******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240930_203915 produced at 2024-09-30 21:37:39.244702 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 DX False False 0.04 0.00 -0.14 0.0 999.00 -999.00 0.00 0.00 -3.85 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.09 0.0 0.53 -0.53 -0.06 -0.08 -10.32 60.0 -7 -9 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.06 0.0 0.10 -0.10 -0.03 -0.03 -1.78 3.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -9.51 999999999.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.10 -0.10 -0.04 -0.04 -6.15 12.0 -5 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -18.32 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.40 4.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.66 24.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.05 -1.32 11.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.02 0.0 0.33 -0.33 -0.04 -0.04 -0.43 8.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.02 0.0 0.10 -0.10 -0.01 -0.01 -1.56 9.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -6.17 51.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.99 8.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -1.44 4.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.05 -0.01 0.0 0.68 -0.68 0.05 0.05 -0.26 13.0 1 1 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.37 3.0 -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 JPY False False 0.03 0.00 -0.01 0.0 0.52 -0.52 0.00 0.00 -0.31 17.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.01 0.0 0.13 -0.13 -0.08 -0.08 -0.63 7.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.70 9.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -3.48 26.0 -7 -6 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 -0.01 -0.44 23.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.02 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.06 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.31 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.09 999999999.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.02 12.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.23 0.01 6.0 5 5 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.53 -0.53 0.00 0.00 -0.00 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 0.01 0.0 0.39 -0.39 -0.02 0.00 0.49 20.0 -1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 2.12 2.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.01 0.0 0.75 -0.75 0.00 0.00 0.33 29.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.21 -0.21 0.00 0.00 0.24 6.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.01 0.0 0.12 -0.12 0.02 0.02 0.53 5.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.25 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 2.33 68.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.04 0.01 0.0 0.15 -0.15 0.04 0.04 1.59 18.0 5 5 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.11 2.0 2 2 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.89 -0.89 0.00 0.00 0.19 19.