******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240905_213223 produced at 2024-09-05 22:06:16.092722 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.07 -0.15 0.0 0.51 -0.51 -0.07 -0.10 -17.34 60.0 -8 -12 caleb_strategy_v3 DX False False 0.03 0.00 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.03 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.20 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.07 0.0 0.31 -0.31 -0.08 -0.08 -1.72 8.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -31.04 59.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.0 0.06 -0.06 -0.02 -0.03 -20.46 26.0 -11 -13 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.05 0.0 0.10 -0.10 -0.06 -0.10 -1.68 3.0 -2 -3 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.04 0.0 0.87 -0.87 0.00 0.00 -0.85 19.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.04 0.0 0.09 -0.09 -0.02 -0.02 -1.73 4.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -0.98 999999999.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -5.13 12.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.03 0.0 999.00 -999.00 -0.03 -0.03 -4.96 999999999.0 -4 -4 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.96 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.05 -2.23 11.0 -5 -4 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.02 0.0 0.16 -0.16 -0.02 -0.02 -0.95 10.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.11 -0.02 0.0 0.12 -0.12 -0.11 -0.09 -0.86 7.0 -6 -5 caleb_strategy_v3 NASDAQ_micro False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.75 23.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.78 9.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.01 -1.90 8.0 -2 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.02 0.0 0.16 -0.16 -0.00 0.00 -6.93 51.0 -1 0 caleb_strategy_v3 SP400 False True 0.10 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.07 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.62 10.0 0 0 caleb_strategy_v3 EUROSTX False True 0.02 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.66 20.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 0.00 -1.35 36.0 -1 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 -0.01 0.0 0.10 -0.10 0.01 0.00 -0.99 9.0 1 0 caleb_strategy_v3 BTP False False 0.05 -0.09 -0.01 0.0 0.46 -0.46 -0.09 -0.09 -0.30 10.0 -2 -2 caleb_strategy_v3 SP500_micro False True 0.01 -0.02 -0.01 0.0 0.00 -0.02 -0.02 -0.02 -1.35 48.0 -2 -2 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.15 4.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.57 3.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.06 2.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.25 4.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.11 2.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.51 -0.51 0.00 0.00 -0.09 10.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 0.00 0.0 0.25 -0.25 -0.02 -0.01 0.10 68.0 -6 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.43 18.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.12 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.03 999999999.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.15 6.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.00 0.0 0.52 -0.52 0.03 0.03 0.15 17.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.02 0.01 0.0 0.64 -0.64 0.02 0.00 0.36 26.0 1 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.78 23.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.01 0.0 0.49 -0.49 0.00 0.00 0.28 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.01 0.0 0.12 -0.12 0.07 0.05 0.62 5.0 3 2 caleb_strategy_v3 US30 False False 0.05 0.19 0.01 0.0 0.28 -0.28 0.19 0.14 0.22 6.0 4 3 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.48 9.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.05 0.02 0.0 0.41 -0.41 0.05 0.02 0.79 17.0 2 1 caleb_strategy_v3 CHF False False 0.05 0.26 0.02 0.0 0.67 -0.67 0.26 0.26 0.37 13.0 5 5 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.96 3.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.02 0.02 0.0 0.46 -0.46 0.02 0.01 2.51 66.0 3 1 caleb_strategy_v3 AUD False False 0.02 0.14 0.03 0.0 0.44 -0.44 0.14 0.09 1.25 19.0 6 4 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.72 5.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.36 13.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.53 -0.53 0.04 0.04 0.68 13.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.67 -0.67 0.00 0.00 0.70 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.08 0.04 0.0 0.95 -0.95 0.08 0.08 0.94 25.0 2 2 caleb_strategy_v3 CAD False False 0.03 0.00 0.04 0.0 0.74 -0.74 0.00 0.00 1.64 29.0 0 0 caleb_strategy_v3 DAX False True 0.01 0.06 0.04 0.0 0.06 0.00 0.06 0.03 5.95 58.0 9 4 caleb_strategy_v3 NZD False False 0.02 0.00 0.04 0.0 0.45 -0.45 0.00 0.00 1.63 21.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.49 -0.49 0.00 0.00 5.25 56.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.08 9.