******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240806_203929 produced at 2024-08-06 21:38:02.966163 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 MXP False False 0.01 -0.12 -0.17 0.0 0.53 -0.53 -0.12 -0.12 -18.99 60.0 -14 -14 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.12 0.0 0.73 -0.73 -0.05 -0.05 -4.83 29.0 -2 -2 caleb_strategy_v3 DX False False 0.04 0.00 -0.09 0.0 999.00 -999.00 0.00 0.00 -2.40 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.33 -0.33 -0.04 -0.04 -1.61 8.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 -0.04 -0.05 0.0 999.00 -999.00 -0.04 -0.04 -1.54 999999999.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.88 12.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.10 -0.05 0.0 0.10 -0.10 -0.10 -0.10 -1.58 3.0 -3 -3 caleb_strategy_v3 EUROSTX False False 0.02 -0.11 -0.04 0.0 0.35 -0.35 -0.11 -0.04 -2.27 20.0 -6 -2 caleb_strategy_v3 NIKKEI False False 0.01 -0.05 -0.04 0.0 0.29 -0.29 -0.05 -0.04 -4.45 36.0 -6 -5 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.04 0.0 0.43 -0.43 -0.02 -0.02 -1.81 21.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.13 -0.13 -0.06 -0.06 -3.63 11.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -5.83 12.0 -4 -4 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.43 -0.43 0.00 0.00 -1.80 19.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.04 24.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -20.11 59.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.05 -0.05 -0.03 -0.03 -20.12 26.0 -17 -17 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.01 -8.65 51.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.03 0.0 0.29 -0.29 -0.01 -0.01 -2.00 23.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.03 -0.03 0.0 0.44 -0.44 -0.03 0.00 -3.28 48.0 -3 0 caleb_strategy_v3 BTP False False 0.05 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -0.69 10.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.85 -0.85 0.00 0.00 -0.65 19.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -1.36 4.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 -0.03 0.0 0.48 -0.48 0.00 -0.05 -0.53 10.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.87 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.02 0.0 0.12 -0.12 -0.07 -0.07 -0.93 7.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.02 0.0 999.00 -999.00 -0.10 -0.02 -2.18 999999999.0 -12 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -1.74 9.0 -4 -4 caleb_strategy_v3 DAX False False 0.01 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -3.54 58.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.45 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.15 10.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.20 -0.20 0.00 -0.10 -0.09 2.0 0 -1 caleb_strategy_v3 SILVER-mini False False 0.02 -0.02 -0.01 0.0 999.00 -999.00 -0.02 -0.02 -0.26 999999999.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -2.09 18.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.74 10.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.28 2.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.87 9.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.72 3.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.04 6.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.28 5.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.62 -0.62 0.00 0.00 0.15 26.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.00 0.0 0.45 -0.45 -0.03 -0.01 -0.55 66.0 -4 -1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.25 -0.25 0.00 0.01 0.39 68.0 0 3 caleb_strategy_v3 BUND False False 0.05 0.05 0.00 0.0 0.51 -0.51 0.05 0.00 0.09 10.0 1 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.33 -0.33 0.01 0.00 0.50 23.0 1 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.01 0.0 0.12 -0.12 0.05 0.05 0.60 5.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.53 3.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.33 999999999.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.01 0.0 0.61 -0.61 0.00 0.00 0.48 22.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.51 -0.51 0.03 0.03 0.34 17.0 1 1 caleb_strategy_v3 US30 False False 0.05 0.05 0.01 0.0 0.28 -0.28 0.05 0.09 0.13 6.0 1 2 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.67 -0.67 0.00 0.00 0.63 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.16 0.02 0.0 0.53 -0.53 0.16 0.16 0.59 13.0 4 4 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.38 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.03 0.02 0.0 0.47 -0.47 0.03 0.02 2.51 56.0 3 2 caleb_strategy_v3 RICE False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 1.68 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.12 -0.12 0.01 0.01 1.85 13.0 1 1 caleb_strategy_v3 CHF False False 0.05 0.05 0.03 0.0 0.67 -0.67 0.05 0.15 0.53 13.0 1 3 caleb_strategy_v3 US5 False False 0.04 0.08 0.04 0.0 0.95 -0.95 0.08 0.11 1.00 25.0 2 3 caleb_strategy_v3 LIVECOW False False 0.02 0.07 0.04 0.0 0.42 -0.42 0.07 0.07 1.47 17.0 3 3 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.12 9.