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.60 3.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.58 -0.58 0.00 0.00 0.59 26.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.02 0.0 0.42 -0.42 0.02 0.02 0.93 23.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.66 999999999.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.02 0.0 0.50 -0.50 0.05 0.05 0.47 10.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.00 0.02 0.0 0.34 -0.34 0.00 0.00 2.19 36.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.48 -0.48 0.00 0.00 1.54 48.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.02 0.0 0.54 -0.54 0.00 0.00 0.39 13.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.68 -0.68 0.00 0.00 0.47 17.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.02 0.03 0.0 0.08 -0.08 0.02 0.02 1.68 5.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.12 0.03 0.0 0.96 -0.96 0.12 0.08 0.76 25.0 3 2 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.39 13.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 5.54 66.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.82 9.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.47 -0.47 0.04 0.04 2.02 21.0 2 2 caleb_strategy_v3 EUR False False 0.05 0.10 0.05 0.0 0.68 -0.68 0.10 0.10 1.08 14.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.10 0.07 0.0 0.46 -0.46 0.10 0.10 2.69 19.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.07 0.0 0.13 -0.13 0.05 0.05 6.47 13.0 5 5 caleb_strategy_v3 DAX False False 0.01 0.02 0.07 0.0 0.44 -0.44 0.02 0.02 8.94 58.0 2 2 caleb_strategy_v3 COPPER False False 0.04 0.08 0.07 0.0 999.00 -999.00 0.08 0.08 1.75 999999999.0 2 2 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.08 0.0 0.52 -0.52 0.02 0.02 8.61 56.0 2 2 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.08 0.0 0.44 -0.44 0.10 0.10 3.08 17.0 4 4 caleb_strategy_v3 BTP False False 0.05 0.05 0.09 0.0 0.47 -0.47 0.05 0.05 1.80 10.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.03 0.10 0.0 0.64 -0.64 0.03 0.03 3.29 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.29 0.44 0.0 0.57 -0.57 0.29 0.29 12.45 16.0 8 8 caleb_strategy_v3 SOFR False True 0.08 0.00 0.76 0.0 0.00 0.00 0.00 0.00 8.93 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 1.02 0.0 0.96 -0.96 0.00 0.00 10.63 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.9 Shocked risk 20.0 Sum abs risk 31.6 Leverage 4.03 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2860598.01, 'annual_cash_vol_target': 715149.5025, 'daily_cash_vol_target': 44696.84390625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6928 0.6187 9.8997 BITCOIN 1608.8760 66260.0000 2.4281 38.8500 BOBL 0.2407 120.0100 0.2005 3.2087 BTP 0.4788 121.5700 0.3938 6.3016 BUND 0.4497 134.8700 0.3334 5.3346 BUXL 1.0911 136.1600 0.8014 12.8217 CAC 74.1004 7658.5000 0.9676 15.4809 CAD 0.0027 0.7411 0.3702 5.9239 CANOLA 9.7021 616.3000 1.5743 25.1880 CHF 0.0058 1.1918 0.4825 7.7199 COCOA 156.8193 6412.0000 2.4457 39.1315 COFFEE 4.7856 269.6000 1.7751 28.4010 COPPER 0.0616 4.5540 1.3522 21.6348 