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.05 0.0 0.13 -0.13 0.03 0.05 5.41 13.0 3 5 caleb_strategy_v3 EUR False False 0.05 0.14 0.06 0.0 0.67 -0.67 0.14 0.10 1.19 14.0 3 2 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.62 -0.62 0.03 0.03 3.23 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.30 0.0 0.56 -0.56 0.14 0.14 8.57 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.74 0.0 0.94 -0.94 0.00 0.00 7.92 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.41 0.0 0.00 0.00 0.00 0.00 16.88 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.7 Shocked risk 16.5 Sum abs risk 33.7 Leverage 4.24 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2901175.75, 'annual_cash_vol_target': 725293.9375, 'daily_cash_vol_target': 45330.87109375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6746 0.6172 9.8751 BITCOIN 1733.3808 56190.0000 3.0849 49.3577 BOBL 0.2345 119.4100 0.1964 3.1419 BTP 0.4862 119.7200 0.4062 6.4984 BUND 0.4799 134.2000 0.3576 5.7217 BUXL 1.2123 136.8200 0.8861 14.1774 CAC 59.8929 7443.5000 0.8046 12.8741 CAD 0.0026 0.7424 0.3449 5.5181 CANOLA 9.8110 600.3000 1.6343 26.1496 CHF 0.0057 1.1979 0.4754 7.6066 COCOA 198.7469 7091.0000 2.8028 44.8449 COFFEE 4.3646 243.4000 1.7932 28.6912 COPPER 0.0533 4.1365 1.2895 20.6323 CORN 5.3159 410.7500 1.2942 20.7071 COTTON2 1.0063 69.4700 1.4486 23.1777 CRUDE_W 1.2043 68.1200 1.7679 28.2862 DAX 139.1855 18602.0000 0.7482 11.9717 DOW 272.7036 40790.0000 0.6686 10.6969 DX 0.4060 100.6900 0.4032 6.4512 EUR 0.0046 1.1152 0.4164 6.6617 EURIBOR-ICE 0.0407 97.9350 0.0415 0.6646 EUROSTX 43.7569 4819.0000 0.9080 14.5281 FEEDCOW 2.0112 227.9500 0.8823 14.1170 GASOIL 10.9891 664.7500 1.6531 26.4498 GASOLINE 0.0355 1.8931 1.8744 29.9908 GAS_US_mini 0.0811 2.5800 3.1441 50.3059 GBP 0.0061 1.3176 0.4622 7.3945 GOLD_micro 18.9964 2521.6000 0.7533 12.0536 HEATOIL 0.0388 2.1968 1.7659 28.2544 JGB-SGX-mini 0.3097 145.0700 0.2135 3.4161 JPY 0.0001 0.0071 0.7449 11.9181 LEANHOG 1.1439 72.0250 1.5882 25.4116 LIVECOW 1.3854 176.6750 0.7841 12.5463 LUMBER-new 9.1070 526.0000 1.7314 27.7020 MILK 0.2878 22.5100 1.2787 20.4597 MXP 0.0005 0.0494 1.0291 16.4651 NASDAQ_micro 212.0596 18983.0000 1.1171 17.8736 NIKKEI 720.7176 36680.0000 1.9649 31.4381 NZD 0.0040 0.6222 0.6452 10.3239 OAT 0.4406 127.0600 0.3468 5.5486 OATIES 5.7232 357.2500 1.6020 25.6324 OJ 8.5837 491.8000 1.7454 27.9258 PALLAD 23.2135 934.5000 2.4841 39.7449 PLAT 15.9655 929.7000 1.7173 27.4764 REDWHEAT 9.3121 588.0000 1.5837 25.3391 RICE 0.1573 15.4400 1.0188 16.3016 ROBUSTA 82.0648 4930.0000 1.6646 26.6336 RUSSELL 27.0234 2139.9000 1.2628 20.2054 SHATZ 0.0774 106.8100 0.0725 1.1601 SILVER-mini 0.5064 29.2875 1.7291 27.6663 SMI 94.7342 12015.0000 0.7885 12.6155 SOFR 0.0581 97.0300 0.0599 0.9582 SOYBEAN 12.4393 1024.2500 1.2145 19.4316 SOYMEAL 4.7608 326.9000 1.4563 23.3013 SOYOIL 0.7514 41.2500 1.8216 29.1457 SP400 28.9948 2991.1000 0.9694 15.5099 SP500_micro 42.8550 5518.5000 0.7766 12.4251 SUGAR11 0.3169 19.5800 1.6186 25.8974 US10 0.3871 114.7656 0.3373 5.3971 US10U 0.5352 119.0781 0.4495 7.1918 US2 0.1143 104.1133 0.1098 1.7571 US20 0.7958 125.6875 0.6332 10.1311 US30 1.1999 135.6875 0.8843 14.1491 US5 0.2549 110.1562 0.2314 3.7021 VIX 0.9262 18.9000 4.9005 78.4079 WHEAT 8.9501 574.7500 1.5572 24.9156 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.65 0.62 416.39 1.00 416.39 45330.87 108.87 4.41 48.00 BITCOIN 56.19 3.08 173.34 1.00 173.34 45330.87 261.52 -10.96 -286.65 BOBL 1194.10 0.20 234.49 1.11 259.86 45330.87 174.45 -4.83 -84.22 BTP 1197.20 0.41 486.24 1.11 538.85 45330.87 84.12 -1.03 -8.65 BUND 1342.00 0.36 479.91 1.11 531.84 45330.87 85.23 -1.01 -8.63 BUXL 1368.20 0.89 1212.35 1.11 1343.52 45330.87 33.74 -4.40 -14.84 CAC 744.35 0.80 598.93 1.11 663.73 45330.87 68.30 -4.13 -28.24 CAD 742.40 0.34 256.04 1.00 256.04 45330.87 177.05 3.58 63.37 CANOLA 120.06 1.63 196.22 0.74 145.28 45330.87 312.03 -9.13 -284.92 CHF 1497.38 0.48 711.87 1.00 711.87 45330.87 63.68 2.23 14.17 COCOA 709.10 2.80 1987.47 1.00 1987.47 45330.87 22.81 7.46 17.02 COFFEE 912.75 1.79 1636.74 1.00 1636.74 45330.87 27.70 4.53 12.55 COPPER 1034.12 1.29 1333.52 1.00 1333.52 45330.87 33.99 -2.67 -9.08 CORN 205.38 1.29 265.80 1.00 265.80 45330.87 170.55 -12.38 -211.06 COTTON2 347.35 1.45 503.17 1.00 503.17 45330.87 90.09 -11.54 -103.99 CRUDE_W 681.20 1.77 1204.28 1.00 1204.28 45330.87 37.64 1.52 5.73 DAX 186.02 0.75 139.19 1.11 154.25 45330.87 293.89 5.93 174.41 DOW 203.95 0.67 136.35 1.00 136.35 45330.87 332.46 3.24 107.81 DX 1006.90 0.40 405.98 1.00 405.98 45330.87 111.66 -10.47 -116.89 EUR 1393.94 0.42 580.37 1.00 580.37 45330.87 78.11 5.89 45.99 EURIBOR-ICE 2448.38 0.04 101.70 1.11 112.70 45330.87 402.23 5.77 232.22 EUROSTX 481.90 0.91 437.57 1.11 484.91 45330.87 93.48 -2.08 -19.41 FEEDCOW 1139.75 0.88 1005.62 1.00 1005.62 45330.87 45.08 -11.50 -51.83 GASOIL 664.75 1.65 1098.91 1.00 1098.91 45330.87 41.25 -9.67 -39.89 GASOLINE 795.10 1.87 1490.36 1.00 1490.36 45330.87 30.42 0.25 0.77 GAS_US_mini 64.50 3.14 202.80 1.00 202.80 45330.87 223.53 -8.45 -188.91 GBP 823.50 0.46 380.59 1.00 380.59 45330.87 119.11 10.45 124.52 GOLD_micro 252.16 0.75 189.96 1.00 189.96 45330.87 238.63 6.44 153.78 HEATOIL 922.66 1.77 1629.32 1.00 1629.32 45330.87 27.82 -13.90 -38.68 JGB-SGX-mini 145070.00 0.21 30973.15 0.01 215.48 45330.87 210.37 3.76 79.18 JPY 883.25 0.74 657.91 1.00 657.91 45330.87 68.90 0.85 5.84 LEANHOG 288.10 1.59 457.57 1.00 457.57 45330.87 99.07 8.98 88.97 LIVECOW 706.70 0.78 554.15 1.00 554.15 45330.87 81.80 2.93 23.99 LUMBER-new 144.65 1.73 250.44 1.00 250.44 45330.87 181.00 -4.05 -73.33 MILK 450.20 1.28 575.69 1.00 575.69 45330.87 78.74 