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 0.05 0.0 0.67 -0.67 0.00 0.05 1.14 14.0 0 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.01 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.07 0.24 0.0 0.55 -0.55 0.07 0.10 7.02 16.0 2 3 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.49 0.0 0.93 -0.93 0.00 0.00 5.23 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.05 0.0 0.00 0.00 0.00 0.00 12.50 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.8 Shocked risk 16.4 Sum abs risk 35.6 Leverage 3.63 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2877137.18, 'annual_cash_vol_target': 719284.295, 'daily_cash_vol_target': 44955.2684375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6547 0.5262 8.4198 BITCOIN 2142.7916 57285.0000 3.7406 59.8493 BOBL 0.2411 118.0800 0.2042 3.2675 BTP 0.4788 119.0100 0.4023 6.4372 BUND 0.4804 134.8000 0.3564 5.7017 BUXL 1.1669 137.6600 0.8476 13.5621 CAC 71.1000 7213.5000 0.9857 15.7704 CAD 0.0025 0.7275 0.3441 5.5057 CANOLA 9.8598 596.3000 1.6535 26.4560 CHF 0.0059 1.1776 0.5023 8.0372 COCOA 243.3918 6830.0000 3.5636 57.0171 COFFEE 4.2658 232.9000 1.8316 29.3059 COPPER 0.0624 4.0335 1.5461 24.7376 CORN 5.8724 404.0000 1.4536 23.2569 COTTON2 0.9483 67.3200 1.4086 22.5382 CRUDE_W 1.1615 71.2200 1.6309 26.0942 DAX 173.5921 17537.0000 0.9899 15.8378 DOW 341.6562 39536.0000 0.8642 13.8266 DX 0.3854 102.7550 0.3751 6.0013 EUR 0.0046 1.0952 0.4188 6.7005 EURIBOR-ICE 0.0431 97.8000 0.0440 0.7044 EUROSTX 51.7928 4630.0000 1.1186 17.8982 FEEDCOW 2.1350 237.8000 0.8978 14.3647 GASOIL 11.6405 707.0000 1.6465 26.3434 GASOLINE 0.0367 2.0738 1.7707 28.3315 GAS_US_mini 0.0848 2.1300 3.9794 63.6696 GBP 0.0060 1.2707 0.4683 7.4929 GOLD_micro 20.7245 2411.3000 0.8595 13.7516 HEATOIL 0.0383 2.3216 1.6516 26.4260 JGB-SGX-mini 0.4518 144.9100 0.3118 4.9886 JPY 0.0001 0.0069 0.7650 12.2395 LEANHOG 1.2426 68.8000 1.8061 28.8974 LIVECOW 1.3549 179.2250 0.7560 12.0954 LUMBER-new 8.5158 529.0000 1.6098 25.7567 MILK 0.2634 20.8600 1.2626 20.2022 MXP 0.0005 0.0510 0.9169 14.6712 NASDAQ_micro 256.8159 18401.2500 1.3956 22.3303 NIKKEI 998.4683 34010.0000 2.9358 46.9729 NZD 0.0034 0.5959 0.5723 9.1565 OAT 0.4327 126.4800 0.3421 5.4743 OATIES 6.1058 316.5000 1.9292 30.8664 OJ 7.2672 426.1500 1.7053 27.2849 PALLAD 23.9856 862.0000 2.7826 44.5208 PLAT 16.5644 922.2000 1.7962 28.7389 REDWHEAT 9.8552 579.5000 1.7006 27.2102 RICE 0.1582 15.3800 1.0284 16.4543 ROBUSTA 67.4688 4158.0000 1.6226 25.9620 RUSSELL 32.6821 2085.6000 1.5670 25.0726 SHATZ 0.0862 106.3350 0.0810 1.2967 SILVER-mini 0.5270 27.6625 1.9052 30.4828 SMI 95.6911 11598.0000 0.8251 13.2010 SOFR 0.0674 96.8650 0.0696 1.1138 SOYBEAN 13.6312 1026.7500 1.3276 21.2418 SOYMEAL 5.0316 326.9000 1.5392 24.6267 SOYOIL 0.7407 39.8900 1.8568 29.7094 SP400 35.2662 2928.8000 1.2041 19.2659 SP500_micro 51.5000 5311.5000 0.9696 15.5135 SUGAR11 0.3143 18.1900 1.7279 27.6463 US10 0.4501 113.3906 0.3970 6.3514 US10U 0.6137 117.5625 0.5221 8.3529 US2 0.1291 103.3438 0.1249 1.9986 US20 0.9510 123.6875 0.7689 12.3023 US30 1.4280 132.0938 1.0811 17.2970 US5 0.2930 109.0625 0.2687 4.2987 VIX 1.3834 23.4000 5.9121 94.5942 WHEAT 9.7547 567.5000 1.7189 27.5023 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.70 0.53 344.53 1.00 344.53 44955.27 130.48 -5.30 -69.22 BITCOIN 57.28 3.74 214.28 1.00 214.28 44955.27 209.80 -8.85 -185.76 BOBL 1180.80 0.20 241.14 1.09 263.08 44955.27 170.88 -3.76 -64.28 BTP 1190.10 0.40 478.81 1.09 522.35 44955.27 86.06 -2.34 -20.10 BUND 1348.00 0.36 480.37 1.09 524.06 44955.27 85.78 1.07 9.19 BUXL 1376.60 0.85 1166.85 1.09 1272.98 44955.27 35.32 -3.15 -11.14 CAC 721.35 0.99 711.00 1.09 775.67 44955.27 57.96 -9.51 -55.13 CAD 727.50 0.34 250.34 1.00 250.34 44955.27 179.58 -10.36 -186.13 CANOLA 119.26 1.65 197.20 0.72 141.56 44955.27 317.58 -11.20 -355.61 CHF 1471.94 0.50 739.39 1.00 739.39 44955.27 60.80 3.38 20.52 COCOA 683.00 3.56 2433.92 1.00 2433.92 44955.27 18.47 3.82 7.05 COFFEE 873.38 1.83 1599.69 1.00 1599.69 44955.27 28.10 1.30 3.65 COPPER 1008.38 1.55 1559.05 1.00 1559.05 44955.27 28.84 -4.94 -14.24 CORN 202.00 1.45 293.62 1.00 293.62 44955.27 153.11 -15.66 -239.82 COTTON2 336.60 1.41 474.15 1.00 474.15 44955.27 94.81 -17.87 -169.40 CRUDE_W 712.20 1.63 1161.52 1.00 1161.52 44955.27 38.70 1.42 5.50 DAX 175.37 0.99 173.59 1.09 189.38 44955.27 237.38 -4.38 -103.89 DOW 197.68 0.86 170.83 1.00 170.83 44955.27 263.16 -0.89 -23.53 DX 1027.55 0.38 385.41 1.00 385.41 44955.27 116.64 -7.92 -92.34 EUR 1369.00 0.42 573.31 1.00 573.31 44955.27 78.41 5.59 43.85 EURIBOR-ICE 2445.00 0.04 107.64 1.09 117.43 44955.27 382.83 4.00 153.25 EUROSTX 463.00 1.12 517.93 1.09 565.03 44955.27 79.56 -8.36 -66.54 FEEDCOW 1189.00 0.90 1067.48 1.00 1067.48 44955.27 42.11 -11.55 -48.64 GASOIL 707.00 1.65 1164.05 1.00 1164.05 44955.27 38.62 -8.14 -31.45 GASOLINE 871.00 1.77 1542.29 1.00 1542.29 44955.27 29.15 2.64 7.70 GAS_US_mini 53.25 3.98 211.90 1.00 211.90 44955.27 212.15 -8.76 -185.79 GBP 794.19 0.47 371.92 1.00 371.92 44955.27 120.87 1.54 18.64 GOLD_micro 241.13 0.86 207.24 1.00 207.24 44955.27 216.92 3.39 73.56 HEATOIL 975.07 1.65 1610.46 1.00 1610.46 44955.27 27.91 -13.07 -36.50 JGB-SGX-mini 144910.00 0.31 45181.07 0.01 318.00 44955.27 141.37 4.58 64.79 JPY 866.69 0.76 662.99 1.00 662.99 44955.27 67.81 1.95 13.24 LEANHOG 275.20 1.81 497.03 1.00 497.03 44955.27 90.45 3.36 30.39 LIVECOW 716.90 0.76 541.95 1.00 541.95 44955.27 82.95 5.33 44.22 LUMBER-new 145.48 1.61 234.18 1.00 234.18 44955.27 191.96 -4.19 -80.50 MILK 