CORN 4.5464 453.5000 1.0025 16.0403 COTTON2 1.0788 73.5500 1.4668 23.4691 CRUDE_W 1.2049 67.9200 1.7740 28.3838 DAX 155.2828 19516.0000 0.7957 12.7307 DOW 251.5936 42465.0000 0.5925 9.4796 DX 0.3597 100.4950 0.3579 5.7262 EUR 0.0046 1.1168 0.4121 6.5939 EURIBOR-ICE 0.0437 98.0750 0.0446 0.7128 EUROSTX 48.6921 5031.0000 0.9678 15.4855 FEEDCOW 1.6979 238.8500 0.7109 11.3738 GASOIL 10.8726 652.7500 1.6657 26.6506 GASOLINE 0.0343 1.9011 1.8029 28.8458 GAS_US_mini 0.0874 3.3400 2.6170 41.8725 GBP 0.0064 1.3374 0.4789 7.6622 GOLD_micro 18.4124 2653.4000 0.6939 11.1027 HEATOIL 0.0351 2.1807 1.6118 25.7891 JGB-SGX-mini 0.2491 144.6400 0.1722 2.7555 JPY 0.0001 0.0070 0.7773 12.4364 LEANHOG 0.9610 73.3000 1.3110 20.9766 LIVECOW 1.1636 184.9000 0.6293 10.0690 LUMBER-new 8.9626 540.5000 1.6582 26.5312 MILK 0.2850 21.6600 1.3160 21.0560 MXP 0.0005 0.0503 0.9257 14.8104 NASDAQ_micro 185.3045 20151.0000 0.9196 14.7133 NIKKEI 680.6674 38010.0000 1.7908 28.6521 NZD 0.0042 0.6354 0.6618 10.5891 OAT 0.4377 126.8400 0.3451 5.5219 OATIES 5.7562 388.7500 1.4807 23.6910 OJ 8.8397 452.8500 1.9520 31.2323 PALLAD 27.5127 993.5000 2.7693 44.3084 PLAT 16.4259 989.7000 1.6597 26.5550 REDWHEAT 9.1776 598.2500 1.5341 24.5452 RICE 0.1509 15.4300 0.9781 15.6489 ROBUSTA 79.9287 5213.0000 1.5333 24.5321 RUSSELL 23.6514 2237.0000 1.0573 16.9165 SHATZ 0.0884 107.1350 0.0825 1.3199 SILVER-mini 0.5243 31.4625 1.6664 26.6620 SMI 83.3211 12209.0000 0.6825 10.9193 SOFR 0.0521 96.9000 0.0537 0.8596 SOYBEAN 11.4889 1094.0000 1.0502 16.8028 SOYMEAL 5.0828 341.4000 1.4888 23.8210 SOYOIL 0.7447 43.3200 1.7191 27.5055 SP400 25.7665 3131.7000 0.8228 13.1642 SP500_micro 37.7016 5780.2500 0.6522 10.4360 SUGAR11 0.3484 21.1400 1.6480 26.3676 US10 0.3479 114.2969 0.3044 4.8697 US10U 0.4710 118.3281 0.3981 6.3688 US2 0.1091 104.1250 0.1048 1.6764 US20 0.6990 124.2188 0.5628 9.0041 US30 1.0624 133.1562 0.7979 12.7658 US5 0.2364 109.8906 0.2151 3.4422 VIX 0.6917 18.2500 3.7900 60.6404 WHEAT 8.6019 645.5000 1.3326 21.3215 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 692.80 0.62 428.66 1.00 428.66 44696.84 104.27 9.94 103.62 BITCOIN 66.26 2.43 160.89 1.00 160.89 44696.84 277.81 -6.09 -169.17 BOBL 1200.10 0.20 240.67 1.12 268.70 44696.84 166.34 1.10 18.35 BTP 1215.70 0.39 478.80 1.12 534.56 44696.84 83.61 6.30 52.70 BUND 1348.70 0.33 449.67 1.12 502.03 44696.84 89.03 -0.02 -0.22 BUXL 1361.60 0.80 1091.13 1.12 1218.19 44696.84 36.69 -4.13 -15.15 CAC 765.85 0.97 741.00 1.12 827.29 44696.84 54.03 -0.10 -0.55 CAD 741.10 0.37 274.39 1.00 274.39 44696.84 162.90 0.79 12.87 CANOLA 123.26 1.57 194.04 0.74 144.09 44696.84 310.20 -8.18 -253.62 CHF 1489.69 0.48 718.76 1.00 718.76 44696.84 62.19 -1.59 -9.89 COCOA 641.20 2.45 1568.19 1.00 1568.19 44696.84 28.50 9.59 27.34 COFFEE 1011.00 1.78 1794.59 1.00 1794.59 44696.84 24.91 8.29 20.65 COPPER 1138.50 1.35 1539.45 1.00 1539.45 44696.84 29.03 5.57 16.18 CORN 226.75 1.00 227.32 1.00 227.32 44696.84 196.62 -12.85 -252.72 COTTON2 367.75 1.47 539.42 1.00 539.42 44696.84 82.86 -7.42 -61.52 