2 0.5 0.6 0.6 0.6 0.1 -0.7 0.0 -0.4 GOLD_micro 0.2 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.2 0.1 0.3 0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.1 0.3 0.1 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 -0.7 0.5 0.5 0.3 0.6 0.2 -0.2 0.4 -0.0 HEATOIL 0.3 0.2 -0.4 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.1 0.3 0.1 0.0 -0.1 0.2 -0.1 0.0 0.0 -0.0 -0.1 0.1 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 0.0 0.0 -0.2 -0.0 0.1 -0.2 -0.6 0.1 0.2 -0.2 0.1 JGB-SGX-mini -0.2 0.1 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.1 0.0 -0.1 -0.0 -1.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 -0.1 -0.3 -0.3 -0.4 -0.2 -0.1 0.1 0.6 JPY 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.4 0.0 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.1 -0.5 -0.1 2.7 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -1.1 0.1 -0.4 -0.5 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.2 0.4 -0.3 0.4 0.2 -0.2 -0.2 -0.2 -0.3 -0.2 0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.6 -0.5 -0.4 -0.6 -0.6 -0.3 -0.3 -0.1 0.1 LIVECOW 0.3 0.5 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.5 0.0 0.2 0.2 0.2 0.1 0.2 0.3 0.3 0.2 0.2 0.0 0.3 0.2 -1.5 0.1 -0.0 0.2 -0.0 0.2 0.0 1.1 -0.1 0.6 0.6 0.6 0.1 0.7 0.3 0.7 LUMBER-new -0.1 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 NaN -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.0 0.0 -0.2 -0.7 -0.1 -0.3 0.2 -0.1 MILK -0.5 0.2 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 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 1.8 0.0 -0.0 0.1 -0.0 -0.0 -0.0 -1.1 -0.1 -0.3 0.6 0.6 -0.3 -0.7 -0.1 -0.7 MXP 0.4 -0.6 -0.6 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.2 -0.0 -0.0 0.2 0.3 0.2 0.3 -0.1 -0.0 0.1 0.1 0.0 -2.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.1 0.1 0.4 -0.6 -0.3 0.5 0.5 0.7 0.7 NASDAQ_micro 0.1 0.6 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.0 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 -0.4 -0.4 -0.1 0.6 0.5 -0.1 0.2 -0.3 0.1 NIKKEI 0.6 0.1 -0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.5 0.2 0.7 0.2 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 1.1 0.1 0.6 0.5 -0.1 0.1 -0.2 -0.3 -0.4 NZD -0.2 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.3 -0.5 -0.4 0.1 0.3 0.3 -0.2 0.3 0.0 OAT 0.2 -0.1 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.6 0.0 0.0 -0.4 -0.2 -0.7 -0.6 -0.3 -0.1 OATIES -0.4 -0.6 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 