10.17 80.09 MXP 247.05 1.03 254.23 1.00 254.23 45330.87 178.31 -6.63 -118.16 NASDAQ_micro 379.66 1.12 424.12 1.00 424.12 45330.87 106.88 -7.04 -75.21 NIKKEI 36680.00 1.96 72071.76 0.01 501.40 45330.87 90.41 -1.38 -12.46 NZD 622.15 0.65 401.44 1.00 401.44 45330.87 112.92 5.57 62.91 OAT 1270.60 0.35 440.63 1.11 488.31 45330.87 92.83 0.89 8.28 OATIES 178.62 1.60 286.16 1.00 286.16 45330.87 158.41 0.28 4.51 OJ 737.70 1.75 1287.55 1.00 1287.55 45330.87 35.21 12.77 44.97 PALLAD 934.50 2.48 2321.35 1.00 2321.35 45330.87 19.53 -0.88 -1.72 PLAT 464.85 1.72 798.28 1.00 798.28 45330.87 56.79 -4.90 -27.84 REDWHEAT 294.00 1.58 465.61 1.00 465.61 45330.87 97.36 -14.71 -143.20 RICE 308.80 1.02 314.62 1.00 314.62 45330.87 144.08 -0.73 -10.47 ROBUSTA 493.00 1.66 820.65 1.00 820.65 45330.87 55.24 12.07 66.68 RUSSELL 107.00 1.26 135.12 1.00 135.12 45330.87 335.49 0.09 2.90 SHATZ 1068.10 0.07 77.44 1.11 85.82 45330.87 528.18 -4.11 -216.95 SILVER-mini 732.19 1.73 1266.06 1.00 1266.06 45330.87 35.80 1.02 3.66 SMI 1201.50 0.79 947.34 1.18 1119.19 45330.87 40.50 7.85 31.80 SOFR 2425.75 0.06 145.27 1.00 145.27 45330.87 312.05 8.90 277.69 SOYBEAN 512.12 1.21 621.96 1.00 621.96 45330.87 72.88 -12.64 -92.10 SOYMEAL 326.90 1.46 476.08 1.00 476.08 45330.87 95.22 -11.14 -106.04 SOYOIL 247.50 1.82 450.85 1.00 450.85 45330.87 100.55 -6.67 -67.03 SP400 2991.10 0.97 2899.48 1.00 2899.48 45330.87 15.63 -1.39 -2.18 SP500_micro 275.92 0.78 214.27 1.00 214.27 45330.87 211.55 -2.74 -57.98 SUGAR11 219.30 1.62 354.95 1.00 354.95 45330.87 127.71 -1.57 -20.07 US10 1147.66 0.34 387.12 1.00 387.12 45330.87 117.10 4.74 55.52 US10U 1190.78 0.45 535.24 1.00 535.24 45330.87 84.69 6.36 53.88 US2 2082.27 0.11 228.67 1.00 228.67 45330.87 198.24 1.44 28.52 US20 1256.88 0.63 795.85 1.00 795.85 45330.87 56.96 6.59 37.54 US30 1356.88 0.88 1199.91 1.00 1199.91 45330.87 37.78 4.69 17.70 US5 1101.56 0.23 254.88 1.00 254.88 45330.87 177.85 4.17 74.20 VIX 189.00 4.90 926.19 1.00 926.19 45330.87 48.94 -4.10 -20.08 WHEAT 287.38 1.56 447.51 1.00 447.51 45330.87 101.30 -13.24 -134.11 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 47.997 0.010 2.5 1.245 BITCOIN -286.651 0.043 2.5 -31.040 BOBL -84.218 0.004 2.5 -0.854 BTP -8.652 0.014 2.5 -0.295 BUND -8.627 0.004 2.5 -0.087 BUXL -14.836 0.004 2.5 -0.150 CAC -28.236 0.014 2.5 -0.963 CAD 63.370 0.010 2.5 1.644 CANOLA -284.921 0.010 2.5 -6.932 CHF 14.173 0.010 2.5 0.368 COCOA 17.016 0.009 2.5 0.364 COFFEE 12.553 0.005 2.5 0.147 COPPER -9.082 0.043 2.5 -0.983 CORN -211.061 0.010 2.5 -5.135 COTTON2 -103.994 0.009 2.5 -2.227 CRUDE_W 5.732 0.043 2.5 0.621 DAX 174.411 0.014 2.5 5.949 DOW 107.805 0.009 2.5 2.505 DX -116.888 0.010 2.5 -3.033 EUR 45.986 0.010 2.5 1.193 EURIBOR-ICE 232.218 0.014 2.5 7.921 EUROSTX -19.410 0.014 2.5 -0.662 FEEDCOW -51.835 0.013 2.5 -1.718 GASOIL -39.889 0.017 2.5 -1.729 GASOLINE 0.768 0.017 2.5 0.033 GAS_US_mini -188.912 0.043 2.5 -20.457 GBP 124.522 0.010 2.5 3.231 GOLD_micro 153.784 0.014 2.5 5.245 HEATOIL -38.684 0.017 2.5 -1.677 JGB-SGX-mini 79.181 0.043 2.5 8.574 JPY 5.836 0.010 2.5 0.151 LEANHOG 88.972 0.024 2.5 5.407 LIVECOW 23.987 0.013 2.5 0.795 LUMBER-new -73.331 0.009 2.5 -1.570 MILK 80.088 0.009 2.5 1.715 MXP -118.159 0.059 2.5 -17.342 NASDAQ_micro -75.207 0.009 2.5 -1.748 NIKKEI -12.458 0.043 2.5 -1.349 NZD 62.910 0.010 2.5 1.632 OAT 8.284 0.014 2.5 0.283 OATIES 4.506 0.010 2.5 0.110 OJ 44.971 0.009 2.5 0.963 PALLAD -1.722 0.014 2.5 -0.059 PLAT -27.839 0.014 2.5 -0.950 REDWHEAT -143.200 0.005 2.5 -1.900 RICE -10.470 0.010 2.5 -0.255 ROBUSTA 66.685 0.005 2.5 0.779 RUSSELL 2.901 0.013 2.5 0.096 SHATZ -216.947 0.004 2.5 -2.200 SILVER-mini 3.657 0.014 2.5 0.125 SMI 31.800 0.014 2.5 1.085 SOFR 277.686 0.024 2.5 16.876 SOYBEAN -92.100 0.004 2.5 -0.857 SOYMEAL -106.038 0.004 2.5 -0.986 SOYOIL -67.028 0.004 2.5 -0.624 SP400 -2.180 0.013 2.5 -0.072 SP500_micro -57.978 0.009 2.5 -1.347 SUGAR11 -20.073 0.009 2.5 -0.427 US10 55.519 0.005 2.5 0.704 US10U 53.880 0.005 2.5 0.683 US2 28.521 0.005 2.5 0.361 US20 37.539 0.005 2.5 0.476 US30 17.702 0.005 2.5 0.224 US5 74.203 0.005 2.5 0.940 VIX -20.076 0.099 2.5 -4.956 WHEAT -134.110 0.005 2.5 -1.779 ===================== Position diags ===================== AUD 2.82 BITCOIN 28.32 BOBL 1.77 BTP 2.87 BUND 0.86 BUXL 0.34 CAC 2.33 CAD 4.59 CANOLA 7.59 CHF 1.65 COCOA 0.49 COFFEE 0.32 COPPER 3.68 CORN 4.15 COTTON2 1.93 CRUDE_W 4.08 DAX 10.02 DOW 7.73 DX 2.90 EUR 2.03 EURIBOR-ICE 13.72 EUROSTX 3.19 FEEDCOW 1.49 GASOIL 1.79 GASOLINE 1.32 GAS_US_mini 24.21 GBP 3.09 GOLD_micro 8.14 HEATOIL 1.21 JGB-SGX-mini 22.78 JPY 1.79 LEANHOG 6.02 LIVECOW 2.71 LUMBER-new 3.88 MILK 1.69 MXP 26.17 NASDAQ_micro 2.48 NIKKEI 9.79 NZD 2.93 OAT 3.17 OATIES 3.85 OJ 0.75 PALLAD 0.67 PLAT 1.94 REDWHEAT 1.29 RICE 3.51 ROBUSTA 0.65 RUSSELL 11.12 SHATZ 5.36 SILVER-mini 1.22 SMI 1.38 SOFR 18.96 SOYBEAN 0.68 SOYMEAL 0.89 SOYOIL 0.94 SP400 0.52 SP500_micro 4.92 SUGAR11 2.72 US10 1.48 US10U 1.07 US2 2.51 US20 0.72 US30 0.48 US5 2.25 VIX 12.08 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.2 1.0 1.5 6.0 6 BITCOIN -31.0 -33.9 -28.2 0.0 0 BOBL -0.9 -1.0 -0.7 0.0 0 BTP -0.3 -0.6 -0.0 -2.0 -2 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC -1.0 -1.2 -0.7 0.0 0 CAD 1.6 1.2 2.1 0.0 0 CANOLA -6.9 -7.7 -6.2 -1.0 -1 CHF 0.4 0.2 0.5 5.0 5 COCOA 0.4 0.3 0.4 1.0 1 