CRUDE_W 679.20 1.77 1204.89 1.00 1204.89 44696.84 37.10 1.31 4.85 DAX 195.16 0.80 155.28 1.12 173.37 44696.84 257.82 10.16 261.98 DOW 212.32 0.59 125.80 1.00 125.80 44696.84 355.31 6.71 238.51 DX 1004.95 0.36 359.66 1.00 359.66 44696.84 124.28 -11.94 -148.39 EUR 1396.00 0.41 575.32 1.00 575.32 44696.84 77.69 5.33 41.44 EURIBOR-ICE 2451.88 0.04 109.24 1.12 121.96 44696.84 366.49 8.50 311.68 EUROSTX 503.10 0.97 486.92 1.12 543.62 44696.84 82.22 1.74 14.27 FEEDCOW 1194.25 0.71 848.95 1.00 848.95 44696.84 52.65 -2.46 -12.97 GASOIL 652.75 1.67 1087.26 1.00 1087.26 44696.84 41.11 -7.83 -32.20 GASOLINE 798.46 1.80 1439.52 1.00 1439.52 44696.84 31.05 0.69 2.15 GAS_US_mini 83.50 2.62 218.52 1.00 218.52 44696.84 204.54 -1.57 -32.10 GBP 835.88 0.48 400.29 1.00 400.29 44696.84 111.66 11.36 126.89 GOLD_micro 265.34 0.69 184.12 1.00 184.12 44696.84 242.75 10.40 252.50 HEATOIL 915.89 1.61 1476.25 1.00 1476.25 44696.84 30.28 -13.55 -41.02 JGB-SGX-mini 144640.00 0.17 24909.52 0.01 170.27 44696.84 262.50 4.38 114.95 JPY 878.94 0.78 683.18 1.00 683.18 44696.84 65.43 -1.80 -11.81 LEANHOG 293.20 1.31 384.40 1.00 384.40 44696.84 116.28 9.16 106.47 LIVECOW 739.60 0.63 465.44 1.00 465.44 44696.84 96.03 9.69 93.10 LUMBER-new 148.64 1.66 246.47 1.00 246.47 44696.84 181.35 -3.52 -63.90 MILK 433.20 1.32 570.09 1.00 570.09 44696.84 78.40 9.99 78.34 MXP 251.35 0.93 232.66 1.00 232.66 44696.84 192.11 -3.66 -70.34 NASDAQ_micro 403.02 0.92 370.61 1.00 370.61 44696.84 120.60 -1.58 -19.08 NIKKEI 38010.00 1.79 68066.74 0.01 465.28 44696.84 96.06 2.10 20.19 NZD 635.45 0.66 420.55 1.00 420.55 44696.84 106.28 7.34 77.97 OAT 1268.40 0.35 437.75 1.12 488.72 44696.84 91.46 1.52 13.89 OATIES 194.38 1.48 287.81 1.00 287.81 44696.84 155.30 5.62 87.24 OJ 679.28 1.95 1325.96 1.00 1325.96 44696.84 33.71 8.37 28.21 PALLAD 993.50 2.77 2751.27 1.00 2751.27 44696.84 16.25 1.13 1.83 PLAT 494.85 1.66 821.30 1.00 821.30 44696.84 54.42 -0.08 -0.44 REDWHEAT 299.12 1.53 458.88 1.00 458.88 44696.84 97.40 -15.42 -150.23 RICE 308.60 0.98 301.83 1.00 301.83 44696.84 148.09 -3.99 -59.14 ROBUSTA 521.30 1.53 799.29 1.00 799.29 44696.84 55.92 14.23 79.59 RUSSELL 111.85 1.06 118.26 1.00 118.26 44696.84 377.96 1.86 70.24 SHATZ 1071.35 0.08 88.38 1.12 98.67 44696.84 452.99 -1.43 -64.94 SILVER-mini 786.56 1.67 1310.71 1.00 1310.71 44696.84 34.10 5.63 19.21 SMI 1220.90 0.68 833.21 1.18 982.02 44696.84 45.52 5.30 24.14 SOFR 2422.50 0.05 130.14 1.00 130.14 44696.84 343.45 4.28 147.02 SOYBEAN 547.00 1.05 574.45 1.00 574.45 44696.84 77.81 -8.64 -67.22 SOYMEAL 341.40 1.49 508.28 1.00 508.28 44696.84 87.94 -8.57 -75.35 SOYOIL 259.92 1.72 446.83 1.00 446.83 44696.84 100.03 -3.32 -33.17 SP400 3131.70 0.82 2576.65 1.00 2576.65 44696.84 17.35 1.85 3.22 SP500_micro 289.01 0.65 188.51 1.00 188.51 44696.84 237.11 2.80 66.39 SUGAR11 236.77 1.65 390.19 1.00 390.19 44696.84 114.55 6.53 74.77 US10 1142.97 0.30 347.87 1.00 347.87 44696.84 128.49 2.87 36.94 US10U 1183.28 0.40 471.01 1.00 471.01 44696.84 94.90 3.22 30.51 US2 2082.50 0.10 218.19 1.00 218.19 44696.84 