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.3 -0.5 -0.1 0.1 -0.0 0.4 0.4 OJ -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.3 0.1 0.4 0.0 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.0 0.5 0.4 0.6 0.6 0.3 0.3 0.7 0.7 PALLAD 0.6 0.1 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 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.3 0.1 0.6 0.4 -0.1 -0.7 -0.7 -0.7 -0.6 PLAT 0.1 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.1 0.0 1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.4 0.2 0.3 -0.7 -0.3 -0.2 0.1 REDWHEAT -0.6 -0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.5 -0.6 -0.5 0.3 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.3 0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.4 -0.2 0.6 -0.2 0.1 0.4 0.4 0.4 0.4 -0.1 0.1 -0.2 0.5 -0.2 -1.8 0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 0.1 -0.0 0.5 0.5 -0.6 -0.3 -0.6 -0.2 ROBUSTA 0.1 0.2 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.1 0.2 0.0 1.1 0.5 0.6 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL 0.4 -0.1 -0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.3 0.1 0.4 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.1 0.1 -0.1 0.0 0.2 0.1 0.1 0.1 0.1 -0.0 0.5 0.1 -0.4 -0.3 0.1 -0.7 0.1 -0.7 SHATZ 0.1 0.6 -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 -0.2 -0.0 -0.0 -0.1 -0.7 -0.5 -0.5 -0.4 SILVER-mini 0.0 -0.2 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 0.3 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 0.4 0.3 0.4 0.5 -0.0 -0.3 0.2 0.1 SMI -0.2 0.1 0.4 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.5 0.1 0.7 0.1 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.2 0.5 0.2 2.1 0.1 0.1 0.3 0.1 0.3 0.1 0.6 -0.4 -0.6 0.0 0.5 0.2 0.1 -0.0 0.0 SOFR 0.2 0.6 0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.2 0.2 -0.5 0.7 0.1 SOYBEAN -0.4 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.5 -0.6 -0.5 -0.2 -0.5 -0.7 -0.3 -0.7 SOYMEAL -0.6 -0.6 0.2 -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 0.2 0.2 0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.6 -0.5 -0.6 -0.4 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.3 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 0.1 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 0.4 0.3 -0.1 -0.4 -0.5 -0.0 -0.1 SP400 0.1 -0.4 -0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.3 0.1 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.2 0.3 0.1 -1.7 0.0 0.2 0.1 0.1 0.2 0.1 