417.20 1.26 526.77 1.00 526.77 44955.27 85.34 1.55 13.23 MXP 255.20 0.92 234.00 1.00 234.00 44955.27 192.11 -6.74 -129.40 NASDAQ_micro 368.02 1.40 513.63 1.00 513.63 44955.27 87.52 -9.82 -85.95 NIKKEI 34010.00 2.94 99846.83 0.01 702.77 44955.27 63.97 -6.43 -41.13 NZD 595.90 0.57 341.02 1.00 341.02 44955.27 131.82 -5.28 -69.58 OAT 1264.80 0.34 432.74 1.09 472.10 44955.27 95.22 -1.62 -15.47 OATIES 158.25 1.93 305.29 1.00 305.29 44955.27 147.26 -6.83 -100.59 OJ 639.22 1.71 1090.07 1.00 1090.07 44955.27 41.24 5.99 24.72 PALLAD 862.00 2.78 2398.56 1.00 2398.56 44955.27 18.74 -4.43 -8.30 PLAT 461.10 1.80 828.22 1.00 828.22 44955.27 54.28 -4.01 -21.79 REDWHEAT 289.75 1.70 492.76 1.00 492.76 44955.27 91.23 -15.48 -141.26 RICE 307.60 1.03 316.33 1.00 316.33 44955.27 142.11 4.87 69.18 ROBUSTA 415.80 1.62 674.69 1.00 674.69 44955.27 66.63 6.47 43.11 RUSSELL 104.28 1.57 163.41 1.00 163.41 44955.27 275.11 0.43 11.90 SHATZ 1063.35 0.08 86.17 1.09 94.01 44955.27 478.19 -2.14 -102.22 SILVER-mini 691.56 1.91 1317.55 1.00 1317.55 44955.27 34.12 -2.25 -7.68 SMI 1159.80 0.83 956.91 1.18 1132.17 44955.27 39.71 8.30 32.95 SOFR 2421.62 0.07 168.57 1.00 168.57 44955.27 266.68 7.72 205.76 SOYBEAN 513.38 1.33 681.56 1.00 681.56 44955.27 65.96 -15.09 -99.51 SOYMEAL 326.90 1.54 503.16 1.00 503.16 44955.27 89.35 -10.51 -93.90 SOYOIL 239.34 1.86 444.42 1.00 444.42 44955.27 101.16 -12.18 -123.21 SP400 2928.80 1.20 3526.62 1.00 3526.62 44955.27 12.75 -2.21 -2.82 SP500_micro 265.58 0.97 257.50 1.00 257.50 44955.27 174.58 -8.07 -140.96 SUGAR11 203.73 1.73 352.02 1.00 352.02 44955.27 127.71 -7.70 -98.34 US10 1133.91 0.40 450.12 1.00 450.12 44955.27 99.87 4.99 49.79 US10U 1175.62 0.52 613.74 1.00 613.74 44955.27 73.25 6.38 46.76 US2 2066.88 0.12 258.18 1.00 258.18 44955.27 174.12 4.57 79.60 US20 1236.88 0.77 951.03 1.00 951.03 44955.27 47.27 6.27 29.66 US30 1320.94 1.08 1428.02 1.00 1428.02 44955.27 31.48 3.38 10.63 US5 1090.62 0.27 293.02 1.00 293.02 44955.27 153.42 5.16 79.19 VIX 234.00 5.91 1383.44 1.00 1383.44 44955.27 32.50 -2.71 -8.81 WHEAT 283.75 1.72 487.74 1.00 487.74 44955.27 92.17 -14.24 -131.22 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -69.219 0.010 2.5 -1.796 BITCOIN -185.757 0.043 2.5 -20.115 BOBL -64.277 0.004 2.5 -0.652 BTP -20.102 0.014 2.5 -0.686 BUND 9.190 0.004 2.5 0.093 BUXL -11.136 0.004 2.5 -0.113 CAC -55.126 0.014 2.5 -1.880 CAD -186.125 0.010 2.5 -4.829 CANOLA -355.608 0.010 2.5 -8.651 CHF 20.524 0.010 2.5 0.533 COCOA 7.054 0.009 2.5 0.151 COFFEE 3.649 0.005 2.5 0.043 COPPER -14.239 0.043 2.5 -1.542 CORN -239.816 0.010 2.5 -5.834 COTTON2 -169.397 0.009 2.5 -3.628 CRUDE_W 5.499 0.043 2.5 0.595 DAX -103.886 0.014 2.5 -3.543 DOW -23.531 0.009 2.5 -0.547 DX -92.335 0.010 2.5 -2.396 EUR 43.855 0.010 2.5 1.138 EURIBOR-ICE 153.247 0.014 2.5 5.227 EUROSTX -66.542 0.014 2.5 -2.270 FEEDCOW -48.643 0.013 2.5 -1.612 GASOIL -31.449 0.017 2.5 -1.363 GASOLINE 7.696 0.017 2.5 0.334 GAS_US_mini -185.788 0.043 2.5 -20.118 GBP 18.642 0.010 2.5 0.484 GOLD_micro 73.564 0.014 2.5 2.509 HEATOIL -36.498 0.017 2.5 -1.582 JGB-SGX-mini 64.785 0.043 2.5 7.015 JPY 13.244 0.010 2.5 0.344 LEANHOG 30.388 0.024 2.5 1.847 LIVECOW 44.216 0.013 2.5 1.465 LUMBER-new -80.503 0.009 2.5 -1.724 MILK 13.232 0.009 2.5 0.283 MXP -129.404 0.059 2.5 -18.993 NASDAQ_micro -85.950 0.009 2.5 -1.997 NIKKEI -41.130 0.043 2.5 -4.454 NZD -69.584 0.010 2.5 -1.805 OAT -15.467 0.014 2.5 -0.528 OATIES -100.592 0.010 2.5 -2.447 OJ 24.721 0.009 2.5 0.529 PALLAD -8.299 0.014 2.5 -0.283 PLAT -21.787 0.014 2.5 -0.743 REDWHEAT -141.257 0.005 2.5 -1.874 RICE 69.183 0.010 2.5 1.683 ROBUSTA 43.110 0.005 2.5 0.503 RUSSELL 11.901 0.013 2.5 0.394 SHATZ -102.217 0.004 2.5 -1.037 SILVER-mini -7.677 0.014 2.5 -0.262 SMI 32.947 0.014 2.5 1.124 SOFR 205.761 0.024 2.5 12.505 SOYBEAN -99.514 0.004 2.5 -0.926 SOYMEAL -93.903 0.004 2.5 -0.873 SOYOIL -123.208 0.004 2.5 -1.147 SP400 -2.822 0.013 2.5 -0.094 SP500_micro -140.959 0.009 2.5 -3.276 SUGAR11 -98.342 0.009 2.5 -2.091 US10 49.791 0.005 2.5 0.631 US10U 46.761 0.005 2.5 0.593 US2 79.602 0.005 2.5 1.009 US20 29.661 0.005 2.5 0.376 US30 10.628 0.005 2.5 0.135 US5 79.188 0.005 2.5 1.003 VIX -8.812 0.099 2.5 -2.175 WHEAT -131.222 0.005 2.5 -1.741 ===================== Position diags ===================== AUD 3.39 BITCOIN 22.72 BOBL 1.73 BTP 2.94 BUND 0.87 BUXL 0.36 CAC 1.98 CAD 4.66 CANOLA 7.73 CHF 1.58 COCOA 0.40 COFFEE 0.33 COPPER 3.12 CORN 3.72 COTTON2 2.03 CRUDE_W 4.19 DAX 8.10 DOW 6.12 DX 3.03 EUR 2.03 EURIBOR-ICE 13.06 EUROSTX 2.71 FEEDCOW 1.40 GASOIL 1.67 GASOLINE 1.26 GAS_US_mini 22.97 GBP 3.14 GOLD_micro 7.40 HEATOIL 1.21 JGB-SGX-mini 15.31 JPY 1.76 LEANHOG 5.50 LIVECOW 2.75 LUMBER-new 4.11 MILK 1.83 MXP 28.20 NASDAQ_micro 2.03 NIKKEI 6.93 NZD 3.42 OAT 3.25 OATIES 3.58 OJ 0.88 PALLAD 0.64 PLAT 1.85 REDWHEAT 1.21 RICE 3.46 ROBUSTA 0.78 RUSSELL 9.12 SHATZ 4.85 SILVER-mini 1.16 SMI 1.35 SOFR 16.21 SOYBEAN 0.61 SOYMEAL 0.83 SOYOIL 0.94 SP400 0.42 SP500_micro 4.06 SUGAR11 2.72 US10 1.27 US10U 0.93 US2 2.21 US20 0.60 US30 0.40 US5 1.94 VIX 8.02 WHEAT 1.22 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.8 -2.1 -1.5 0.0 0 BITCOIN -20.1 -22.4 -17.8 0.0 0 BOBL -0.7 -0.8 -0.5 0.0 0 BTP -0.7 -1.0 -0.4 0.0 0 BUND 0.1 0.0 0.2 1.0 1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -1.9 -2.1 -1.7 0.0 0 