204.85 1.50 30.65 US20 1242.19 0.56 699.05 1.00 699.05 44696.84 63.94 3.10 19.83 US30 1331.56 0.80 1062.40 1.00 1062.40 44696.84 42.07 0.26 1.08 US5 1098.91 0.22 236.42 1.00 236.42 44696.84 189.06 3.19 60.34 VIX 182.50 3.79 691.68 1.00 691.68 44696.84 64.62 -5.96 -38.54 WHEAT 322.75 1.33 430.09 1.00 430.09 44696.84 103.92 -11.31 -117.51 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 103.621 0.010 2.5 2.689 BITCOIN -169.170 0.043 2.5 -18.319 BOBL 18.354 0.004 2.5 0.186 BTP 52.698 0.014 2.5 1.797 BUND -0.220 0.004 2.5 -0.002 BUXL -15.146 0.004 2.5 -0.154 CAC -0.551 0.014 2.5 -0.019 CAD 12.868 0.010 2.5 0.334 CANOLA -253.616 0.010 2.5 -6.170 CHF -9.890 0.010 2.5 -0.257 COCOA 27.340 0.009 2.5 0.586 COFFEE 20.648 0.005 2.5 0.241 COPPER 16.181 0.043 2.5 1.752 CORN -252.725 0.010 2.5 -6.148 COTTON2 -61.518 0.009 2.5 -1.318 CRUDE_W 4.852 0.043 2.5 0.525 DAX 261.984 0.014 2.5 8.936 DOW 238.510 0.009 2.5 5.543 DX -148.394 0.010 2.5 -3.850 EUR 41.444 0.010 2.5 1.075 EURIBOR-ICE 311.680 0.014 2.5 10.631 EUROSTX 14.271 0.014 2.5 0.487 FEEDCOW -12.966 0.013 2.5 -0.430 GASOIL -32.203 0.017 2.5 -1.396 GASOLINE 2.146 0.017 2.5 0.093 GAS_US_mini -32.096 0.043 2.5 -3.476 GBP 126.892 0.010 2.5 3.292 GOLD_micro 252.499 0.014 2.5 8.612 HEATOIL -41.021 0.017 2.5 -1.778 JGB-SGX-mini 114.955 0.043 2.5 12.448 JPY -11.808 0.010 2.5 -0.306 LEANHOG 106.469 0.024 2.5 6.471 LIVECOW 93.095 0.013 2.5 3.085 LUMBER-new -63.903 0.009 2.5 -1.368 MILK 78.343 0.009 2.5 1.678 MXP -70.335 0.059 2.5 -10.323 NASDAQ_micro -19.083 0.009 2.5 -0.443 NIKKEI 20.194 0.043 2.5 2.187 NZD 77.966 0.010 2.5 2.023 OAT 13.886 0.014 2.5 0.474 OATIES 87.242 0.010 2.5 2.122 OJ 28.214 0.009 2.5 0.604 PALLAD 1.831 0.014 2.5 0.062 PLAT -0.445 0.014 2.5 -0.015 REDWHEAT -150.231 0.005 2.5 -1.993 RICE -59.138 0.010 2.5 -1.439 ROBUSTA 79.588 0.005 2.5 0.929 RUSSELL 70.244 0.013 2.5 2.328 SHATZ -64.940 0.004 2.5 -0.659 SILVER-mini 19.212 0.014 2.5 0.655 SMI 24.139 0.014 2.5 0.823 SOFR 147.018 0.024 2.5 8.935 SOYBEAN -67.217 0.004 2.5 -0.625 SOYMEAL -75.350 0.004 2.5 -0.701 SOYOIL -33.175 0.004 2.5 -0.309 SP400 3.218 0.013 2.5 0.107 SP500_micro 66.388 0.009 2.5 1.543 SUGAR11 74.765 0.009 2.5 1.590 US10 36.938 0.005 2.5 0.468 US10U 30.509 0.005 2.5 0.387 US2 30.649 0.005 2.5 0.388 US20 19.831 0.005 2.5 0.251 US30 1.077 0.005 2.5 0.014 US5 60.338 0.005 2.5 0.765 VIX -38.539 0.099 2.5 -9.513 WHEAT -117.509 0.005 2.5 -1.559 ===================== Position diags ===================== AUD 2.71 BITCOIN 30.08 BOBL 1.69 BTP 2.85 BUND 0.90 BUXL 0.37 CAC 1.84 CAD 4.23 CANOLA 7.55 CHF 1.61 COCOA 0.61 COFFEE 0.29 COPPER 3.14 CORN 4.78 COTTON2 1.77 CRUDE_W 4.02 DAX 8.79 DOW 8.26 DX 3.22 EUR 2.02 EURIBOR-ICE 12.50 EUROSTX 2.80 FEEDCOW 1.74 GASOIL 1.78 GASOLINE 1.35 GAS_US_mini 22.15 GBP 2.90 GOLD_micro 8.28 HEATOIL 1.31 JGB-SGX-mini 28.43 JPY 1.70 LEANHOG 7.07 LIVECOW 3.18 LUMBER-new 3.88 MILK 1.68 MXP 28.20 NASDAQ_micro 2.80 NIKKEI 10.40 NZD 2.76 OAT 3.12 OATIES 3.78 OJ 0.72 PALLAD 0.55 PLAT 1.86 REDWHEAT 1.29 RICE 3.60 ROBUSTA 0.65 RUSSELL 12.52 