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -1.0 -1.4 -0.6 0.0 0 CORN -5.1 -5.5 -4.7 -5.0 -5 COTTON2 -2.2 -2.4 -2.0 -5.0 -5 CRUDE_W 0.6 0.2 1.0 3.0 3 DAX 5.9 4.9 7.0 9.0 9 DOW 2.5 1.7 3.3 3.0 3 DX -3.0 -3.3 -2.7 0.0 0 EUR 1.2 1.0 1.4 3.0 3 EURIBOR-ICE 7.9 6.5 9.3 0.0 0 EUROSTX -0.7 -1.0 -0.3 0.0 0 FEEDCOW -1.7 -1.9 -1.6 -2.0 -2 GASOIL -1.7 -1.9 -1.6 -1.0 -1 GASOLINE 0.0 -0.1 0.2 0.0 0 GAS_US_mini -20.5 -22.9 -18.0 -11.0 -11 GBP 3.2 2.9 3.5 1.0 1 GOLD_micro 5.2 4.4 6.1 0.0 0 HEATOIL -1.7 -1.8 -1.6 -2.0 -2 JGB-SGX-mini 8.6 6.3 10.9 4.0 4 JPY 0.2 -0.0 0.3 1.0 1 LEANHOG 5.4 4.8 6.0 3.0 3 LIVECOW 0.8 0.5 1.1 2.0 2 LUMBER-new -1.6 -2.0 -1.2 -2.0 -2 MILK 1.7 1.5 1.9 NaN 0 MXP -17.3 -20.0 -14.7 -8.0 -8 NASDAQ_micro -1.7 -2.0 -1.5 0.0 0 NIKKEI -1.3 -2.3 -0.4 -1.0 -1 NZD 1.6 1.3 1.9 0.0 0 OAT 0.3 -0.0 0.6 0.0 0 OATIES 0.1 -0.3 0.5 NaN 0 OJ 1.0 0.9 1.0 1.0 1 PALLAD -0.1 -0.1 0.0 0.0 0 PLAT -0.9 -1.1 -0.8 -1.0 -1 REDWHEAT -1.9 -2.0 -1.8 -2.0 -2 RICE -0.3 -0.6 0.1 NaN 0 ROBUSTA 0.8 0.7 0.8 0.0 0 RUSSELL 0.1 -1.0 1.2 -6.0 -6 SHATZ -2.2 -2.7 -1.7 NaN 0 SILVER-mini 0.1 0.0 0.2 0.0 0 SMI 1.1 0.9 1.2 0.0 0 SOFR 16.9 15.0 18.8 NaN 0 SOYBEAN -0.9 -0.9 -0.8 -6.0 -6 SOYMEAL -1.0 -1.1 -0.9 1.0 1 SOYOIL -0.6 -0.7 -0.5 0.0 0 SP400 -0.1 -0.1 -0.0 0.0 0 SP500_micro -1.3 -1.8 -0.9 -2.0 -2 SUGAR11 -0.4 -0.7 -0.2 0.0 0 US10 0.7 0.6 0.9 0.0 0 US10U 0.7 0.6 0.8 1.0 1 US2 0.4 0.1 0.6 NaN 0 US20 0.5 0.4 0.5 0.0 0 US30 0.2 0.2 0.3 4.0 4 US5 0.9 0.7 1.2 2.0 2 VIX -5.0 -6.2 -3.7 -4.0 -4 WHEAT -1.8 -1.9 -1.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.6 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.2 0.1 -0.0 0.1 0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.3 -0.4 0.0 0.3 -0.2 0.4 -0.0 BITCOIN -0.1 -0.3 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 -0.1 -0.4 -0.5 0.2 0.3 -0.2 -0.2 -0.1 0.0 BOBL -0.3 0.6 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 -0.1 0.1 0.1 -0.2 -0.3 -0.4 -0.4 0.1 0.1 0.0 -0.0 0.1 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.0 -0.2 -0.1 -0.2 -0.7 -0.7 -0.2 -0.3 BTP -0.1 0.3 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 0.1 0.2 0.0 0.2 0.0 0.5 -0.0 0.0 -0.4 -0.6 -0.7 -0.5 -0.0 0.2 BUND -0.3 0.5 0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 -0.0 -0.0 0.1 0.1 -0.1 0.0 0.0 0.0 0.1 0.1 0.0 0.0 0.0 0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.3 -0.1 -0.2 -0.2 -0.3 -0.7 -0.7 -0.2 -0.2 BUXL -0.2 0.4 0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.3 -0.4 -0.5 -0.7 -0.7 -0.3 -0.2 CAC 0.6 -0.2 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 -0.2 0.1 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -1.2 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.3 -0.2 -0.2 -0.3 -0.6 0.4 0.2 0.1 0.1 CAD 0.6 0.3 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 -0.1 0.2 -0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.0 0.1 -0.2 0.2 -0.2 0.1 0.0 0.0 0.1 -0.1 0.1 -0.1 0.4 0.5 -0.1 -0.1 0.4 -0.2 0.1 -0.1 CANOLA 0.2 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 -0.0 -0.2 -0.0 -1.9 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.4 0.2 0.1 -0.1 -0.0 -0.4 0.3 -0.2 CHF 0.3 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 0.0 0.2 0.5 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 -0.2 0.6 0.6 -0.0 -0.4 -0.3 -0.4 COCOA 0.3 0.0 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 0.4 0.4 0.4 0.0 0.0 -0.0 0.2 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.0 0.3 0.3 0.2 0.7 0.3 0.7 0.4 COFFEE 0.2 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.4 0.0 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.0 0.4 0.2 0.6 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.4 -0.6 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -1.9 -0.0 0.0 -0.0 0.0 0.0 0.0 0.3 0.1 0.1 -0.3 -0.1 0.5 0.2 0.7 0.6 CORN 0.4 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 -1.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.4 0.2 -0.0 -0.4 -0.1 -0.2 -0.0 -0.0 COTTON2 0.6 0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 0.1 -0.5 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 0.0 -0.5 0.0 -2.7 -0.0 -0.0 -0.2 -0.0 -0.1 0.0 -0.6 0.1 0.6 0.2 -0.0 -0.3 -0.4 0.0 -0.1 CRUDE_W -0.3 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.3 -0.2 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.1 -0.2 0.0 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.6 0.4 0.4 0.0 -0.1 0.2 0.5 0.2 0.7 DAX 0.6 -0.1 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.2 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 1.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.4 0.2 0.3 0.1 -0.6 0.4 0.2 0.0 0.1 DOW 0.5 0.1 0.0 0.0 -0.0 0.1 0.0 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 0.1 0.0 0.3 0.1 -1.4 0.0 0.0 0.1 0.0 0.2 0.1 -0.4 0.4 0.3 0.6 0.1 0.3 0.0 -0.1 -0.1 DX -0.3 -0.6 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.2 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.9 -0.2 -0.6 -0.6 -0.6 -0.1 0.2 -0.2 0.3 EUR 0.3 0.4 0.3 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.2 0.0 -0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.1 0.1 2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 -0.4 -0.1 0.5 0.4 0.1 -0.6 -0.1 -0.7 EURIBOR-ICE -0.2 0.6 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 1.