0.0 0.3 -0.2 -0.6 -0.3 0.2 -0.3 0.1 -0.7 SP500_micro 0.3 0.6 0.5 0.1 0.1 0.2 0.1 0.3 0.1 0.2 0.5 0.2 0.7 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 0.3 0.1 -0.6 -0.1 0.0 0.6 0.6 0.3 0.1 -0.0 0.0 SUGAR11 0.6 0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.0 -0.3 0.1 -0.1 -0.1 0.2 -0.0 0.1 0.0 -0.1 -0.0 -0.3 0.0 -2.7 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.6 -0.1 0.6 0.6 -0.4 0.2 0.7 0.4 0.7 US10 0.1 0.5 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.0 0.1 0.1 0.1 -0.6 0.4 0.1 US10U 0.0 0.5 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.2 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 -0.1 0.1 0.1 0.1 -0.5 0.6 0.4 US2 0.4 0.6 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.3 0.1 2.0 0.0 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.1 0.2 0.0 -0.1 0.0 -0.7 0.1 -0.4 US20 -0.1 0.4 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.0 -0.0 -0.0 -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 -0.1 -0.1 0.1 0.2 0.1 -0.3 0.7 0.6 US30 -0.1 0.4 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 -0.2 -0.2 0.1 0.1 -0.0 -0.3 0.4 0.6 US5 0.2 0.6 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.1 -0.2 0.1 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 0.1 0.1 0.0 0.1 -0.7 0.3 -0.2 VIX -0.1 -0.1 -0.7 -0.2 -0.0 -0.4 -0.1 -0.7 -0.1 -0.2 -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 -0.3 NaN -0.2 -0.0 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.6 -0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -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 -0.5 -0.5 -0.4 0.3 -0.5 -0.7 -0.4 -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 9.1 7.1 7.3 -0.6 12.1 -1.5 9.9 0.4 3.5 16.0 3.6 20.0 -2.7 20.0 20.0 -2.3 -2.7 -2.4 -2.6 14.0 8.5 18.8 0.9 18.0 3.9 7.4 7.4 4.8 10.6 1.5 9.8 -0.0 4.0 20.0 12.3 20.0 5.7 -6.4 7.1 -1.6 BITCOIN -18.4 -20.0 -9.5 -4.8 -2.2 -1.8 -4.6 0.0 -6.0 8.3 6.0 -6.9 12.3 -14.5 -12.9 -6.5 -7.3 -7.2 -7.4 -11.2 3.2 -2.4 15.1 -14.9 -20.0 -3.9 8.8 2.9 -0.7 8.8 -5.6 -3.5 16.5 -15.2 13.8 -5.1 -18.0 -5.9 -3.3 -0.0 BOBL 0.3 8.9 -6.6 1.2 4.6 -0.1 3.5 -1.3 2.2 6.6 -6.8 0.7 -6.2 1.5 -2.4 -20.0 -11.4 -18.5 -13.4 -1.3 -3.9 2.9 -5.6 0.9 3.9 -0.4 3.5 -1.5 1.8 -2.1 0.6 -15.4 -7.6 -2.6 -4.3 -2.0 -20.0 -16.0 -9.6 -11.2 BTP 6.1 -4.5 -6.8 2.0 7.8 -0.2 6.0 -2.3 3.8 14.3 2.5 14.0 8.7 5.6 -4.1 0.7 4.4 1.5 2.8 0.4 0.8 15.9 4.1 7.1 -20.0 0.7 12.9 1.2 10.6 3.4 4.8 11.8 12.0 7.8 -10.6 0.2 -18.6 -14.6 -2.7 2.4 BUND -1.3 5.8 -4.8 1.2 4.8 -0.1 3.7 -1.4 2.3 