SHATZ 4.59 SILVER-mini 1.16 SMI 1.55 SOFR 20.87 SOYBEAN 0.72 SOYMEAL 0.82 SOYOIL 0.93 SP400 0.57 SP500_micro 5.51 SUGAR11 2.44 US10 1.63 US10U 1.20 US2 2.60 US20 0.81 US30 0.53 US5 2.40 VIX 15.95 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.7 2.4 3.0 4.0 4 BITCOIN -18.3 -21.3 -15.3 0.0 0 BOBL 0.2 0.0 0.4 0.0 0 BTP 1.8 1.5 2.1 1.0 1 BUND -0.0 -0.1 0.1 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC -0.0 -0.2 0.2 0.0 0 CAD 0.3 -0.1 0.8 0.0 0 CANOLA -6.2 -6.9 -5.4 -2.0 -2 CHF -0.3 -0.4 -0.1 1.0 1 COCOA 0.6 0.5 0.6 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER 1.8 1.4 2.1 2.0 2 CORN -6.1 -6.6 -5.7 -5.0 -5 COTTON2 -1.3 -1.5 -1.1 -4.0 -4 CRUDE_W 0.5 0.1 0.9 1.0 1 DAX 8.9 8.1 9.8 2.0 2 DOW 5.5 4.7 6.4 0.0 0 DX -3.9 -4.2 -3.5 0.0 0 EUR 1.1 0.9 1.3 2.0 2 EURIBOR-ICE 10.6 9.4 11.9 0.0 0 EUROSTX 0.5 0.2 0.8 -1.0 -1 FEEDCOW -0.4 -0.6 -0.3 -1.0 -1 GASOIL -1.4 -1.6 -1.2 -1.0 -1 GASOLINE 0.1 -0.0 0.2 0.0 0 GAS_US_mini -3.5 -5.7 -1.3 -7.0 -7 GBP 3.3 3.0 3.6 1.0 1 GOLD_micro 8.6 7.8 9.4 2.0 2 HEATOIL -1.8 -1.9 -1.6 -1.0 -1 JGB-SGX-mini 12.4 9.6 15.3 8.0 8 JPY -0.3 -0.5 -0.1 0.0 0 LEANHOG 6.5 5.8 7.2 5.0 5 LIVECOW 3.1 2.8 3.4 4.0 4 LUMBER-new -1.4 -1.8 -1.0 -2.0 -2 MILK 1.7 1.5 1.8 1.0 1 MXP -10.3 -13.1 -7.5 -7.0 -7 NASDAQ_micro -0.4 -0.7 -0.2 -1.0 -1 NIKKEI 2.2 1.1 3.2 0.0 0 NZD 2.0 1.7 2.3 2.0 2 OAT 0.5 0.2 0.8 1.0 1 OATIES 2.1 1.7 2.5 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD 0.1 0.0 0.1 0.0 0 PLAT -0.0 -0.2 0.2 0.0 0 REDWHEAT -2.0 -2.1 -1.9 0.0 0 RICE -1.4 -1.8 -1.1 NaN 0 ROBUSTA 0.9 0.9 1.0 1.0 1 RUSSELL 2.3 1.1 3.6 0.0 0 SHATZ -0.7 -1.1 -0.2 NaN 0 SILVER-mini 0.7 0.5 0.8 0.0 0 SMI 0.8 0.7 1.0 0.0 0 SOFR 8.9 6.8 11.0 NaN 0 SOYBEAN -0.6 -0.7 -0.6 -4.0 -4 SOYMEAL -0.7 -0.8 -0.6 -2.0 -2 SOYOIL -0.3 -0.4 -0.2 0.0 0 SP400 0.1 0.0 0.2 2.0 2 SP500_micro 1.5 1.0 2.1 0.0 0 SUGAR11 1.6 1.3 1.8 5.0 5 US10 0.5 0.3 0.6 0.0 0 US10U 0.4 0.3 0.5 0.0 0 US2 0.4 0.1 0.6 NaN 0 US20 0.3 0.2 0.3 0.0 0 US30 0.0 -0.0 0.1 5.0 5 US5 0.8 0.5 1.0 3.0 3 VIX -9.5 -11.1 -7.9 -5.0 -5 WHEAT -1.6 -1.7 -1.4 -1.0 -1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.3 0.4 0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.2 0.1 0.2 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.1 0.2 0.3 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.5 0.0 0.3 0.0 0.4 -0.2 0.6 -0.0 BITCOIN 0.4 -0.1 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 0.2 0.1 -2.7 -0.0 0.1 -0.0 0.1 0.3 0.1 -0.1 0.2 -0.6 -0.6 -0.2 -0.1 -0.1 -0.1 0.0 BOBL 0.1 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 0.3 -0.2 -0.1 -0.2 0.1 0.1 0.1 0.0 0.1 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 0.3 0.2 -0.0 -0.0 -0.7 -0.7 -0.2 -0.2 BTP 0.3 0.3 0.4 0.1 0.0 0.2 0.0 0.1 0.0 0.2 0.5 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.7 0.5 0.6 0.1 -0.4 -0.7 -0.5 -0.0 0.3 BUND 0.1 0.2 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.1 0.1 0.1 -0.4 -0.1 -0.2 -0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.2 0.1 -0.2 -0.2 -0.7 -0.6 -0.1 -0.1 BUXL -0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.2 -0.0 0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.3 -0.5 -0.5 -0.7 -0.7 -0.2 -0.2 CAC 0.3 0.3 -0.5 0.0 0.0 0.1 0.1 0.2 0.1 0.1 -0.2 0.1 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.0 0.1 -1.