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.1 0.1 -0.0 -0.7 -0.7 -0.1 0.1 EUROSTX 0.6 -0.3 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.1 0.4 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 0.2 0.0 -0.3 -0.0 -0.1 0.0 -0.0 0.2 0.0 0.2 -0.2 -0.1 -0.3 -0.6 0.2 0.0 -0.5 -0.1 FEEDCOW -0.2 -0.6 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 0.3 -0.4 0.1 -0.1 -0.2 -0.2 -0.1 -0.3 -0.2 -0.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 0.1 -0.3 -0.6 -0.5 0.1 0.7 0.4 0.7 GASOIL -0.3 -0.5 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.3 -0.2 0.2 -0.2 -0.2 0.0 0.2 0.0 0.1 -0.2 -0.1 -0.2 -0.0 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.3 -0.0 -0.2 -0.4 -0.3 -0.7 GASOLINE -0.4 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.2 -0.2 -0.1 0.4 0.4 0.4 0.4 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 1.1 0.4 0.2 0.2 -0.0 0.5 0.7 0.7 0.7 GAS_US_mini 0.0 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 0.1 0.3 0.3 0.3 -0.2 -0.5 -0.3 -0.6 GBP 0.6 0.2 0.3 0.1 0.0 0.0 0.0 0.0 0.1 -0.1 0.5 0.2 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.3 0.2 -0.2 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.1 0.6 0.5 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.3 0.2 0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.4 0.1 0.5 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -0.9 0.0 0.0 0.1 0.0 0.2 0.1 -0.7 0.2 0.4 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.3 -0.4 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.2 0.0 -0.2 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 0.3 0.1 -0.1 -0.2 -0.2 0.2 -0.5 0.1 JGB-SGX-mini -0.0 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.2 0.3 0.3 0.3 0.0 0.0 0.0 0.0 0.0 -1.0 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.2 JPY 0.1 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.0 -0.1 0.1 2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 -0.2 0.6 0.2 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.6 0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 0.4 0.3 0.4 0.4 0.0 -0.1 0.1 -0.3 0.1 0.6 0.0 -0.0 -0.1 0.0 -0.1 0.0 1.1 0.4 0.6 0.6 -0.2 0.0 -0.2 0.1 0.1 LIVECOW -0.4 -0.6 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.2 -0.0 0.2 -0.1 -0.0 0.3 0.2 0.3 0.3 -0.1 0.0 -0.0 0.1 -0.1 -1.7 -0.0 -0.0 0.0 -0.0 0.1 -0.1 1.1 0.3 -0.1 -0.3 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.1 0.5 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.1 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.2 -0.0 NaN -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.1 0.2 0.6 0.1 0.1 -0.1 0.3 0.0 MILK 0.5 0.3 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.2 0.1 0.1 0.4 -0.4 0.1 -0.2 0.2 0.2 0.1 0.2 0.2 2.0 0.1 0.0 0.1 0.0 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.1 -0.7 MXP -0.2 -0.6 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.3 -0.6 -0.6 -0.6 0.5 0.4 0.7 0.6 NASDAQ_micro 0.3 -0.6 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.0 0.3 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.2 -0.0 -2.3 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 -0.0 0.0 -0.5 0.1 0.0 0.1 -0.3 0.1 NIKKEI 0.3 -0.6 -0.6 0.0 -0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.1 0.2 0.2 0.2 -0.0 -0.0 -0.0 0.1 -0.0 -0.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.3 -0.6 -0.4 0.3 0.0 0.2 -0.1 NZD 0.6 0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 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 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.2 0.1 0.3 -0.1 0.1 0.2 -0.2 0.1 -0.0 OAT -0.1 0.5 0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.1 0.0 0.0 0.0 0.0 0.5 -0.0 -0.0 -0.3 -0.6 -0.5 -0.6 -0.0 0.0 OATIES 0.6 0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.5 0.1 -0.1 0.1 0.1 0.1 0.1 0.0 -0.1 0.2 -0.3 0.2 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 0.5 0.6 0.6 -0.2 0.4 -0.0 0.7 0.3 OJ 0.4 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 0.8 0.3 0.6 0.6 0.6 0.4 0.4 0.7 0.7 PALLAD 0.3 0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 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 2.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.1 0.1 0.0 0.2 -0.7 -0.7 -0.7 -0.7 PLAT 0.0 -0.4 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.3 -0.2 0.1 -0.2 -0.3 -0.2 0.0 REDWHEAT 0.4 -0.3 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.5 0.2 -0.7 0.0 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 0.2 -0.5 0.0 -0.8 -0.1 0.1 -0.2 0.1 -0.2 0.0 -0.8 0.5 0.3 -0.1 -0.4 -0.7 -0.7 -0.6 -0.7 RICE -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 0.1 0.4 0.0 -0.0 -0.2 0.4 0.4 0.4 -0.0 0.0 0.1 0.2 -0.0 -1.4 -0.0 0.0 0.0 0.0 0.1 -0.0 1.1 0.3 -0.2 0.4 0.6 -0.7 -0.6 -0.7 -0.6 ROBUSTA 0.6 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -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 0.1 0.5 0.2 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.4 0.6 0.6 0.6 0.2 -0.2 0.4 0.1 RUSSELL 0.2 -0.1 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.0 0.3 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 0.1 0.0 0.1 0.0 -0.0 0.2 -0.1 0.6 0.1 0.1 -0.5 -0.2 -0.7 SHATZ -0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 -0.1 0.1 1.0 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 -0.1 0.1 -0.0 -0.7 -0.6 -0.5 -0.4 SILVER-mini 0.3 -0.5 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.0 -0.0 0.0 0.1 0.0 -0.1 0.1 0.1 -0.1 0.3 0.2 -0.1 0.2 0.3 SMI 0.4 -0.4 -0.0 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.0 0.5 0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 -0.1 0.3 0.0 1.4 0.1 -0.1 0.2 -0.0 0.2 0.0 0.5 -0.4 -0.0 0.6 0.5 0.0 0.0 -0.3 -0.1 SOFR 0.1 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.1 0.2 0.1 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.2 0.2 -0.7 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.1 0.1 0.1 0.3 0.3 -0.4 0.7 0.2 SOYBEAN 0.3 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.3 0.0 -0.2 -0.1 -0.1 -0.2 0.1 -0.3 -0.0 -2.