6.7 -6.0 1.0 -3.2 0.9 -2.3 4.8 0.1 0.8 -0.8 -1.0 -2.5 2.9 -3.7 0.6 1.1 -0.2 3.6 -0.6 1.9 -0.9 0.5 4.5 -6.9 -3.3 -5.1 0.3 -20.0 -20.0 -8.7 -12.1 BUXL -4.7 2.0 -4.3 1.4 5.4 -0.1 4.2 -1.6 2.6 7.9 -6.6 -1.6 -2.8 -3.2 -5.2 -0.9 -2.8 -3.0 -3.5 -2.8 -3.3 1.3 -4.5 -1.4 -2.5 -1.1 2.7 -0.7 0.9 -0.7 -0.6 0.1 -9.1 -6.9 -8.3 0.6 -20.0 -20.0 -14.7 -10.7 CAC -2.8 -20.0 -20.0 5.5 8.6 5.4 8.4 5.5 6.9 4.7 1.8 2.2 10.1 -11.9 -11.4 -8.2 -0.7 -4.1 -1.2 -12.1 -3.3 -1.1 6.8 -10.0 -9.2 -4.0 0.9 -0.4 -0.6 3.1 -3.6 9.8 -20.0 -20.0 -20.0 -20.0 2.5 6.9 -1.5 9.8 CAD 7.5 2.7 -3.4 -0.7 13.1 -1.6 10.7 0.5 3.8 -10.3 -16.6 12.1 -15.7 10.3 -4.1 -4.3 -3.0 -3.9 -3.4 -0.4 -6.3 2.4 -9.6 4.5 -1.1 -0.0 -6.7 -4.2 1.6 -6.3 3.6 -0.8 -17.2 10.2 -1.3 -1.7 4.9 -6.8 -3.4 -4.5 CANOLA 0.1 -14.2 10.4 -2.2 -1.3 -1.2 -1.7 -0.7 -2.4 -7.9 -5.0 -3.0 -6.9 -4.7 -3.8 -17.1 -10.5 -15.8 -14.5 -5.3 -5.1 -7.6 -7.4 -6.0 -19.2 -2.7 -3.1 -2.1 -3.2 -2.6 -3.3 -20.0 -15.9 -8.6 -10.5 -1.9 -2.9 -14.3 6.3 -4.1 CHF -7.3 14.0 -6.5 -0.6 11.4 -1.4 9.3 0.4 3.3 14.8 -16.8 -8.8 -15.5 -2.1 -4.9 -18.0 -16.7 -17.5 -17.0 -4.2 -11.9 0.4 -14.1 -2.0 6.1 -1.3 2.9 -4.5 0.5 -5.2 -0.5 -20.0 -15.0 -14.0 8.3 -10.3 8.2 -13.0 -0.6 -12.4 COCOA -20.0 -3.4 -15.6 -1.6 -1.0 -0.9 -1.3 -0.5 -1.7 5.5 2.6 -1.1 4.0 -1.7 -1.6 18.4 15.7 18.6 19.0 0.2 5.0 2.1 8.1 -1.0 -17.9 1.1 1.2 4.4 0.7 7.2 -0.0 20.0 10.7 -3.4 8.1 18.3 12.9 4.2 16.8 8.6 COFFEE 0.8 2.1 3.1 -4.0 -2.3 -2.1 -3.1 -1.2 -4.2 8.3 13.0 9.9 12.0 12.8 12.9 3.6 7.0 5.0 6.6 15.3 15.4 15.9 13.0 15.9 -20.0 5.0 2.3 6.8 5.1 7.1 4.7 11.9 20.0 20.0 20.0 20.0 2.0 -10.8 11.4 -2.9 COPPER -0.8 -12.3 9.7 -2.4 -1.1 -0.9 -2.3 0.0 -3.0 -0.8 3.5 3.1 4.0 -5.2 0.1 1.2 -2.5 0.5 -1.1 2.1 6.8 2.0 7.7 1.1 -11.2 -0.1 -1.3 2.7 -1.0 3.3 -1.5 5.9 9.3 4.3 1.4 18.8 4.1 0.8 13.5 9.4 CORN -20.0 -20.0 5.3 -3.0 -1.7 -1.6 -2.3 -0.9 -3.2 -8.2 -9.9 -11.4 -11.7 -12.2 -11.1 -15.6 -12.9 -17.1 -16.5 -18.3 -12.3 -16.3 -11.0 -20.0 -9.6 -4.0 -2.3 -2.5 -4.0 -2.2 -5.1 -20.0 -17.2 -20.0 -17.8 -5.0 -20.0 -15.2 -20.0 -2.0 COTTON2 5.8 -12.6 -20.0 -3.6 -2.1 -1.9 -2.7 -1.1 -3.8 3.9 -14.1 -9.0 -11.0 -12.2 -14.6 -10.0 0.2 -4.7 -1.4 -16.3 -17.9 -3.7 -12.6 -9.6 -20.0 -4.2 2.8 -3.8 0.4 -1.1 -1.7 -1.0 4.4 11.7 4.2 -20.0 -3.7 -9.4 12.1 -0.6 CRUDE_W 10.6 2.8 -6.6 0.9 -9.0 1.2 -5.5 3.3 -0.2 -20.0 14.0 -1.6 16.8 18.5 14.6 15.0 12.5 14.0 13.3 12.2 10.8 -0.5 13.3 10.8 -4.5 -0.2 -4.1 -0.1 -1.1 3.6 1.4 6.4 8.7 7.2 -5.9 -2.1 20.0 20.0 20.0 20.0 DAX 3.1 -20.0 -8.1 5.9 9.3 5.8 9.0 5.9 7.4 9.4 12.9 10.7 16.0 -0.8 -2.2 -9.4 -11.2 -10.3 -11.0 2.1 8.9 