CAD -4.8 -5.3 -4.4 -2.0 -2 CANOLA -8.7 -9.4 -7.9 -2.0 -2 CHF 0.5 0.4 0.7 1.0 1 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.0 0.0 0.1 0.0 0 COPPER -1.5 -1.9 -1.2 -1.0 -1 CORN -5.8 -6.2 -5.5 -4.0 -4 COTTON2 -3.6 -3.8 -3.4 -5.0 -5 CRUDE_W 0.6 0.2 1.0 2.0 2 DAX -3.5 -4.4 -2.7 0.0 0 DOW -0.5 -1.2 0.1 -4.0 -4 DX -2.4 -2.7 -2.1 0.0 0 EUR 1.1 0.9 1.3 0.0 0 EURIBOR-ICE 5.2 3.9 6.5 0.0 0 EUROSTX -2.3 -2.5 -2.0 -6.0 -6 FEEDCOW -1.6 -1.8 -1.5 -1.0 -1 GASOIL -1.4 -1.5 -1.2 0.0 0 GASOLINE 0.3 0.2 0.5 0.0 0 GAS_US_mini -20.1 -22.4 -17.8 -17.0 -17 GBP 0.5 0.2 0.8 0.0 0 GOLD_micro 2.5 1.8 3.2 3.0 3 HEATOIL -1.6 -1.7 -1.5 -3.0 -3 JGB-SGX-mini 7.0 5.5 8.5 2.0 2 JPY 0.3 0.2 0.5 1.0 1 LEANHOG 1.8 1.3 2.4 1.0 1 LIVECOW 1.5 1.2 1.7 3.0 3 LUMBER-new -1.7 -2.1 -1.3 -2.0 -2 MILK 0.3 0.1 0.5 NaN 0 MXP -19.0 -21.8 -16.2 -14.0 -14 NASDAQ_micro -2.0 -2.2 -1.8 -1.0 -1 NIKKEI -4.5 -5.1 -3.8 -6.0 -6 NZD -1.8 -2.1 -1.5 -1.0 -1 OAT -0.5 -0.9 -0.2 0.0 0 OATIES -2.4 -2.8 -2.1 NaN 0 OJ 0.5 0.4 0.6 1.0 1 PALLAD -0.3 -0.3 -0.2 -1.0 -1 PLAT -0.7 -0.9 -0.6 -1.0 -1 REDWHEAT -1.9 -2.0 -1.8 -2.0 -2 RICE 1.7 1.3 2.0 NaN 0 ROBUSTA 0.5 0.4 0.6 1.0 1 RUSSELL 0.4 -0.5 1.3 0.0 0 SHATZ -1.0 -1.5 -0.6 NaN 0 SILVER-mini -0.3 -0.4 -0.1 -1.0 -1 SMI 1.1 1.0 1.3 0.0 0 SOFR 12.5 10.9 14.1 NaN 0 SOYBEAN -0.9 -1.0 -0.9 -4.0 -4 SOYMEAL -0.9 -1.0 -0.8 0.0 0 SOYOIL -1.1 -1.2 -1.1 0.0 0 SP400 -0.1 -0.1 -0.1 0.0 0 SP500_micro -3.3 -3.7 -2.9 -3.0 -3 SUGAR11 -2.1 -2.4 -1.8 0.0 0 US10 0.6 0.5 0.8 0.0 0 US10U 0.6 0.5 0.7 4.0 4 US2 1.0 0.8 1.2 NaN 0 US20 0.4 0.3 0.4 0.0 0 US30 0.1 0.1 0.2 1.0 1 US5 1.0 0.8 1.2 2.0 2 VIX -2.2 -3.0 -1.4 -12.0 -12 WHEAT -1.7 -1.9 -1.6 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.6 -0.2 0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -0.6 -0.2 0.2 0.3 -0.2 0.4 -0.0 BITCOIN 0.3 -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 0.3 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.3 -0.0 -0.2 -0.5 0.6 0.3 0.3 -0.6 -0.3 -0.2 -0.0 BOBL 0.6 0.5 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.2 -0.1 0.2 0.6 0.0 0.0 0.0 0.1 -0.0 0.1 -1.1 -0.0 0.1 0.1 -0.2 -0.7 -0.6 -0.4 -0.4 BTP 0.5 0.3 -0.0 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 0.1 0.2 0.4 0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.6 -0.5 -0.5 -0.4 -0.3 -0.7 -0.5 -0.2 0.1 BUND 0.6 0.4 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.2 -0.1 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 -0.1 -0.0 -0.0 -0.2 -0.7 -0.7 -0.3 -0.4 BUXL 0.6 0.2 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 0.2 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.2 -0.1 0.2 -0.5 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 -0.2 -0.2 -0.3 -0.7 -0.7 -0.5 -0.4 CAC -0.3 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -0.2 -0.2 0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 -1.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.4 0.0 -0.4 -0.6 -0.6 0.2 0.2 0.1 0.2 CAD -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 0.1 -0.2 -0.0 -0.2 -0.1 -0.1 0.3 -0.6 -0.1 -0.3 0.3 -0.2 -0.0 -0.2 CANOLA 0.1 0.0 0.3 -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 -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.4 0.2 -0.1 CHF 0.6 0.5 0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.2 -0.4 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.2 -0.1 0.2 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.5 0.2 -0.4 -0.1 -0.4 COCOA -0.2 -0.6 0.1 -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 0.0 -0.0 0.2 -0.0 -2.5 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 0.0 0.1 0.1 0.1 0.5 0.2 0.7 0.3 COFFEE -0.4 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.4 -0.1 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.5 -0.0 -2.7 0.0 0.0 0.2 -0.0 0.4 -0.0 0.4 0.1 0.2 0.6 0.6 -0.1 -0.4 0.2 -0.1 COPPER -0.6 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -1.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.3 0.0 -0.5 -0.2 0.4 0.3 0.1 0.6 0.4 CORN 0.1 -0.6 -0.2 -0.0 -0.0 -0.1 -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 -0.2 -0.1 -0.3 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 -0.0 -0.5 -0.3 -0.3 -0.4 -0.3 -0.0 COTTON2 -0.1 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.0 -0.2 0.1 -0.6 -0.3 -0.3 0.2 -0.1 CRUDE_W -0.6 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 0.1 -0.2 0.5 -0.2 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.2 -0.2 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.5 -0.1 -0.3 -0.0 -0.3 0.6 0.7 0.7 0.7 DAX -0.4 -0.5 -0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.2 -0.2 1.3 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.4 -0.1 -0.3 -0.6 -0.4 0.3 0.1 -0.2 0.2 DOW -0.2 0.1 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.2 -0.0 -1.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.5 0.4 0.6 0.2 -0.0 0.5 -0.0 0.2 -0.1 DX -0.4 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.3 -0.2 0.5 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.1 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.9 -0.5 -0.6 -0.1 0.1 -0.3 0.2 -0.3 0.3 EUR 0.1 0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.4 0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 0.1 -0.1 0.1 2.7 0.0 0.1 0.0 0.1 -0.0 0.1 -0.4 0.5 0.6 0.5 0.3 0.1 -0.6 -0.0 -0.6 EURIBOR-ICE 0.6 0.6 0.0 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.0 0.2 1.