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.2 0.2 -0.1 -0.0 -0.6 0.4 0.2 -0.0 0.0 CAD -0.1 0.5 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.0 -0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 0.1 0.0 -0.0 0.1 -0.2 0.1 -0.6 0.1 -0.1 0.4 -0.3 0.2 -0.1 CANOLA 0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.1 0.1 -0.2 0.0 -1.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.3 0.1 0.1 -0.0 -0.1 -0.4 0.1 -0.2 CHF -0.4 0.4 0.6 0.0 0.0 0.1 0.0 0.0 0.1 0.0 0.2 -0.0 -0.0 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.0 0.1 0.1 0.5 0.1 0.0 0.1 0.0 0.1 0.0 -1.1 -0.2 -0.3 -0.0 0.6 -0.1 -0.4 -0.4 -0.4 COCOA 0.2 0.3 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.0 0.3 0.0 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.0 0.1 0.3 0.3 0.7 0.4 0.7 0.6 COFFEE 0.4 0.2 0.2 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 0.4 0.2 0.6 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.6 0.3 -0.4 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.1 0.2 -2.1 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.5 0.5 0.2 -0.1 0.7 0.3 0.7 0.7 CORN 0.4 0.3 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 -0.4 0.2 -0.7 0.2 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.1 -1.6 -0.0 0.0 -0.3 0.0 -0.4 0.0 -1.1 -0.1 0.1 -0.0 -0.6 0.0 -0.2 0.1 -0.0 COTTON2 0.6 0.6 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 0.1 0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.6 -0.1 0.3 0.4 0.3 -0.4 -0.4 -0.2 -0.2 CRUDE_W 0.0 -0.4 -0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.1 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.6 -0.1 0.3 0.3 0.1 0.1 0.4 0.1 0.6 DAX 0.3 0.4 -0.3 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.3 0.2 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.3 0.2 1.3 0.0 0.1 0.1 0.1 0.2 0.1 -0.3 0.4 0.2 0.3 -0.4 0.5 0.2 0.1 0.1 DOW 0.4 0.5 0.1 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.4 0.2 -1.7 0.1 0.0 0.1 0.0 0.2 0.1 -0.4 -0.1 0.6 0.6 0.5 0.4 0.1 -0.2 -0.2 DX 0.0 -0.6 -0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.0 -0.4 -0.1 0.1 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 -0.5 -0.6 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.1 0.3 0.4 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.3 0.1 -0.1 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 2.7 0.1 -0.0 0.2 0.0 0.1 0.1 -0.5 -0.2 -0.3 0.0 0.2 0.0 -0.7 -0.2 -0.7 EURIBOR-ICE 0.1 0.5 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 -0.0 0.0 -0.0 0.1 0.1 0.1 0.2 0.1 1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.3 0.2 0.1 -0.6 -0.7 0.0 0.1 EUROSTX 0.3 0.2 -0.5 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.2 0.2 0.1 -0.3 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.3 -0.0 0.1 -0.6 0.2 0.0 -0.6 -0.2 FEEDCOW 0.6 -0.4 