11.3 15.8 4.2 11.5 1.7 7.0 7.3 6.1 11.9 2.1 -8.2 -20.0 -20.0 -20.0 -1.3 5.7 5.2 -4.7 7.8 DOW 12.8 0.9 -4.5 6.3 9.9 6.2 9.7 6.3 7.9 18.7 13.7 19.0 16.2 10.2 5.9 -12.0 -11.4 -11.7 -11.7 9.7 10.6 20.0 17.4 17.6 -15.0 4.4 17.1 5.8 13.0 9.7 7.9 -8.8 -5.3 -12.3 -20.0 -12.2 13.5 -1.7 11.4 -4.8 DX -6.4 -2.2 4.7 -0.6 11.7 -1.5 9.6 0.4 3.4 -20.0 16.7 -18.7 16.6 -4.6 6.1 7.2 7.0 7.3 7.2 2.1 8.6 -20.0 10.9 -9.5 -20.0 0.8 -16.4 4.4 -13.3 5.7 -5.8 16.7 -20.0 -17.4 1.9 20.0 -6.5 7.4 -6.7 11.2 EUR 8.7 0.5 -1.8 -0.6 12.2 -1.5 9.9 0.4 3.5 19.3 -11.6 20.0 -11.4 8.2 1.7 -7.5 -7.2 -7.5 -7.2 1.5 -3.7 20.0 -5.6 11.5 20.0 1.7 14.5 -0.4 13.6 -1.0 7.3 -7.7 12.9 18.2 -0.1 2.6 -1.5 -20.0 -3.8 -16.6 EURIBOR-ICE 5.8 7.1 -11.4 1.1 4.3 -0.1 3.3 -1.2 2.1 7.0 -4.8 5.8 -0.3 4.9 -2.1 -4.3 -4.9 -5.2 -4.8 0.0 -2.0 6.8 -1.6 3.6 11.7 0.1 5.5 -0.9 4.2 -0.5 2.2 -2.5 1.7 2.1 -3.1 -4.1 -20.0 -20.0 -7.6 3.2 EUROSTX 0.7 -20.0 -13.4 5.8 9.0 5.6 8.8 5.7 7.2 5.0 14.4 7.6 16.7 0.3 -1.4 -5.1 -2.5 -5.7 -4.2 1.3 8.6 6.1 16.2 1.7 -2.3 1.4 3.7 8.2 3.8 14.0 0.8 5.6 -20.0 -20.0 -20.0 -4.7 -5.3 2.5 -16.3 2.6 FEEDCOW -5.8 0.3 -1.3 -5.5 -3.2 -2.9 -4.2 -1.7 -5.8 -5.9 6.5 -9.2 -3.3 -8.2 0.7 -2.9 -20.0 -14.1 -20.0 -2.5 -1.8 -10.7 -0.5 -7.3 -8.0 -2.4 1.0 -1.7 -3.5 1.5 -3.4 -20.0 5.0 1.9 15.0 -5.1 4.0 20.0 12.2 20.0 GASOIL 9.2 3.4 -12.0 0.8 -8.1 1.1 -5.0 2.9 -0.2 -20.0 4.9 -10.9 13.5 11.6 0.6 -1.1 11.9 0.5 5.5 4.2 2.6 -6.1 8.4 4.2 5.8 1.7 -6.3 0.6 -2.8 3.0 2.1 0.1 10.6 5.5 8.8 -6.1 -20.0 -13.6 -20.0 -20.0 GASOLINE 12.2 -0.7 -9.8 0.8 -8.6 1.2 -5.2 3.1 -0.2 -20.0 10.0 2.7 15.3 16.7 1.2 20.0 20.0 20.0 20.0 5.7 6.2 -0.9 12.6 7.3 -20.0 -0.3 -4.4 0.2 -0.9 4.6 1.5 20.0 9.0 9.3 -3.3 -5.7 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -0.4 20.0 0.4 -4.4 0.6 -2.7 1.6 -0.1 -10.4 -8.9 -12.3 -10.8 -11.6 -6.6 -5.1 -20.0 -20.0 -20.0 -6.7 -5.2 -15.7 -12.9 -14.0 20.0 -1.1 -5.0 -1.3 -5.1 -3.7 -3.8 -20.0 -0.1 -20.0 -1.6 2.9 -2.3 -7.6 -8.2 -15.4 GBP 7.4 6.3 2.6 -0.7 13.1 -1.6 10.7 0.5 3.8 20.0 15.9 20.0 6.5 20.0 19.1 -0.7 -0.8 -0.9 -0.8 14.3 9.0 20.0 6.6 20.0 0.8 6.9 17.9 5.0 16.5 3.9 11.0 3.2 20.0 20.0 20.0 18.3 1.7 -20.0 0.2 -11.8 GOLD_micro 6.3 -10.5 2.3 -2.9 -1.3 -1.1 -2.7 0.0 -3.6 10.6 8.4 10.2 9.4 2.0 5.7 -11.4 -13.5 -11.8 -12.6 6.2 9.8 12.7 11.6 8.1 -3.7 0.3 5.0 3.7 3.2 5.9 0.3 -13.3 20.0 14.2 9.6 17.7 4.6 -6.8 12.2 -0.4 HEATOIL 10.7 5.3 -10.8 0.8 -8.5 1.2 -5.2 3.1 -0.2 -20.0 -1.1 -11.9 7.2 12.8 0.3 -6.1 10.1 -4.5 1.9 3.5 -0.5 -6.8 3.6 4.2 -20.0 -1.8 -4.6 -2.8 -2.7 1.0 0.0 -4.5 -0.8 3.4 -4.9 -18.2 1.6 7.1 -7.1 2.6 JGB-SGX-mini -6.9 3.7 -15.4 1.2 4.4 -0.1 3.4 -1.3 2.2 7.1 -5.3 -1.8 -1.6 -2.9 -5.6 20.0 18.6 20.0 19.1 -4.7 -5.2 1.5 -3.0 -2.3 -8.6 -2.1 2.4 -2.7 0.7 -2.2 -1.0 20.0 -5.0 -10.6 -8.8 -11.1 -4.9 -4.4 2.2 17.1 JPY 1.0 -1.5 -1.3 -0.4 7.2 -0.9 5.9 0.3 2.1 10.6 -14.6 1.8 -14.9 -8.5 -12.9 -15.7 -16.3 -15.7 -15.9 -14.4 -18.8 6.6 -20.0 -6.1 20.0 -4.6 6.5 -5.9 2.7 -6.6 -1.8 -20.0 3.5 -12.6 -15.8 -20.0 -20.0 -12.6 -20.0 -12.0 LEANHOG -4.9 -20.0 -20.0 -3.6 -2.1 -1.9 -2.7 -1.1 -3.8 -6.0 -10.5 -11.0 -7.3 -13.8 -14.6 20.0 -13.0 20.0 10.8 -20.0 -18.5 -19.2 -10.5 -20.0 4.2 -5.2 -1.9 -3.2 -3.5 -1.6 -4.9 -11.1 -20.0 -13.1 -20.0 -20.0 -8.9 -9.6 -3.7 3.8 LIVECOW 10.1 16.0 10.1 -5.8 -3.3 -3.1 -4.4 -1.7 -6.1 -13.5 17.8 2.5 6.9 14.0 18.3 2.6 10.3 15.2 15.3 20.0 17.5 1.2 10.7 16.6 -11.0 7.2 -1.2 6.2 -0.2 5.4 4.4 20.0 -4.4 20.0 20.0 20.0 2.7 20.0 7.9 20.0 LUMBER-new -1.6 -6.2 -20.0 -2.3 -1.3 -1.2 -1.7 -0.6 -2.4 -5.1 -8.3 -6.8 -7.8 -7.8 -8.9 -14.4 -17.3 -16.7 -17.4 -10.9 -10.0 -5.4 -6.8 -8.2 NaN -3.2 -1.2 -3.5 -0.7 -2.3 -1.6 -20.0 -0.6 1.0 -4.6 -20.0 -1.7 -7.2 4.8 -3.7 MILK -13.9 6.7 20.0 -3.0 -1.7 -1.6 -2.3 -0.9 -3.2 -4.5 7.0 -6.4 -2.8 -2.3 8.0 -20.0 -20.0 -20.0 -20.0 8.1 8.7 -3.0 0.0 1.2 13.3 2.5 -1.8 2.8 -1.6 -0.3 -0.3 -20.0 -2.1 -9.2 17.7 20.0 -8.0 -20.0 -4.0 -20.0 MXP 11.7 -20.0 -20.0 -0.3 5.4 -0.7 4.4 0.2 1.6 6.5 -2.2 8.7 4.2 -2.1 -4.0 9.9 15.5 12.1 13.7 -5.3 -4.2 9.0 2.0 1.7 -20.0 -2.0 1.9 -1.3 1.9 0.7 -0.2 20.0 4.1 12.2 -20.0 -8.1 16.1 14.3 20.0 20.0 NASDAQ_micro 2.1 19.8 6.2 5.0 7.8 4.9 7.6 5.0 6.2 2.3 16.5 9.3 16.7 14.0 15.9 -12.2 -10.9 -11.9 -11.4 20.0 20.0 15.0 20.0 20.0 -20.0 5.9 0.0 5.4 2.3 5.6 5.0 -8.1 -17.7 -3.7 20.0 14.8 -1.8 4.7 -9.1 4.2 NIKKEI 20.0 4.0 -10.6 6.4 10.1 6.3 9.9 6.4 8.0 1.6 17.0 14.3 18.6 17.2 12.7 15.1 10.2 11.5 9.9 20.0 20.0 20.0 20.0 20.0 -20.0 6.4 1.0 5.9 7.7 7.8 8.8 20.0 3.8 20.0 14.8 -4.5 3.6 -5.9 -7.7 -11.2 NZD -7.4 4.0 4.2 -0.5 10.5 -1.3 8.5 0.4 3.0 -11.7 0.5 -7.2 -1.0 -7.0 9.1 -0.0 0.2 0.0 0.1 2.3 2.7 -4.2 -0.2 -1.4 0.4 1.2 -5.1 1.9 -3.1 0.8 -1.3 4.8 -20.0 -11.0 3.8 8.7 7.7 -5.5 9.5 1.0 OAT 5.3 -4.1 -10.4 1.4 5.5 -0.1 4.2 -1.6 2.7 9.2 -7.8 8.1 -3.3 -1.4 -6.8 -2.1 4.2 0.4 2.2 -4.6 -5.6 6.2 -4.8 0.4 1.8 -2.3 5.1 -2.3 3.7 -1.4 0.3 11.3 1.7 0.0 -13.4 -5.2 -20.0 -18.6 -7.6 -3.2 OATIES -13.0 -20.0 3.1 -2.1 -1.2 -1.1 -1.6 -0.6 -2.2 0.2 -6.4 -3.3 -7.2 -7.7 -7.4 -5.2 0.3 -1.2 0.9 -11.5 -8.2 -4.3 -6.0 -10.4 -20.0 -2.3 -0.3 -1.3 -1.5 -0.8 -2.6 1.0 -9.2 -10.4 -14.4 -2.7 2.0 -1.1 12.1 11.2 OJ -0.7 -10.4 -2.9 -3.4 -2.0 -1.8 -2.6 -1.0 -3.6 4.6 9.8 7.7 11.7 4.3 8.2 9.1 12.4 9.5 9.9 13.0 15.4 10.5 17.4 10.7 -20.0 3.5 1.5 5.0 1.9 7.2 2.1 18.9 20.0 13.1 20.0 20.0 9.9 9.8 20.0 20.0 PALLAD 19.4 1.8 3.5 -2.3 -1.1 -0.8 -2.2 0.0 -2.8 -7.9 -5.6 1.7 -8.2 2.0 -2.7 -1.0 -2.1 -1.7 -1.9 0.1 -3.2 -1.2 -8.3 2.0 14.4 -1.1 -3.5 -2.1 -0.6 -3.3 0.2 5.9 6.2 17.2 11.1 -2.7 -20.0 -20.0 -20.0 -19.2 PLAT 1.9 -7.0 9.1 -3.0 -1.4 -1.1 -2.9 0.0 -3.8 -4.3 1.8 -0.2 -3.2 -4.2 -0.1 -4.9 -4.2 -5.0 -4.7 2.2 3.6 0.8 2.0 0.9 7.6 -1.5 -1.1 0.7 -2.3 1.2 -2.9 1.6 5.4 11.6 6.4 9.1 -20.0 -8.7 -5.5 2.9 REDWHEAT -20.0 -20.0 20.0 -3.2 -1.9 -1.7 -2.5 -1.0 -3.4 -10.3 -5.6 -11.5 -9.7 -12.7 -9.9 -10.6 -4.1 -9.4 -6.8 -13.7 -6.6 -14.2 -7.7 -18.0 -5.5 -3.1 -3.2 -1.2 -3.7 -1.3 -4.5 -9.1 -20.0 -19.3 -16.0 9.4 -14.8 -20.0 -8.7 -17.5 RICE -20.0 -10.8 15.2 -5.4 -3.1 -2.8 -4.1 -1.6 -5.7 -5.6 14.5 -16.9 17.0 -16.7 12.3 20.0 20.0 20.0 20.0 -6.5 9.3 -20.0 16.8 -20.0 -13.6 0.7 3.7 3.7 -1.9 4.5 -3.0 20.0 4.1 -0.9 16.2 15.0 -17.1 -8.1 -17.5 -5.9 ROBUSTA 2.6 4.8 -17.7 -2.6 -1.5 -1.4 -2.0 -0.8 -2.8 8.2 9.7 8.4 9.9 9.2 9.0 20.0 20.0 20.0 20.0 15.0 16.7 19.1 17.6 16.4 -20.0 3.8 4.0 5.1 5.0 6.3 4.0 20.0 20.0 20.0 20.0 20.0 3.5 -6.6 10.8 4.0 RUSSELL 11.1 -4.6 -4.2 5.2 8.1 5.0 7.9 5.1 6.4 15.1 9.3 13.4 11.1 4.2 2.2 -7.4 -6.9 -7.4 -7.1 4.7 3.7 20.0 5.0 13.8 -1.1 3.5 17.2 2.5 13.0 2.8 7.5 -0.9 20.0 4.4 -11.8 -8.0 3.8 -20.0 2.1 -20.0 SHATZ 2.2 20.0 -2.1 1.1 4.2 -0.1 3.2 -1.2 2.0 5.8 -6.6 1.2 -7.4 2.2 -0.8 -20.0 -20.0 -20.0 -20.0 -0.3 -4.8 3.5 -8.6 2.0 6.8 0.1 3.0 -1.7 1.8 -3.0 1.1 -20.0 -7.2 -0.6 -0.4 -4.3 -20.0 -14.9 -16.3 -11.4 SILVER-mini 1.5 -5.3 12.3 -2.6 -1.2 -1.0 -2.5 0.0 -3.2 4.3 7.5 6.5 6.8 2.0 6.4 -5.6 -6.5 -5.9 -6.2 7.3 9.5 6.0 8.2 6.0 2.4 0.6 0.4 3.2 0.6 3.9 -0.4 -1.6 17.5 8.5 11.5 16.9 -1.2 -8.0 5.6 4.5 SMI -6.2 3.8 13.3 6.5 10.2 6.3 9.9 6.4 8.1 12.7 19.2 11.2 18.3 12.7 17.1 -4.2 1.1 -3.2 -1.1 19.3 20.0 20.0 20.0 15.8 15.7 7.1 10.1 9.3 8.5 8.7 6.0 11.6 -15.0 -20.0 0.4 14.3 6.3 2.6 -0.4 0.1 SOFR 5.4 18.4 1.7 1.5 5.7 -0.1 4.4 -1.6 2.8 8.9 -1.1 10.1 -2.9 10.4 7.4 -1.7 -1.4 -2.4 -2.0 6.6 1.5 11.1 -2.7 9.6 -3.1 3.1 3.3 1.7 3.2 0.2 3.3 2.8 -0.0 2.7 7.6 4.8 6.4 -14.9 19.5 2.5 SOYBEAN -13.4 -20.0 0.6 -3.2 -1.9 -1.7 -2.5 -1.0 -3.4 -11.9 -11.4 -12.7 -7.8 -13.2 -12.0 -2.8 6.1 -1.3 1.2 -17.0 -11.7 -20.0 -8.7 -20.0 -20.0 -4.3 -6.0 -2.6 -6.1 -1.7 -5.8 6.1 -20.0 -20.0 -16.5 -4.9 -15.9 -20.0 -9.0 -20.0 SOYMEAL -20.0 -20.0 7.0 -3.1 -1.8 -1.7 -2.4 -1.0 -3.3 -11.6 -11.1 -12.9 -9.9 -13.2 -11.3 12.8 7.7 9.2 6.4 -17.1 -11.0 -20.0 -8.8 -20.0 -20.0 -3.3 -5.0 -1.4 -6.0 -0.9 -5.7 11.3 -20.0 -20.0 -12.0 7.