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 0.1 -0.1 -0.7 -0.7 -0.3 0.0 EUROSTX -0.6 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.5 -0.6 -0.5 0.0 0.0 -0.5 -0.0 FEEDCOW -0.6 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 0.1 -0.4 -0.1 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -1.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -1.1 -0.5 -0.6 -0.2 0.0 0.0 0.7 0.3 0.7 GASOIL -0.6 -0.1 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.2 0.4 -0.1 -0.1 -0.0 0.2 -0.0 0.1 -0.1 -0.0 -0.2 0.1 -0.2 0.6 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.1 -0.1 -0.5 -0.5 -0.7 -0.7 GASOLINE -0.4 -0.0 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 0.1 -0.2 0.4 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.2 0.2 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 1.1 0.1 0.2 0.2 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini -0.5 -0.6 0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.2 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 0.2 -0.5 0.3 -0.1 -0.3 -0.3 -0.6 GBP -0.2 0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.4 -0.2 0.3 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 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 0.3 0.5 0.6 0.2 -0.7 0.2 -0.4 GOLD_micro -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.3 -0.0 0.4 0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.1 0.1 -0.0 0.3 0.0 -0.6 0.0 -0.0 0.1 -0.0 0.3 0.0 -0.7 0.3 0.6 0.6 0.5 0.3 -0.2 0.6 0.1 HEATOIL -0.6 -0.0 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.2 -0.2 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.2 -0.0 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.2 -0.2 0.1 -0.4 -0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.6 0.3 -0.2 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 0.4 0.4 0.4 0.0 -0.0 0.1 -0.0 0.1 -1.1 0.0 0.1 -0.0 0.1 -0.0 0.0 1.1 0.2 -0.0 -0.2 -0.4 -0.1 -0.2 -0.0 0.5 JPY 0.6 0.6 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.3 0.2 2.7 0.0 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.5 0.6 0.5 -0.1 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.6 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.1 -0.2 0.1 -0.1 0.4 0.1 0.4 0.4 -0.1 -0.1 0.0 -0.3 0.0 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.1 0.2 0.6 0.2 -0.6 -0.1 -0.2 0.1 0.1 LIVECOW -0.4 0.3 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.2 0.3 0.0 0.2 0.1 0.2 0.2 0.2 0.1 0.2 -0.2 0.3 -0.1 -1.6 0.0 -0.2 0.1 -0.1 0.2 -0.0 0.8 -0.5 -0.2 0.6 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.3 0.0 NaN -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.6 0.7 0.4 -0.6 0.1 -0.2 0.3 -0.1 MILK -0.1 -0.0 0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.3 -0.0 -0.0 -0.0 0.1 -0.3 -0.4 -0.4 -0.4 0.1 0.1 -0.0 0.1 0.0 2.4 0.0 -0.0 0.1 -0.0 0.0 -0.0 -1.1 0.1 0.3 0.4 0.6 -0.2 -0.7 -0.0 -0.7 MXP -0.5 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 1.1 -0.5 -0.6 -0.4 -0.6 0.6 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.2 0.0 -0.1 0.1 -0.1 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 -2.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.4 -0.1 -0.6 -0.1 0.1 0.1 0.2 -0.2 0.2 NIKKEI -0.6 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.0 0.2 0.2 0.2 0.2 -0.0 0.0 -0.2 0.1 -0.1 -1.4 -0.0 -0.1 0.0 -0.1 0.1 -0.0 1.1 -0.5 -0.6 -0.4 -0.3 0.3 -0.1 0.0 -0.2 NZD -0.6 -0.4 0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.3 -0.6 -0.5 0.1 0.3 -0.2 0.2 0.0 OAT 0.6 0.3 -0.2 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.1 0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.6 -0.4 -0.3 -0.4 -0.4 -0.7 -0.7 -0.3 -0.1 OATIES 0.3 -0.5 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.0 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 -0.0 -0.0 -0.1 0.2 -0.3 0.0 0.2 -0.0 0.5 0.3 OJ -0.4 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 -0.1 0.5 -0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 -0.0 -2.7 0.0 0.0 0.2 -0.0 0.4 -0.0 0.8 0.2 0.1 0.2 0.6 0.4 0.3 0.7 0.7 PALLAD -0.5 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 -0.2 0.3 0.0 -0.7 -0.7 -0.7 -0.7 PLAT -0.5 -0.3 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.9 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 -0.1 0.2 0.3 -0.5 -0.3 -0.2 0.1 REDWHEAT -0.1 -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.1 -0.5 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -0.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.8 0.3 -0.1 -0.6 0.2 -0.6 -0.7 -0.4 -0.6 RICE 0.3 -0.5 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.1 0.5 0.0 0.1 -0.1 0.4 0.4 0.4 0.0 0.0 0.1 0.3 0.1 -1.4 0.0 0.0 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.4 -0.7 -0.3 ROBUSTA -0.4 -0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.3 -0.1 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.1 0.2 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL 0.1 0.2 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.0 0.3 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 0.1 -0.0 0.1 0.0 -0.0 0.1 0.6 0.4 0.1 0.1 -0.7 -0.0 -0.7 SHATZ 0.6 0.6 0.4 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 -0.2 0.2 0.9 0.0 0.0 0.0 0.1 -0.0 0.0 -1.1 0.1 0.2 0.2 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.6 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.2 0.0 0.3 0.1 -0.2 0.3 0.2 SMI -0.6 -0.4 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.4 -0.1 0.5 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 -0.2 0.4 -0.2 1.