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 0.4 0.0 -0.3 -0.4 -0.1 -0.7 0.1 -0.5 SOYMEAL 0.3 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.1 0.1 -0.2 0.0 -2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 -0.4 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 0.0 -0.2 -0.0 -2.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.5 0.3 -0.2 -0.0 -0.1 -0.3 0.2 -0.1 SP400 0.3 -0.1 -0.2 0.0 -0.0 0.1 0.0 0.2 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 0.2 0.0 -1.3 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.1 -0.0 0.5 -0.0 0.2 -0.2 -0.1 -0.7 SP500_micro 0.5 -0.6 -0.3 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.2 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.4 0.0 -2.2 0.0 0.0 0.1 0.0 0.3 0.0 -0.5 0.1 0.3 -0.1 0.3 0.2 0.1 -0.2 -0.0 SUGAR11 0.5 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 0.1 -0.4 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.2 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.5 0.6 0.1 0.4 -0.3 0.5 -0.2 0.6 US10 0.0 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.4 -0.0 -0.0 0.0 0.2 0.1 -0.7 0.7 0.2 US10U 0.0 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.0 0.1 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.6 0.7 0.5 US2 -0.0 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 1.5 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 0.0 0.3 0.2 0.0 -0.7 0.2 -0.4 US20 0.1 0.5 0.6 0.0 0.0 0.1 0.0 0.0 0.0 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 0.0 0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.2 -0.1 -0.0 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.1 0.5 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 -0.1 -0.0 -0.2 -0.0 0.1 -0.3 0.7 0.7 US5 -0.0 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 -0.0 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.0 0.1 0.8 0.0 0.0 0.1 0.0 0.0 0.0 -0.8 0.0 0.0 0.1 0.2 0.2 -0.7 0.6 -0.0 VIX -0.2 1.0 1.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.2 -0.0 -0.4 -0.1 -0.1 0.1 -0.6 -0.6 -0.6 0.0 -0.0 0.0 -0.1 0.0 NaN 0.0 -0.0 0.0 -0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.6 -1.1 NaN NaN WHEAT 0.3 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.4 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.5 0.1 -0.2 -0.3 -0.7 -0.7 -0.6 -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 18.5 -1.9 4.4 3.8 0.7 1.4 3.1 0.7 5.2 -8.8 6.8 10.1 -0.6 12.5 10.4 -1.6 -2.5 -2.0 -2.2 7.8 4.4 3.0 1.1 9.7 2.4 3.3 -2.5 1.8 1.5 0.7 4.3 -0.0 -5.2 8.2 -11.2 0.8 10.3 -5.0 13.0 -0.6 BITCOIN -2.7 -9.8 -20.0 -3.1 0.2 -3.8 -0.3 -2.3 -0.7 -14.8 0.7 -9.2 7.1 -7.6 -8.5 -5.0 -6.8 -5.7 -6.4 -7.8 -2.2 -12.1 7.2 -9.0 -20.0 -3.9 -6.7 -0.3 -5.1 5.8 -4.3 -2.2 -17.4 -16.9 5.9 8.8 -6.6 -4.7 -3.4 0.5 BOBL -9.3 19.2 14.9 3.2 2.6 2.5 1.4 0.8 2.1 9.1 -0.4 1.0 -3.9 7.0 8.4 -10.5 -15.8 -20.0 -19.0 7.9 4.9 4.3 -1.4 5.1 4.6 3.0 3.8 2.2 1.6 0.4 1.9 -20.0 1.3 -5.5 -2.5 -6.0 -20.0 -20.0 -7.0 -7.9 BTP -3.9 9.7 4.0 5.4 4.4 4.2 2.3 1.4 3.6 14.7 13.6 7.5 15.3 15.3 17.3 2.3 3.7 1.9 2.4 11.2 11.1 6.6 10.5 7.6 -20.0 5.6 8.3 5.7 3.7 5.6 3.9 10.2 -1.3 1.5 -12.3 -17.4 -20.0 -15.3 -1.5 5.6 BUND -8.4 15.2 12.0 3.5 2.8 2.7 1.5 0.9 2.3 9.9 1.4 -0.0 -0.5 7.0 9.0 -3.8 0.8 0.9 0.5 7.2 5.3 2.9 0.1 3.9 1.2 3.1 3.9 2.7 1.2 1.2 1.6 5.7 -2.4 -6.3 -6.0 -8.4 -20.0 -20.0 -5.7 -6.8 BUXL -7.0 12.5 8.7 4.0 3.2 3.1 1.7 1.0 2.7 11.0 0.3 0.1 -0.2 5.8 7.8 -0.6 -2.2 -1.3 -2.2 5.2 3.5 2.3 -1.6 2.5 -3.0 2.8 5.3 2.7 1.0 1.2 1.1 1.0 -5.5 -8.7 -11.2 -14.5 -20.0 -20.0 -8.2 -7.1 CAC 20.0 -6.2 -20.0 2.9 -5.5 4.8 0.0 6.9 2.5 -16.3 -8.2 7.9 2.8 5.4 -8.6 -5.0 -2.1 -5.0 -3.3 -7.4 -10.6 -3.8 -1.0 2.1 -9.3 -2.8 -9.6 -3.3 -2.0 0.9 0.3 6.2 -8.2 -5.5 -8.2 -20.0 12.2 5.5 2.6 3.4 CAD 20.0 9.8 3.0 5.1 1.0 1.9 4.2 0.9 7.0 -3.2 -5.2 14.6 -15.0 18.5 14.0 -4.7 -3.6 -4.7 -4.2 14.0 1.7 14.5 -6.3 20.0 -1.5 5.5 0.8 1.0 5.8 -1.7 8.6 -2.5 14.8 14.8 -1.6 -2.3 10.6 -6.1 3.6 -2.8 CANOLA 5.7 -9.3 -4.0 -2.0 -2.6 -1.9 -2.1 -1.3 -1.7 -3.1 -4.9 -0.2 -6.4 -4.0 -4.9 -11.5 -10.5 -12.2 -12.6 -4.9 -5.3 -1.0 -5.8 -2.4 -14.1 -1.2 1.7 -2.3 2.2 -3.1 0.7 -20.0 17.7 7.5 4.3 -2.3 -0.7 -11.1 8.5 -5.3 CHF 9.9 20.0 20.0 2.8 0.5 1.0 2.3 0.5 3.8 1.3 2.7 8.4 -3.4 11.1 11.3 -14.1 -16.4 -15.5 -16.0 16.8 9.4 9.2 1.3 15.6 3.7 4.5 1.6 2.7 2.1 0.7 3.9 -20.0 2.5 -5.2 20.0 19.9 -0.4 -10.7 -8.6 -12.0 COCOA 8.7 0.1 2.4 -1.8 -2.3 -1.7 -1.9 -1.2 -1.5 -4.5 2.2 -2.1 3.3 1.1 -0.9 20.0 20.0 20.0 20.0 1.7 4.4 -4.6 8.9 0.3 -20.0 1.6 -1.5 4.6 -0.5 9.7 1.1 20.0 -1.2 10.0 8.2 7.5 20.0 8.5 20.0 12.8 COFFEE 7.5 -3.7 7.9 -4.9 -6.2 -4.5 -5.0 -3.2 -4.1 -14.9 15.4 3.0 15.4 7.7 14.0 4.6 6.2 4.3 5.4 13.0 17.2 -0.8 17.9 7.8 -20.0 5.3 -3.0 7.6 0.2 9.5 3.9 6.7 7.3 19.8 20.0 20.0 -2.9 -9.7 4.6 -3.3 COPPER 10.9 -19.1 -11.8 -2.3 0.1 -2.9 -0.2 -1.7 -0.5 -7.6 -3.8 -1.5 -0.6 -5.9 -8.9 -4.7 -2.9 -2.9 -2.5 -7.7 -3.9 -6.4 2.5 -5.4 -14.1 -2.0 1.4 -1.2 1.3 1.1 0.0 4.8 5.4 4.2 -10.4 -1.7 15.4 5.8 20.0 17.8 CORN 11.5 -5.5 -17.8 -3.6 -4.6 -3.3 -3.7 -2.3 -3.0 10.7 -12.2 9.2 -13.5 -1.6 -11.4 -20.0 -16.0 -20.0 -20.0 -11.9 -17.6 12.0 -18.5 0.3 -8.8 -4.0 3.1 -5.3 2.4 -5.3 -0.9 -20.0 15.7 7.2 -1.1 -13.5 -2.9 -6.7 -0.5 -0.6 COTTON2 17.3 4.9 -16.2 -4.2 -5.3 -3.9 -4.3 -2.7 -3.5 -1.2 -15.3 6.6 -14.1 -1.0 -10.9 -11.0 -3.0 -9.5 -6.2 -7.9 -16.4 2.5 -16.7 0.9 -20.0 -3.2 -2.4 -5.7 -0.1 -3.9 0.2 -11.0 4.3 17.0 5.4 -0.3 -10.1 -10.8 0.2 -3.9 CRUDE_W -8.9 -15.9 -9.1 -5.1 -7.5 -3.3 -6.9 -0.8 -5.9 -16.0 -5.6 -15.1 8.0 -14.6 -12.0 11.7 12.7 12.9 13.0 -12.5 -5.8 -20.0 1.0 -18.9 -1.8 -5.4 -5.4 -4.2 -5.6 -0.9 -5.1 10.8 15.6 11.4 1.2 -4.1 6.3 16.1 7.2 20.0 DAX 20.0 -3.5 -17.3 2.6 -4.9 4.3 0.0 6.2 2.2 -12.6 7.7 11.8 13.4 13.2 6.1 -8.1 -10.4 -8.6 -9.6 6.5 5.1 6.9 11.0 12.8 10.7 1.8 -4.5 2.4 1.8 5.7 3.8 -6.9 7.7 9.3 2.1 -18.5 11.8 4.6 1.2 2.4 DOW 16.5 1.8 0.2 2.0 -3.9 3.4 0.0 4.9 1.8 -11.0 8.1 7.3 12.0 9.4 8.7 -9.1 -10.9 -9.8 -10.5 10.1 9.5 1.5 10.9 9.4 -10.3 4.2 1.0 4.1 4.0 5.1 4.8 -8.0 15.3 9.8 20.0 2.5 9.7 0.7 -2.1 -4.3 DX -10.3 -20.0 -12.8 3.1 0.6 1.1 2.6 0.6 4.2 1.2 -4.7 -5.6 5.6 -10.7 -12.5 6.0 6.9 6.7 6.9 -16.3 -9.2 -6.9 -1.3 -14.7 -20.0 -4.9 -1.6 -2.8 -2.1 -0.5 -4.4 16.0 -9.7 -20.0 -20.0 -20.0 -3.5 5.6 -4.8 8.3 EUR 9.0 13.1 8.0 4.2 0.8 1.6 3.5 0.8 5.8 -7.2 7.5 4.0 -4.4 11.6 15.1 -6.5 -7.2 -7.1 -7.1 15.5 9.5 2.9 2.4 12.6 20.0 6.2 0.7 4.2 1.3 1.9 5.1 -8.1 -16.0 -2.3 15.3 11.2 1.7 -18.1 -3.1 -20.0 EURIBOR-ICE -4.9 20.0 15.6 2.7 2.2 2.1 1.2 0.7 1.8 8.3 3.1 5.6 3.0 9.1 9.3 1.4 -3.4 -0.9 -2.2 11.6 8.6 7.9 4.0 9.3 12.9 3.2 3.6 2.4 2.4 1.3 2.6 -0.1 6.4 3.2 3.6 -1.5 -20.0 -20.0 -1.6 1.9 EUROSTX 19.5 -9.0 -20.0 2.5 -4.7 4.1 0.0 5.9 2.1 -14.2 4.9 6.7 11.5 4.3 0.1 -4.3 -3.0 -4.6 -4.2 -1.0 -0.0 -2.9 8.3 3.5 -2.3 -0.7 -9.2 0.7 -1.9 5.3 0.8 4.5 -8.6 -2.5 -9.0 -20.0 5.0 0.9 -13.9 -3.1 FEEDCOW -7.3 -20.0 -16.9 -4.6 -5.8 -4.2 -4.7 -3.0 -3.8 -8.9 -11.4 -8.8 -9.4 -14.2 -14.3 13.1 -18.0 4.7 -6.2 -20.0 -20.0 -12.8 -11.3 -20.0 -6.7 -5.5 -3.2 -4.1 -3.4 -1.9 -4.9 -20.0 4.1 -10.4 -20.0 -15.8 4.1 20.0 11.8 20.0 GASOIL -10.3 -16.3 -12.1 -5.2 -7.6 -3.3 -7.0 -0.8 -6.0 -16.7 -12.0 -17.4 6.1 -17.8 -16.4 2.3 9.2 1.5 3.7 -17.8 -11.3 -20.0 -1.7 -20.0 3.9 -6.2 -9.0 -4.1 -8.1 -1.0 -7.2 0.1 -7.9 -6.6 -7.7 -1.3 -5.1 -12.0 -10.3 -20.0 GASOLINE -12.9 -14.3 -10.0 -5.1 -7.4 -3.2 -6.8 -0.8 -5.9 -16.2 -5.0 -16.2 6.4 -15.5 -13.5 20.0 20.0 20.0 20.0 -14.0 -6.7 -20.0 1.7 -20.0 -20.0 -5.7 -5.3 -3.8 -6.0 0.1 -6.0 20.0 14.7 5.0 5.2 -1.0 15.1 20.0 20.0 20.0 GAS_US_mini 1.2 -7.9 -6.2 -5.0 -7.3 -3.2 -6.7 -0.7 -5.8 0.9 -16.0 -12.2 -17.1 -13.0 -16.1 -20.0 -20.0 -20.0 -20.0 -13.7 -15.9 -5.8 -20.0 -10.2 20.0 -4.9 -1.4 -5.0 -4.8 -6.7 -5.3 -20.0 2.8 9.0 10.0 10.3 -6.3 -15.0 -7.6 -19.2 GBP 19.5 5.8 8.3 4.6 0.9 1.7 3.8 0.8 6.3 -6.4 17.3 14.3 12.0 15.8 17.3 -0.4 -0.7 -0.6 -0.7 20.0 16.2 14.6 11.1 20.0 -1.4 7.2 2.0 5.7 4.9 4.2 7.6 2.9 4.9 20.0 15.0 20.0 8.5 -20.0 9.7 -16.4 GOLD_micro 9.0 5.9 8.4 -2.9 0.2 -3.6 -0.3 -2.1 -0.6 -1.7 14.2 8.8 13.8 11.9 12.4 -12.0 -13.2 -12.0 -12.3 14.0 16.3 4.0 17.6 10.6 -7.1 4.5 2.1 5.1 3.2 6.7 4.8 -12.6 6.8 11.6 20.0 20.0 11.8 -3.0 15.4 2.7 HEATOIL -10.1 -13.8 -9.5 -5.1 -7.4 -3.2 -6.8 -0.8 -5.9 -15.5 -13.2 -16.0 0.5 -16.6 -15.2 -5.5 6.0 -5.2 -1.6 -16.9 -11.6 -20.0 -4.4 -20.0 -20.0 -6.2 -4.1 -5.3 -5.3 -2.2 -5.8 -7.2 13.3 3.3 -3.3 -6.7 -6.4 5.0 -16.1 2.5 JGB-SGX-mini -0.4 20.0 8.2 2.0 1.6 1.6 0.9 0.5 1.3 5.3 0.8 -1.5 0.5 2.9 3.1 12.2 16.9 14.4 15.5 4.4 2.3 1.8 0.4 3.3 -7.4 1.7 1.3 0.7 0.7 -0.3 1.4 20.0 -0.6 -2.1 0.7 -5.9 -7.2 -5.1 -6.7 7.3 JPY 2.3 20.0 20.0 1.7 0.3 0.6 1.4 0.3 2.3 6.5 1.2 5.7 -4.9 7.3 6.6 -11.1 -15.2 -12.8 -14.0 9.0 3.4 5.3 -4.0 8.2 20.0 2.3 1.5 0.9 1.2 -1.0 2.0 -20.0 3.1 -7.0 20.0 5.7 -20.0 -18.5 -20.0 -18.8 LEANHOG 20.0 16.4 -14.5 -4.1 -5.3 -3.8 -4.3 -2.7 -3.5 1.2 -6.9 12.1 -7.1 13.5 -1.3 20.0 16.9 20.0 20.0 2.6 -7.9 13.4 -11.0 13.6 4.2 0.5 -0.6 -2.7 3.3 -3.3 4.1 20.0 16.2 20.0 20.0 -5.9 0.2 -5.4 4.4 3.5 LIVECOW -11.4 -18.2 3.8 -5.2 -6.6 -4.8 -5.4 -3.4 -4.3 3.9 5.6 -0.4 6.4 -10.2 -4.1 16.4 11.7 16.4 15.6 -6.6 1.3 -1.7 5.4 -8.3 -12.6 -3.3 -3.9 0.4 -3.8 3.1 -5.1 20.0 14.2 -2.2 -9.7 20.0 -1.2 20.0 5.1 20.0 LUMBER-new -1.7 13.9 -4.0 -3.1 -3.9 -2.8 -3.2 -1.9 -2.6 4.8 -7.3 -4.2 -8.4 3.3 -1.5 -18.3 -17.6 -17.8 -17.7 -1.9 -6.0 -0.5 -7.7 -0.9 NaN -0.4 4.1 -3.3 1.2 -4.6 0.5 -20.0 3.8 6.2 15.3 3.1 3.4 -2.3 8.0 0.3 MILK 15.1 8.2 20.0 -3.8 -4.8 -3.5 -3.9 -2.5 -3.2 8.4 12.8 12.0 5.5 12.8 13.2 20.0 -18.1 2.6 -8.9 18.3 15.0 16.6 6.3 19.7 15.3 4.9 1.7 4.1 4.1 1.5 5.2 -20.0 20.0 20.0 20.0 20.0 -2.2 -20.0 3.4 -20.0 MXP -7.3 -17.2 -20.0 1.9 0.4 0.7 1.5 0.3 2.6 -8.0 -7.2 -8.8 -2.8 -8.7 -8.5 9.3 14.1 10.5 12.0 -12.1 -9.5 -10.0 -3.3 -11.9 -20.0 -3.3 -1.5 -2.7 -2.4 -0.9 -3.0 20.0 -13.5 -20.0 -20.0 -20.0 15.4 12.3 20.0 18.8 NASDAQ_micro 8.1 -20.0 -13.9 1.4 -2.7 2.4 0.0 3.4 1.2 -8.9 2.7 -1.0 7.3 -0.7 -0.1 -7.1 -10.1 -8.5 -9.5 -0.6 3.4 -7.2 8.1 -3.0 -16.9 0.4 0.3 2.1 0.6 4.6 0.4 -6.4 -0.7 0.9 -14.6 3.7 1.2 4.4 -8.2 1.6 NIKKEI 10.2 -20.0 -20.0 1.0 -1.9 1.6 0.0 2.3 0.8 -5.0 1.7 3.2 3.7 1.4 0.9 4.5 9.5 7.9 8.6 -1.1 -0.1 -1.6 2.4 -0.2 -6.5 -1.7 -1.4 -0.6 -0.9 1.0 -1.4 20.0 -3.8 -8.7 -20.0 -11.0 9.4 0.0 7.0 -1.7 NZD 20.0 6.4 2.8 2.9 0.6 1.1 2.4 0.5 4.0 -0.8 3.6 10.5 -0.5 12.0 8.9 0.1 0.1 -0.1 -0.0 9.1 3.4 8.9 0.3 13.6 0.0 3.0 0.4 1.1 3.1 0.2 4.7 4.1 5.3 9.5 -1.7 2.9 6.5 -4.9 4.2 -0.0 OAT -2.6 15.1 2.7 3.8 3.1 3.0 1.6 1.0 2.6 10.8 -2.5 3.5 -2.2 10.2 10.7 2.6 3.5 1.5 2.0 6.2 2.2 5.6 -2.4 5.5 3.1 3.2 7.0 1.8 3.0 0.3 2.7 9.7 -0.3 -1.1 -8.4 -17.3 -14.6 -17.4 -0.3 0.3 OATIES 20.0 6.0 -17.8 -3.8 -4.8 -3.5 -3.9 -2.5 -3.2 12.8 -11.1 13.2 -13.0 7.3 -9.1 6.7 2.8 6.4 5.0 0.3 -10.1 20.0 -12.7 17.8 -20.0 -0.3 9.4 -2.7 10.0 -3.0 5.0 3.0 20.0 20.0 17.3 -5.9 11.9 -0.3 20.0 9.2 OJ 13.4 -2.8 -1.5 -4.5 -5.7 -4.1 -4.6 -2.9 -3.7 11.9 13.7 11.7 14.8 9.9 11.7 11.4 11.8 10.0 9.9 15.6 16.9 20.0 20.0 18.2 -20.0 5.1 8.2 5.8 7.7 9.0 6.4 14.8 13.4 20.0 20.0 20.0 12.6 12.3 20.0 20.0 PALLAD 9.6 2.2 6.5 -1.8 0.1 -2.2 -0.2 -1.3 -0.4 -5.7 -4.6 1.7 -8.1 1.7 -1.3 -1.6 -2.0 -1.8 -1.9 -0.5 -3.1 -0.3 -7.5 1.2 14.8 -0.4 0.5 -2.4 1.8 -4.2 1.7 6.1 5.7 2.2 1.1 6.0 -20.0 -20.0 -20.0 -20.0 PLAT 1.4 -11.5 -6.7 -2.2 0.1 -2.7 -0.2 -1.6 -0.5 -5.8 -5.8 -6.9 -4.5 -8.3 -9.1 -4.5 -4.4 -4.8 -4.8 -5.8 -3.1 -8.3 -1.2 -7.1 5.0 -3.2 0.1 -2.5 -1.5 -1.0 -2.3 1.5 -4.9 -7.9 -7.3 1.6 -5.5 -7.9 -5.9 1.5 REDWHEAT 11.7 -8.1 -20.0 -5.5 -7.0 -5.1 -5.7 -3.6 -4.6 16.3 -17.7 14.4 -18.7 0.5 -17.9 -9.4 -5.9 -10.1 -8.5 -14.9 -20.0 20.0 -20.0 3.0 -5.8 -4.9 7.8 -5.8 6.6 -5.5 0.1 -15.7 20.0 9.4 -2.9 -13.1 -20.0 -20.0 -19.5 -20.0 RICE -1.3 -2.3 -10.6 -4.7 -6.0 -4.4 -4.9 -3.1 -4.0 14.1 8.7 6.6 12.0 2.3 -2.8 -9.2 20.0 17.7 20.0 -2.3 1.0 6.4 7.1 -0.0 -10.7 -0.2 5.0 1.5 1.7 3.1 -0.6 20.0 12.1 -4.7 12.2 18.0 -20.0 -18.0 -20.0 -17.5 ROBUSTA 20.0 -3.5 7.2 -3.3 -4.2 -3.0 -3.4 -2.1 -2.7 8.1 11.9 9.9 11.9 10.6 11.6 20.0 20.0 20.0 20.0 19.4 20.0 15.1 20.0 19.5 -20.0 4.6 1.9 5.8 2.7 7.5 4.0 20.0 17.4 20.0 20.0 20.0 4.5 -5.1 12.1 2.1 RUSSELL 6.4 -2.0 0.1 1.5 -2.9 2.5 0.0 3.6 1.3 -9.6 3.7 1.5 7.3 0.9 1.7 -5.1 -6.5 -5.8 -6.2 3.3 4.4 -4.1 4.5 1.0 -0.7 2.6 0.3 3.0 1.5 2.9 2.1 -0.4 9.1 -1.7 17.5 4.2 2.5 -15.8 -6.7 -20.0 SHATZ -7.6 20.0 20.0 2.5 2.1 2.0 1.1 0.7 1.7 7.6 -0.4 3.1 -3.9 6.4 7.2 -20.0 -20.0 -20.0 -20.0 9.2 5.1 5.5 -3.2 6.9 7.3 2.7 2.7 1.7 1.6 -0.3 2.0 -20.0 4.7 -2.9 2.5 -0.3 -20.0 -18.2 -16.1 -10.8 SILVER-mini 10.5 -14.9 -1.4 -2.2 0.1 -2.7 -0.2 -1.6 -0.5 -4.5 3.5 -0.2 4.9 -2.2 -3.4 -6.6 -6.4 -6.2 -6.2 -1.3 2.3 -4.6 5.6 -2.0 2.3 -1.0 0.8 -0.1 0.9 1.9 0.5 -1.5 2.3 3.8 -3.6 8.0 5.0 -3.9 6.2 7.9 SMI 11.9 -12.5 -1.2 2.1 -4.1 3.6 0.0 5.1 1.8 -12.1 12.4 3.3 13.4 9.8 10.7 -2.9 0.0 -2.9 -1.9 6.6 10.0 -6.5 11.7 3.6 10.4 4.9 -8.8 6.1 -2.2 6.2 2.7 9.1 -15.9 -1.3 19.6 15.8 1.2 1.1 -10.5 -2.7 SOFR 2.3 20.0 20.0 3.8 3.1 3.0 1.6 1.0 2.5 12.8 10.5 13.1 5.2 13.6 13.9 1.7 -0.7 0.2 -0.5 19.3 15.2 12.3 6.1 15.9 -5.1 4.9 1.6 4.2 2.2 2.4 3.7 3.8 2.8 3.9 3.1 9.1 9.2 -13.2 20.0 7.2 SOYBEAN 10.7 -12.4 -20.0 -2.6 -3.3 -2.4 -2.7 -1.7 -2.2 8.8 -8.7 6.8 -8.1 -3.2 -7.9 -13.4 1.6 -8.9 -4.6 -11.3 -13.9 8.7 -11.6 -1.7 -16.5 -3.0 2.1 -3.4 1.5 -2.6 -0.9 -6.0 18.3 0.2 -10.4 -13.1 -1.9 -20.0 3.5 -15.6 SOYMEAL 10.7 1.8 -12.2 -2.8 -3.6 -2.6 -2.9 -1.8 -2.3 8.5 -8.3 7.0 -9.0 1.2 -7.3 -4.9 4.3 -1.0 1.1 -5.1 -8.8 12.0 -8.9 3.1 -19.4 -2.2 3.6 -2.8 3.1 -2.3 0.3 1.0 16.8 2.0 1.9 -2.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 9.4 -11.7 -2.5 -2.3 -3.0 -2.2 -2.4 -1.5 -1.9 -0.1 -6.9 2.7 -8.2 -4.4 -6.1 4.0 1.8 4.0 2.0 -5.8 -7.3 1.8 -7.8 -1.7 -18.4 -1.9 2.1 -2.5 2.1 -2.4 0.1 -1.0 19.6 7.8 -7.1 -0.2 -2.7 -9.3 5.8 -2.7 SP400 9.0 -2.4 -7.5 1.8 -3.4 3.0 0.0 4.3 1.5 -11.4 5.7 0.7 9.5 2.5 2.5 -6.2 -5.9 -5.9 -5.9 2.9 4.3 -6.4 6.5 0.9 -9.4 3.1 -0.6 3.8 1.6 4.6 2.8 0.4 6.2 -0.6 15.7 -0.5 5.8 -7.1 -4.4 -20.0 SP500_micro 14.1 -20.0 -9.5 1.9 -3.6 3.1 0.0 4.5 1.6 -11.9 9.2 4.5 11.9 5.9 6.4 -9.1 -12.0 -10.8 -11.7 5.7 9.5 -4.3 14.0 3.1 -16.3 2.6 0.9 4.4 2.5 7.0 2.7 -10.1 6.2 8.7 -3.9 7.9 6.5 2.8 -6.4 -0.5 SUGAR11 16.2 3.6 3.3 -4.0 -5.1 -3.7 -4.1 -2.6 -3.3 4.3 -10.9 8.6 -11.3 4.1 -3.1 -4.0 5.8 -3.2 0.1 -0.3 -7.6 10.6 -9.0 8.2 -20.0 -0.1 0.7 -3.2 4.1 -3.9 3.4 1.9 20.0 20.0 2.6 10.8 -8.1 14.7 -4.8 17.8 US10 0.1 19.8 20.0 2.9 2.4 2.3 1.2 0.8 1.9 9.2 6.9 7.8 0.2 8.9 9.7 -5.9 -7.3 -6.8 -7.0 12.2 9.2 7.8 1.7 9.8 2.0 3.5 1.1 3.0 1.3 1.4 2.4 -7.4 -1.5 -0.4 1.0 4.8 4.0 -20.0 20.0 5.3 US10U 1.0 18.3 20.0 4.0 3.2 3.1 1.7 1.0 2.7 12.3 9.1 10.4 -0.4 12.6 13.5 -3.7 -3.0 -3.9 -3.8 15.0 11.0 10.1 1.3 12.3 -0.5 4.8 1.5 4.1 1.5 1.9 3.2 -0.9 -4.2 -0.5 -2.0 3.7 4.5 -17.9 20.0 14.9 US2 -1.1 20.0 20.0 2.3 1.9 1.8 1.0 0.6 1.5 7.4 2.8 6.5 -2.8 7.1 7.3 -20.0 -20.0 -20.0 -20.0 10.6 6.7 7.9 -0.9 9.2 11.6 2.7 1.3 1.9 1.5 0.5 2.2 -20.0 4.4 0.2 8.5 5.3 0.9 -20.0 5.3 -11.2 US20 2.7 16.8 18.2 2.9 2.3 2.3 1.2 0.8 1.9 8.9 6.7 7.5 1.8 8.7 9.3 -0.8 -0.8 -0.9 -0.8 10.3 7.8 6.8 1.7 8.4 -2.3 3.4 1.0 3.3 0.9 1.8 2.2 3.6 -4.9 -0.5 -3.3 2.9 4.9 -10.2 20.0 20.0 US30 3.5 14.7 16.1 3.4 2.8 2.7 1.5 0.9 2.3 10.7 6.9 8.8 0.1 10.0 10.5 -5.3 -5.0 -4.8 -4.8 10.3 7.2 7.9 0.2 9.0 -1.6 4.0 1.6 3.7 1.3 1.8 2.7 -3.5 -4.9 -0.7 -7.3 -0.1 1.9 -9.4 20.0 20.0 US5 -0.6 20.0 20.0 2.9 2.3 2.3 1.2 0.8 1.9 9.4 6.4 8.0 -0.9 9.0 9.5 -11.4 -11.0 -11.8 -11.3 13.0 9.4 8.7 1.4 10.7 5.7 3.5 1.4 2.8 1.7 1.2 2.6 -14.1 1.8 0.2 4.2 5.9 4.7 -20.0 18.4 -1.3 VIX -3.6 20.0 20.0 1.3 -0.3 0.3 -0.0 -1.0 0.9 3.8 -4.4 -0.3 -6.4 -3.6 -3.9 1.8 -20.0 -20.0 -20.0 0.9 -0.4 3.0 -3.2 1.3 NaN 1.4 -0.5 0.4 -0.0 -1.2 1.0 NaN NaN NaN NaN NaN -11.6 -20.0 NaN NaN WHEAT 10.2 -9.1 -20.0 -4.0 -5.1 -3.7 -4.1 -2.6 -3.3 11.5 -12.5 10.1 -12.9 -0.8 -12.8 -16.8 -15.3 -17.0 -16.4 -11.7 -15.0 15.5 -14.9 1.0 2.9 -3.8 4.3 -4.1 3.2 -3.4 -0.8 -20.0 20.0 4.2 -5.8 -10.6 -19.7 -20.0 -17.5 -20.0 End of report for caleb_strategy_v3