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 17.0 8.2 3.4 -2.4 -1.4 -1.3 -1.8 -0.7 -2.5 -7.9 -6.1 -0.1 -8.5 0.8 -2.4 5.4 0.4 0.9 -1.0 0.6 -3.5 -0.9 -6.3 2.9 -20.0 -0.6 -3.5 -2.0 -0.8 -2.4 0.6 -1.3 -1.2 12.0 8.9 -4.4 -13.3 -15.4 -1.4 -1.7 SP400 4.1 -11.7 -7.4 5.3 8.4 5.2 8.2 5.3 6.6 15.2 9.7 10.1 12.4 -0.3 -2.6 -5.2 -5.9 -6.1 -6.1 1.4 5.2 20.0 10.4 7.6 -13.0 3.3 17.1 4.1 12.6 5.7 6.7 0.9 11.8 -5.6 -18.3 -8.0 5.0 -9.1 4.5 -20.0 SP500_micro 10.5 20.0 15.3 7.4 11.5 7.2 11.2 7.3 9.2 19.8 20.0 20.0 20.0 20.0 20.0 -15.7 -12.8 -14.5 -13.7 20.0 20.0 20.0 20.0 20.0 -20.0 9.3 5.5 9.1 7.1 9.4 8.9 -11.5 -4.3 1.3 20.0 18.3 8.4 1.5 -0.6 1.3 SUGAR11 17.4 20.0 -12.3 -4.2 -2.5 -2.3 -3.3 -1.3 -4.5 -6.6 -12.6 -0.8 -9.6 7.5 -5.2 -4.2 9.5 -0.6 4.0 0.5 -9.5 -2.6 -9.8 4.3 -20.0 0.4 -0.3 -4.2 0.6 -4.2 2.9 12.1 -3.4 20.0 20.0 -11.1 4.8 20.0 10.8 20.0 US10 3.6 16.2 2.5 1.3 4.8 -0.1 3.7 -1.4 2.4 7.2 -2.1 7.8 -5.0 8.2 4.9 -6.8 -7.3 -6.9 -7.0 3.9 -0.2 7.3 -4.8 6.2 2.5 2.4 2.3 1.2 2.3 -0.5 2.4 -6.8 -3.0 -0.1 4.3 3.1 3.1 -18.5 12.3 2.5 US10U 0.8 15.3 3.5 1.7 6.5 -0.1 5.0 -1.9 3.2 8.9 -3.3 9.2 -6.4 9.7 5.8 -4.5 -2.7 -4.8 -3.9 3.9 -0.6 7.3 -6.4 6.1 0.2 2.9 2.2 1.6 2.2 -0.6 2.6 0.0 -6.6 -2.4 4.5 4.2 3.5 -15.1 19.4 10.9 US2 12.9 20.0 -4.7 1.4 5.3 -0.1 4.0 -1.5 2.6 9.6 -6.8 10.0 -9.5 9.7 0.8 -20.0 -20.0 -20.0 -20.0 3.4 -4.6 14.8 -11.7 10.4 14.8 1.6 7.2 -1.0 5.7 -3.1 3.9 -20.0 4.1 5.8 1.5 -3.6 0.3 -20.0 4.1 -12.3 US20 -3.5 12.8 4.1 1.2 4.4 -0.1 3.4 -1.3 2.2 5.3 -0.9 3.8 -2.3 4.8 4.2 -0.7 -0.8 -0.7 -0.7 2.2 0.3 3.1 -3.0 2.6 -1.2 2.1 0.7 1.8 0.8 0.4 1.3 4.4 -6.0 -3.3 4.0 5.0 1.9 -9.8 20.0 17.3 US30 -4.6 12.0 4.6 1.3 5.0 -0.1 3.9 -1.4 2.4 5.3 -2.1 2.3 -3.8 3.8 3.4 -4.7 -5.2 -4.9 -5.1 1.6 -0.3 2.2 -4.1 1.9 -0.6 2.1 0.3 1.7 0.5 0.0 1.1 -3.3 -8.4 -4.9 3.3 4.5 -1.4 -9.4 12.0 18.5 US5 7.2 18.3 0.5 1.4 5.3 -0.1 4.0 -1.5 2.6 8.6 -4.0 9.5 -7.5 9.6 4.3 -10.8 -10.3 -10.4 -10.2 4.6 -1.1 10.9 -6.5 8.6 6.2 2.5 4.2 0.7 3.8 -1.1 3.3 -12.0 0.2 2.7 4.4 1.5 3.3 -19.9 9.8 -4.8 VIX -2.2 -2.4 -12.6 -8.7 -3.1 -9.8 -5.2 -11.5 -7.1 -12.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.3 -20.0 -16.7 NaN -10.4 -2.9 -11.5 -5.5 -13.4 -8.4 NaN NaN NaN NaN NaN -15.3 -20.0 NaN NaN WHEAT -20.0 -20.0 20.0 -2.5 -1.4 -1.3 -1.9 -0.7 -2.6 -8.6 -3.5 -8.9 -6.5 -9.4 -7.4 -15.1 -14.3 -15.8 -15.4 -10.5 -4.5 -13.0 -4.7 -14.1 0.8 -2.2 -3.6 -0.7 -3.3 -0.6 -3.5 -20.0 -20.0 -16.7 -13.7 8.9 -14.4 -20.0 -11.8 -20.0 End of report for caleb_strategy_v3