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.5 0.5 0.6 -0.0 0.5 0.2 0.1 -0.2 -0.0 SOFR 0.4 0.6 0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 0.0 0.2 -0.5 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.1 0.0 0.1 0.2 0.4 -0.5 0.7 0.2 SOYBEAN -0.0 -0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.4 -0.4 -0.3 -0.3 -0.7 -0.1 -0.7 SOYMEAL 0.5 -0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 -0.0 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.5 0.2 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.4 -0.6 0.0 -0.2 -0.3 -0.4 0.1 -0.1 SP400 0.1 -0.1 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -1.2 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 0.2 0.6 0.2 -0.0 0.2 -0.3 0.0 -0.7 SP500_micro -0.6 -0.6 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.0 0.1 -0.2 0.3 -0.1 -2.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.6 -0.1 -0.5 0.0 0.2 0.4 0.1 -0.0 0.1 SUGAR11 -0.5 0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.3 0.2 -0.6 0.4 -0.3 -0.0 0.7 0.1 0.7 US10 0.4 0.5 0.5 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.3 0.0 0.1 0.0 0.1 0.0 0.1 -0.4 0.2 0.1 0.0 0.1 0.2 -0.7 0.6 0.1 US10U 0.4 0.4 0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 0.1 0.2 -0.5 0.7 0.4 US2 0.6 0.6 0.6 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 -0.1 0.2 1.9 0.0 0.1 0.0 0.1 -0.0 0.1 -1.1 0.5 0.4 0.2 0.1 0.1 -0.7 0.3 -0.4 US20 0.4 0.3 0.5 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 0.1 -0.2 0.0 0.0 0.1 0.1 0.0 0.0 0.2 0.0 -0.1 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.3 0.2 0.5 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.1 0.1 0.0 0.0 -0.1 -0.1 -0.3 -0.2 0.1 0.1 -0.3 0.5 0.7 US5 0.5 0.6 0.6 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 -0.1 0.2 0.9 0.0 0.1 0.0 0.1 0.0 0.1 -0.7 0.3 0.2 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 1.0 1.0 1.0 0.0 0.2 -0.1 0.2 -0.2 0.1 0.1 -0.5 0.2 -0.9 0.1 -0.1 -0.6 -0.6 -0.6 -0.6 0.1 -0.0 0.3 -0.3 0.2 NaN 0.0 0.2 -0.1 0.2 -0.2 0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.2 -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 -0.2 -0.6 0.1 -0.5 -0.7 -0.5 -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 -20.0 -5.1 4.9 -4.4 -8.6 -2.7 -8.7 -0.3 -6.9 -7.3 -3.9 -20.0 -4.1 -19.7 -1.5 -2.1 -2.7 -2.3 -2.4 -10.8 -1.1 -20.0 -1.4 -20.0 3.7 -4.5 -2.6 -0.6 -9.2 -0.0 -9.3 -0.0 -15.5 -20.0 -5.1 7.3 9.7 -4.9 11.4 -0.8 BITCOIN 8.5 -20.0 -15.0 -5.3 -5.4 -3.1 -4.9 -1.1 -5.5 -12.3 5.1 -5.5 10.5 -4.2 -4.7 -6.0 -7.2 -6.7 -7.1 -3.7 2.5 -20.0 10.4 -8.4 -20.0 -1.6 -16.3 2.5 -9.8 7.8 -3.9 -3.0 -20.0 20.0 9.8 9.1 -18.9 -7.8 -6.4 -1.2 BOBL 20.0 15.3 2.9 2.8 5.4 1.1 6.1 -0.2 4.6 7.9 -5.3 10.5 -6.0 10.6 6.8 -20.0 -14.6 -20.0 -18.7 9.2 1.0 20.0 -4.6 17.2 4.4 2.9 5.1 0.8 6.6 -0.5 5.3 -20.0 -0.2 3.0 2.8 -5.3 -20.0 -18.7 -11.4 -12.0 BTP 15.1 9.1 -1.0 4.7 9.1 1.9 10.3 -0.3 7.7 14.1 4.9 17.7 12.1 18.1 13.7 1.1 4.0 1.5 2.4 12.0 7.6 14.9 7.9 17.0 -20.0 5.2 3.6 3.6 6.5 3.8 7.2 11.3 -20.0 -16.0 -11.8 -8.4 -19.6 -16.1 -5.5 3.7 BUND 20.0 11.8 2.6 3.1 6.0 1.3 6.8 -0.2 5.1 9.3 -4.9 11.9 -2.7 11.5 8.0 6.5 1.0 3.4 1.0 9.4 2.1 20.0 -2.9 17.3 1.0 3.3 5.9 1.3 7.4 0.1 5.9 6.7 -5.4 -0.5 -0.4 -5.2 -20.0 -20.0 -10.3 -12.2 BUXL 19.2 6.8 0.8 3.7 7.1 1.5 8.0 -0.2 6.0 12.2 -6.9 14.2 -2.4 10.9 5.2 -0.6 -2.5 -1.9 -2.8 7.7 0.5 20.0 -4.5 17.5 -3.6 3.4 8.7 1.3 9.7 0.1 6.9 1.0 -8.0 -5.1 -5.9 -9.0 -20.0 -20.0 -15.3 -11.5 CAC -9.9 -18.7 -20.0 1.2 -11.8 3.8 -9.4 4.8 -3.6 -13.5 -6.3 -14.9 5.4 -15.7 -15.2 -8.4 -1.7 -5.9 -3.0 -17.7 -8.9 -20.0 1.9 -20.0 -7.9 -5.1 -8.6 -2.1 -7.8 1.3 -6.4 7.2 0.8 -10.8 -20.0 -20.0 6.9 5.4 2.6 7.2 CAD -13.1 -1.6 -3.1 -4.8 -9.3 -3.0 -9.5 -0.4 -7.5 13.6 -20.0 -15.9 -19.0 -18.6 -17.8 -4.8 -3.3 -4.4 -3.8 -14.0 -11.8 -7.9 -11.7 -16.1 -1.3 -7.4 6.9 -5.6 -4.4 -4.9 -8.8 -1.6 13.4 -20.0 -4.1 -8.0 8.2 -6.6 -1.5 -4.7 CANOLA 4.0 0.4 9.6 -2.2 -1.6 -1.5 -2.0 -1.0 -2.2 -6.9 -3.5 -6.4 -6.0 -3.8 -3.1 -9.8 -10.2 -12.5 -12.9 -3.3 -3.1 -12.7 -4.8 -6.1 -15.5 -1.7 -3.5 -1.9 -2.6 -2.6 -1.6 -20.0 -14.2 -1.7 -4.0 -3.0 -1.3 -11.9 6.7 -4.3 CHF 20.0 14.8 9.0 -3.2 -6.3 -2.0 -6.4 -0.2 -5.1 15.4 -8.8 16.8 -10.1 14.8 11.3 -16.1 -16.7 -17.0 -16.8 12.9 0.9 20.0 -5.0 20.0 4.8 4.3 13.5 0.8 12.2 -0.9 8.3 -20.0 20.0 20.0 20.0 15.1 7.5 -11.5 -4.0 -12.2 COCOA -6.0 -18.1 3.4 -1.9 -1.4 -1.4 -1.8 -0.8 -1.9 -1.7 2.0 -3.9 3.4 -4.5 -3.4 20.0 17.4 20.0 20.0 -1.3 3.5 -2.4 7.9 -2.7 -18.9 0.4 -0.2 4.8 -0.9 9.7 -0.9 20.0 0.9 3.2 2.2 3.2 16.2 5.8 20.0 10.0 COFFEE -11.9 -2.7 8.3 -5.2 -3.8 -3.7 -4.8 -2.3 -5.2 4.5 13.4 -11.0 14.1 -3.8 9.8 2.6 6.4 3.9 5.6 8.9 16.7 -5.4 17.1 -1.5 -20.0 2.3 1.8 7.9 -3.1 10.4 -2.3 7.2 3.0 5.4 17.2 20.0 -2.1 -10.6 5.4 -3.8 COPPER -20.0 -20.0 -6.8 -2.8 -2.9 -1.7 -2.6 -0.6 -2.9 -6.4 -0.8 -9.0 1.6 -9.2 -7.6 -2.5 -2.6 -1.1 -1.6 -9.0 -0.8 -11.4 4.1 -13.0 -11.0 -2.5 -1.9 -0.3 -2.6 1.1 -3.3 5.6 0.1 -14.8 -5.6 10.9 8.2 2.5 17.7 12.3 CORN 4.1 -20.0 -5.2 -3.2 -2.3 -2.2 -2.9 -1.4 -3.2 -5.6 -10.1 -6.5 -11.0 -10.2 -10.5 -17.4 -13.6 -17.4 -16.8 -14.8 -14.1 -5.6 -12.8 -10.7 -8.1 -3.6 -0.6 -3.3 -1.4 -2.9 -2.6 -20.0 1.8 -0.3 -14.5 -8.4 -10.1 -10.8 -8.3 -1.4 COTTON2 -4.4 -7.0 -20.0 -4.5 -3.2 -3.2 -4.2 -2.0 -4.5 -14.1 -16.3 -14.5 -13.6 -15.1 -16.4 -11.6 -1.4 -7.9 -4.1 -20.0 -20.0 -14.1 -17.8 -16.0 -20.0 -5.6 -5.1 -5.1 -5.1 -2.4 -5.0 -7.9 -2.0 -5.3 2.9 -20.0 -8.3 -9.0 5.6 -2.0 CRUDE_W -20.0 -4.9 -10.5 -5.0 -10.2 -2.0 -9.3 0.7 -7.7 -19.1 3.9 -20.0 12.9 -13.9 -5.8 12.9 12.7 13.8 13.4 -9.5 -0.7 -20.0 5.6 -19.8 -3.0 -6.0 -10.0 -3.1 -9.6 0.6 -8.3 9.6 -6.1 -8.6 -1.5 -8.6 19.0 20.0 20.0 20.0 DAX -13.5 -14.2 -12.4 1.1 -11.3 3.7 -8.9 4.6 -3.4 -12.0 6.2 -12.6 11.8 -9.7 -7.8 -8.1 -10.9 -9.4 -10.4 -6.7 1.7 -20.0 8.6 -15.9 9.6 -2.6 -14.6 1.8 -11.7 5.3 -6.7 -7.8 -4.2 -7.7 -20.0 -12.9 9.4 4.0 -5.9 5.1 DOW -5.2 1.6 -7.6 1.0 -9.6 3.1 -7.6 3.9 -2.9 -7.7 6.5 -6.9 10.7 -1.4 3.3 -9.7 -11.2 -10.9 -11.2 3.5 5.5 -12.9 7.6 -2.2 -9.6 2.4 -7.9 3.3 -4.8 4.5 -0.1 -8.7 15.3 20.0 6.5 -0.0 13.8 -0.7 5.3 -3.6 DX -12.2 -10.0 -5.3 -4.0 -7.7 -2.5 -7.8 -0.3 -6.2 -18.6 11.2 -16.4 14.2 -15.5 -10.8 7.1 7.1 7.4 7.2 -8.2 0.6 -20.0 6.2 -16.0 -20.0 -4.4 -15.5 -0.1 -12.0 2.7 -8.4 16.7 -19.7 -20.0 -3.1 1.5 -8.9 5.5 -9.8 8.5 EUR 3.0 5.9 3.8 -4.3 -8.4 -2.7 -8.5 -0.3 -6.8 15.9 -8.5 8.3 -10.4 11.1 9.8 -7.4 -7.2 -7.5 -7.3 4.2 -0.0 12.2 -3.3 7.1 20.0 3.4 14.9 1.4 8.8 -0.1 5.1 -8.0 20.0 20.0 14.7 10.4 3.1 -17.6 -0.3 -16.9 EURIBOR-ICE 20.0 19.1 0.4 2.3 4.5 1.0 5.1 -0.1 3.8 5.7 -2.4 8.6 0.8 9.2 6.7 -1.4 -4.4 -3.4 -3.9 10.1 3.5 16.0 0.4 15.8 12.3 2.7 2.7 1.0 4.4 0.3 4.2 -1.4 -6.0 3.6 3.9 -4.1 -20.0 -20.0 -8.6 1.3 EUROSTX -18.8 -17.5 -17.9 1.1 -10.7 3.5 -8.5 4.4 -3.3 -11.0 6.1 -13.4 11.2 -12.9 -10.9 -4.0 -2.7 -5.0 -4.2 -10.1 -0.3 -20.0 8.2 -18.8 -1.7 -3.5 -10.4 0.8 -9.7 4.5 -6.9 5.0 -0.2 -14.6 -20.0 -15.1 0.0 1.0 -14.2 -0.1 FEEDCOW -17.9 -9.4 -3.2 -5.8 -4.2 -4.1 -5.4 -2.5 -5.8 -18.5 -2.4 -20.0 -4.9 -19.0 -7.7 6.8 -20.0 -4.5 -14.6 -16.8 -8.3 -20.0 -3.3 -20.0 -7.6 -5.1 -20.0 -2.6 -15.7 -0.4 -9.4 -20.0 -20.0 -20.0 -6.1 1.2 0.9 20.0 8.0 20.0 GASOIL -18.1 -2.6 -13.7 -4.5 -9.4 -1.8 -8.5 0.6 -7.0 -17.6 -2.0 -18.3 10.4 -13.3 -9.9 -0.3 10.3 -0.1 4.0 -10.8 -4.2 -20.0 3.5 -18.4 4.6 -5.0 -10.9 -2.2 -10.5 0.8 -8.2 0.1 -3.6 -5.8 4.2 -3.7 -15.1 -15.4 -20.0 -20.0 GASOLINE -13.7 -1.5 -11.0 -4.8 -9.8 -1.9 -8.9 0.7 -7.3 -17.8 4.6 -18.0 11.8 -10.1 -7.7 20.0 20.0 20.0 20.0 -6.5 -0.4 -17.5 6.6 -12.3 -20.0 -5.1 -10.2 -2.4 -8.8 2.2 -6.9 20.0 6.0 7.0 5.0 -4.4 20.0 20.0 20.0 20.0 GAS_US_mini -14.3 -20.0 16.1 -2.8 -5.8 -1.1 -5.2 0.4 -4.3 -6.1 -11.3 -10.9 -11.7 -12.5 -11.7 -20.0 -20.0 -20.0 -20.0 -13.8 -11.1 -10.5 -15.8 -14.9 20.0 -3.4 -1.6 -2.7 -3.5 -3.5 -4.2 -20.0 0.5 4.9 -14.0 10.6 -4.4 -10.4 -10.3 -17.5 GBP -6.9 3.7 6.7 -4.6 -9.0 -2.9 -9.1 -0.4 -7.2 -19.0 14.7 -17.1 8.3 -0.7 13.6 -0.5 -0.8 -0.7 -0.8 7.1 9.1 -17.6 7.6 -3.7 -0.4 4.0 -13.7 5.6 -9.7 4.9 -2.1 3.1 -20.0 9.0 16.7 20.0 6.2 -20.0 5.0 -13.4 GOLD_micro -0.1 0.4 -0.3 -3.6 -3.7 -2.2 -3.4 -0.7 -3.8 -2.1 9.5 -1.8 10.2 3.1 4.0 -11.5 -13.3 -11.8 -12.4 6.4 10.1 -0.2 12.1 3.7 -4.6 1.0 -4.4 4.1 -0.6 7.0 0.4 -12.9 10.7 20.0 20.0 14.1 8.0 -4.7 17.2 1.9 HEATOIL -17.6 -0.7 -11.5 -4.8 -9.8 -1.9 -8.9 0.7 -7.3 -18.6 -7.6 -19.6 4.6 -14.0 -10.5 -4.6 8.2 -4.6 0.2 -11.8 -6.5 -20.0 -0.3 -19.3 -20.0 -6.1 -11.1 -4.4 -9.9 -0.8 -7.8 -4.9 -7.6 -6.9 1.8 -12.7 -0.3 6.3 -10.1 2.4 JGB-SGX-mini 17.4 8.9 -5.3 2.1 4.0 0.8 4.5 -0.1 3.4 4.4 -4.1 4.4 -1.6 2.1 -1.0 18.8 18.9 20.0 19.5 1.5 -1.0 12.3 -1.2 6.3 -8.0 0.6 8.0 -0.8 6.2 -1.2 3.1 20.0 7.3 -0.8 -5.2 -11.3 -3.7 -4.9 -0.4 15.0 JPY 20.0 20.0 4.9 -1.8 -3.5 -1.1 -3.6 -0.1 -2.8 7.6 -6.3 9.4 -8.9 8.5 2.4 -13.3 -16.0 -14.7 -15.2 6.9 -3.1 20.0 -9.3 18.9 20.0 1.7 6.1 -0.8 6.4 -2.1 4.6 -20.0 20.0 20.0 16.8 -3.2 -20.0 -15.2 -20.0 -14.4 LEANHOG 20.0 -2.9 -20.0 -3.6 -2.6 -2.5 -3.4 -1.6 -3.6 -0.6 -7.6 8.2 -6.4 4.9 -7.3 20.0 4.9 20.0 20.0 -8.0 -11.7 4.0 -9.5 1.4 3.7 -2.3 0.2 -3.2 1.1 -2.3 0.4 20.0 10.2 17.8 5.1 -17.7 -2.8 -7.4 1.8 3.3 LIVECOW -13.9 8.1 12.6 -6.4 -4.6 -4.5 -5.9 -2.8 -6.4 -19.5 17.2 -15.4 9.2 2.8 14.5 6.3 9.4 10.6 12.4 10.1 13.9 -20.0 10.8 -6.5 -12.2 3.4 -18.8 5.5 -12.1 5.7 -3.0 15.8 -20.0 -7.5 20.0 20.0 -0.3 20.0 4.4 20.0 LUMBER-new 19.5 -1.1 -14.8 -3.3 -2.4 -2.3 -3.0 -1.3 -3.3 9.8 -8.9 10.2 -9.3 3.3 -6.1 -16.5 -17.3 -16.8 -17.3 -4.9 -10.4 8.0 -9.7 3.7 NaN -1.4 3.8 -4.4 3.3 -4.1 2.0 -20.0 20.0 18.9 11.3 -17.2 3.1 -4.6 8.4 -1.7 MILK -2.6 -1.4 20.0 -4.8 -3.4 -3.3 -4.4 -2.1 -4.8 -4.7 11.3 -1.7 -0.4 -3.0 11.5 -14.5 -20.0 -18.3 -20.0 9.4 11.9 -4.9 2.4 1.9 18.3 3.4 -3.9 4.8 -2.9 0.4 -0.0 -20.0 6.0 10.2 12.0 20.0 -4.7 -20.0 -0.4 -20.0 MXP -16.3 -11.0 -20.0 -2.2 -4.2 -1.4 -4.3 -0.2 -3.4 -10.6 -5.9 -11.4 1.4 -9.1 -8.3 10.4 14.9 11.5 13.0 -13.3 -8.3 -20.0 -0.2 -18.4 -20.0 -3.5 -6.1 -2.2 -5.8 -0.0 -4.5 20.0 -20.0 -19.2 -12.1 -20.0 17.6 12.8 20.0 19.6 NASDAQ_micro -20.0 -20.0 -6.8 0.7 -7.1 2.3 -5.6 2.9 -2.2 -6.7 5.3 -8.7 8.6 -7.1 1.4 -8.5 -10.7 -10.3 -10.7 -2.4 4.5 -16.5 7.9 -11.5 -17.5 -0.3 -3.5 2.0 -4.3 3.4 -3.1 -7.7 -3.0 -20.0 -2.9 2.9 3.5 6.2 -4.6 5.0 NIKKEI -20.0 -17.5 -20.0 0.7 -7.4 2.4 -5.9 3.0 -2.3 -5.1 4.4 -8.0 7.5 -7.0 -3.0 12.2 10.5 11.8 10.5 -4.1 0.7 -19.4 3.8 -11.5 -10.5 -1.3 -8.9 0.8 -7.5 2.3 -4.4 20.0 -20.0 -20.0 -12.7 -10.8 8.4 -2.9 0.9 -6.5 NZD -19.3 -13.2 2.3 -3.6 -7.0 -2.2 -7.0 -0.3 -5.6 14.9 -7.8 -8.9 -4.0 -13.3 -8.0 -0.7 0.1 -0.3 -0.1 -12.6 -5.8 -6.9 -3.4 -15.8 0.4 -4.8 1.6 -2.1 -2.5 -0.8 -5.9 4.4 10.9 -20.0 -15.5 2.2 8.7 -5.2 7.0 0.1 OAT 18.3 7.9 -6.2 3.3 6.4 1.4 7.2 -0.2 5.4 12.2 -7.6 13.4 -3.4 11.7 3.1 0.5 3.8 0.7 2.0 4.4 -2.6 16.2 -5.2 12.8 2.3 2.2 6.3 -0.2 7.3 -0.8 5.6 10.8 -16.7 -9.3 -12.8 -12.6 -20.0 -20.0 -8.0 -2.6 OATIES 10.8 -16.8 -5.5 -2.7 -1.9 -1.9 -2.5 -1.1 -2.7 -4.4 -7.5 -2.8 -8.3 -6.3 -7.9 5.4 1.3 2.8 2.7 -8.7 -9.5 -2.7 -8.1 -4.9 -20.0 -2.4 -0.5 -2.2 -0.9 -1.6 -1.6 -0.2 -2.7 5.2 -10.4 1.0 5.6 -0.8 16.3 9.2 OJ -13.4 -3.9 -3.9 -4.6 -3.3 -3.2 -4.3 -2.0 -4.6 1.6 10.9 -11.7 13.6 -5.1 6.5 7.3 11.8 8.5 9.3 6.8 16.4 -3.8 20.0 -2.5 -20.0 1.8 1.7 6.4 -1.4 11.9 -1.6 14.5 10.1 2.9 6.6 20.0 12.6 10.3 20.0 20.0 PALLAD -14.7 4.8 4.5 -2.6 -2.7 -1.5 -2.4 -0.5 -2.7 -4.5 -7.2 -7.6 -8.3 -7.6 -7.3 -1.7 -2.1 -1.8 -1.9 -5.2 -4.9 -7.9 -8.0 -6.9 13.9 -2.8 -3.3 -2.5 -3.4 -3.0 -3.1 6.0 1.0 -4.7 10.4 0.2 -20.0 -20.0 -20.0 -20.0 PLAT -15.2 -9.9 4.2 -3.8 -3.9 -2.2 -3.5 -0.8 -3.9 -9.6 -2.6 -10.0 -4.2 -10.0 -7.4 -5.1 -4.4 -5.2 -4.9 -5.8 -0.9 -12.9 0.4 -10.1 6.8 -3.6 -6.8 -1.5 -5.0 -0.1 -4.5 1.4 0.5 -4.4 5.6 8.7 -14.9 -10.3 -6.0 2.1 REDWHEAT -2.6 -20.0 -1.7 -4.4 -3.2 -3.1 -4.1 -1.9 -4.4 7.3 -11.5 -4.9 -13.1 -13.4 -14.3 -10.7 -5.0 -10.0 -7.7 -17.9 -14.2 -1.9 -13.8 -12.6 -5.8 -4.2 1.3 -3.1 -0.4 -2.7 -3.0 -14.2 11.5 -3.0 -20.0 5.2 -18.6 -20.0 -12.9 -18.1 RICE 8.5 -16.5 2.5 -5.1 -3.7 -3.6 -4.7 -2.2 -5.1 10.5 10.7 13.4 13.3 2.5 7.8 -2.6 20.0 20.0 20.0 0.7 4.2 10.2 9.7 5.4 -10.8 2.9 3.3 2.7 5.5 3.1 4.7 20.0 20.0 20.0 19.6 20.0 -20.0 -11.0 -20.0 -9.7 ROBUSTA -12.0 -1.1 13.4 -3.3 -2.3 -2.3 -3.0 -1.4 -3.3 -2.0 10.0 -6.8 10.6 0.4 7.7 20.0 20.0 20.0 20.0 10.6 18.6 -5.6 20.0 0.4 -20.0 3.1 -0.1 6.3 -1.4 8.6 0.3 20.0 -5.1 5.5 20.0 20.0 2.8 -5.7 9.5 2.6 RUSSELL 3.9 6.5 -0.5 0.7 -7.5 2.4 -5.9 3.1 -2.3 -7.9 5.8 -3.7 7.5 1.2 4.0 -5.8 -6.8 -6.7 -6.8 4.6 4.5 -12.3 3.7 -0.4 -0.9 2.4 -5.2 2.2 -2.8 1.8 0.8 -0.9 2.7 20.0 12.8 4.0 4.2 -20.0 -1.2 -20.0 SHATZ 20.0 20.0 12.6 2.2 4.3 0.9 4.9 -0.1 3.7 5.9 -4.5 8.3 -6.4 8.5 6.6 -20.0 -20.0 -20.0 -20.0 8.8 0.5 19.0 -6.3 15.7 7.0 2.4 4.2 0.4 5.1 -1.1 4.2 -20.0 6.1 6.9 7.5 -3.4 -20.0 -15.2 -17.6 -11.2 SILVER-mini -20.0 -11.3 4.7 -3.1 -3.2 -1.9 -2.9 -0.6 -3.2 -8.8 4.5 -9.4 5.5 -8.8 -2.7 -5.6 -6.4 -5.8 -6.1 -3.5 4.0 -13.0 6.5 -10.3 2.2 -2.5 -4.7 0.2 -4.3 1.9 -4.0 -1.4 -7.5 -7.3 1.3 9.7 1.7 -6.2 8.0 5.9 SMI -20.0 -13.3 10.2 1.2 -12.3 4.0 -9.8 5.0 -3.8 -14.8 13.5 -12.1 14.8 -5.5 9.5 -3.1 0.6 -3.1 -1.5 2.3 12.0 -20.0 13.4 -15.1 12.9 4.6 -8.9 8.1 -6.3 8.6 -0.5 10.3 20.0 20.0 -0.3 14.1 5.2 2.3 -4.7 -0.5 SOFR 13.6 17.9 15.0 3.3 6.3 1.3 7.1 -0.2 5.3 8.4 3.5 11.3 -0.8 12.5 12.3 -0.3 -1.2 -1.4 -1.5 14.6 7.3 20.0 0.4 20.0 -4.0 4.1 6.3 2.5 7.2 1.0 5.6 3.3 4.7 1.5 3.2 7.4 10.5 -13.9 20.0 4.6 SOYBEAN -0.3 -16.3 -8.6 -2.7 -1.9 -1.9 -2.5 -1.2 -2.7 -4.8 -8.8 -6.0 -7.0 -8.3 -8.9 -5.0 4.7 -2.9 -0.3 -12.3 -10.6 -6.5 -7.9 -10.4 -17.7 -3.2 -0.6 -2.6 -1.5 -1.8 -2.6 0.2 -3.3 -12.0 -13.0 -8.2 -7.9 -20.0 -2.7 -20.0 SOYMEAL 15.3 -14.3 -4.6 -3.0 -2.1 -2.1 -2.8 -1.3 -3.0 4.7 -8.6 4.9 -8.6 -4.3 -7.7 -0.7 6.2 3.5 3.8 -7.6 -8.5 4.8 -7.5 -2.1 -20.0 -2.0 2.8 -2.0 1.9 -1.4 -0.5 4.7 20.0 6.5 -6.1 5.4 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 3.8 3.6 -2.3 -1.7 -1.6 -2.2 -1.0 -2.3 -7.4 -6.5 -8.1 -7.5 -7.5 -6.4 5.1 1.0 2.8 0.5 -6.4 -5.5 -13.4 -6.4 -10.3 -18.2 -2.4 -4.2 -2.0 -4.3 -1.8 -3.4 -2.9 -16.2 -18.2 0.4 -6.7 -8.6 -11.9 1.8 -2.0 SP400 1.6 -3.5 -9.3 0.9 -8.6 2.8 -6.8 3.5 -2.6 -8.4 6.4 -5.2 9.0 -1.7 1.2 -4.7 -5.7 -5.5 -5.7 1.6 3.7 -13.3 5.5 -3.0 -9.1 2.2 -7.7 2.9 -4.4 3.4 0.0 0.9 8.3 20.0 6.0 -1.1 5.8 -9.3 0.9 -20.0 SP500_micro -20.0 -20.0 -5.8 1.0 -9.8 3.2 -7.8 4.0 -3.0 -9.0 10.2 -11.1 12.9 -7.1 5.1 -11.3 -12.7 -13.0 -13.1 0.4 8.9 -20.0 12.9 -11.3 -16.9 0.8 -7.3 4.2 -6.9 5.9 -3.7 -11.4 -4.1 -14.1 1.0 5.6 12.6 3.3 -0.2 2.3 SUGAR11 -16.3 9.4 -6.3 -3.9 -2.8 -2.8 -3.6 -1.7 -3.9 -10.9 -11.2 -10.3 -9.6 -8.9 -8.9 -4.4 7.7 -2.3 2.0 -8.5 -9.9 -13.6 -8.7 -10.8 -20.0 -3.1 -6.4 -4.1 -5.2 -3.8 -3.9 5.3 7.9 -17.4 13.8 -9.1 -1.4 20.0 2.8 20.0 US10 13.3 15.7 16.0 2.7 5.1 1.1 5.8 -0.2 4.3 6.9 1.4 9.0 -3.9 9.8 9.4 -7.9 -7.5 -7.4 -7.3 9.9 4.1 19.6 -2.0 15.2 2.5 3.1 5.8 1.8 6.4 0.4 4.7 -7.0 7.1 1.6 1.2 4.5 6.1 -20.0 16.9 3.5 US10U 12.4 13.2 15.8 3.5 6.8 1.4 7.7 -0.2 5.8 9.5 0.3 12.1 -5.1 12.9 12.2 -3.4 -2.9 -4.1 -3.8 11.3 4.3 20.0 -3.2 18.1 0.1 4.1 7.8 2.3 8.7 0.4 6.2 0.0 4.2 -2.2 -2.0 4.3 6.5 -16.5 20.0 13.0 US2 17.0 20.0 20.0 2.6 4.9 1.0 5.6 -0.1 4.2 6.6 -2.7 8.8 -7.7 9.5 8.1 -20.0 -20.0 -20.0 -20.0 10.3 2.4 20.0 -5.2 17.1 14.3 2.8 6.5 1.0 6.7 -0.5 4.7 -20.0 19.5 12.8 7.3 1.8 3.7 -20.0 7.7 -10.9 US20 10.9 9.0 14.8 2.4 4.6 1.0 5.2 -0.1 3.9 6.2 1.0 7.9 -1.3 8.0 7.9 -1.0 -0.8 -0.9 -0.8 6.6 2.9 15.7 -1.3 11.0 -1.5 2.8 5.3 1.9 5.8 0.7 4.0 4.4 1.2 -3.4 -2.9 4.0 5.3 -10.1 20.0 20.0 US30 9.1 7.2 14.2 2.7 5.2 1.1 5.9 -0.2 4.4 7.0 -0.6 8.6 -2.8 7.7 7.5 -3.2 -4.9 -4.1 -4.6 5.7 2.0 15.6 -2.4 10.3 -0.9 2.9 6.4 2.0 6.7 0.6 4.4 -2.6 -2.8 -8.1 -6.1 1.8 2.1 -9.4 13.5 20.0 US5 14.7 19.3 17.0 2.8 5.4 1.1 6.1 -0.2 4.6 7.2 0.2 9.6 -6.2 10.6 9.8 -12.1 -10.6 -11.4 -10.8 11.5 4.3 20.0 -2.8 17.6 6.5 3.3 6.2 1.7 6.9 0.2 5.1 -12.7 11.3 5.8 4.0 4.6 6.4 -20.0 14.1 -3.4 VIX 20.0 20.0 20.0 1.6 14.0 -1.5 11.5 -3.2 6.2 5.9 -10.8 9.7 -16.2 8.0 -5.2 -20.0 -20.0 -20.0 -20.0 4.2 -1.6 20.0 -6.1 12.5 NaN 1.7 15.6 -1.7 12.6 -3.8 6.8 NaN NaN NaN NaN NaN -15.6 -20.0 NaN NaN WHEAT -5.5 -20.0 -1.6 -3.0 -2.2 -2.1 -2.8 -1.3 -3.0 5.3 -7.6 -4.4 -8.3 -9.2 -9.8 -16.0 -14.6 -16.1 -15.6 -13.4 -9.9 -1.3 -8.4 -9.6 1.3 -2.9 1.1 -1.9 -0.2 -1.4 -2.1 -20.0 9.7 -6.2 -17.8 3.3 -16.2 -20.0 -13.9 -20.0 End of report for caleb_strategy_v3