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.4 0.2 -0.5 0.1 -0.1 0.4 -0.2 0.3 0.1 -0.1 -0.2 0.2 -0.5 0.1 -1.1 -0.0 0.0 -0.2 0.1 -0.1 0.0 -0.6 0.5 0.4 -0.6 -0.6 0.2 0.7 0.6 0.7 GASOIL -0.1 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 0.0 -0.1 -0.2 0.1 0.2 0.1 0.1 -0.2 -0.2 -0.0 -0.2 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.2 -0.3 -0.1 -0.1 -0.4 -0.2 -0.6 GASOLINE 0.1 -0.5 -0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 0.0 0.0 -0.1 -0.1 0.2 0.4 0.4 0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.1 0.5 0.3 0.2 0.3 0.5 0.5 0.7 GAS_US_mini 0.5 0.3 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.5 0.2 -0.7 0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.2 -0.5 0.1 2.7 0.0 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.6 0.6 0.2 -0.2 -0.6 -0.2 -0.7 GBP 0.1 0.5 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.6 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.2 0.4 0.2 -0.3 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.4 0.3 0.4 0.6 0.2 -0.7 0.3 -0.7 GOLD_micro 0.6 0.5 0.4 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -1.5 0.1 0.0 0.2 0.1 0.2 0.1 -0.7 0.4 0.5 0.6 0.6 0.5 -0.1 0.4 0.1 HEATOIL -0.1 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.3 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.5 0.1 0.2 0.0 -0.0 -0.2 0.2 -0.4 0.1 JGB-SGX-mini 0.2 0.4 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 0.2 0.3 0.3 0.3 0.1 0.1 0.0 0.1 0.1 -1.2 0.0 -0.0 0.0 0.0 0.0 0.0 1.1 0.2 -0.0 0.1 -0.1 -0.3 -0.2 -0.4 0.1 JPY -0.3 0.5 0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 -0.0 -0.0 0.0 2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.4 -0.1 -0.0 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.3 0.6 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.2 0.1 -0.3 0.2 0.2 0.4 0.4 0.4 0.4 0.1 -0.0 0.1 -0.4 0.2 0.7 0.0 -0.0 -0.0 0.0 -0.1 0.1 1.1 -0.1 -0.1 0.6 0.4 0.0 -0.2 0.2 0.1 LIVECOW 0.6 -0.1 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 0.2 0.2 0.3 0.2 0.0 -0.1 0.2 0.1 0.2 0.1 0.1 0.2 0.2 0.2 -2.3 0.0 0.1 0.0 0.1 0.1 0.1 0.9 0.5 0.6 -0.2 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.1 0.2 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.1 -0.4 0.0 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.0 NaN 0.0 0.0 -0.1 0.1 -0.2 0.0 -1.2 0.1 0.1 0.2 0.4 0.1 -0.0 0.3 0.1 MILK -0.1 0.5 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.3 -0.0 0.3 0.1 0.1 0.4 -0.1 0.4 0.2 0.2 0.2 0.0 0.3 0.1 1.9 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 -0.4 0.0 0.6 0.6 0.0 -0.7 0.3 -0.7 MXP 0.4 -0.2 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.4 -0.1 -0.6 -0.6 0.4 0.4 0.6 0.7 NASDAQ_micro 0.5 0.2 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.3 0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -2.6 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 -0.1 0.5 0.3 0.1 0.1 0.1 -0.3 -0.0 NIKKEI 0.2 0.0 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.0 0.2 0.1 0.1 -0.0 -0.0 0.1 0.1 0.0 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.1 0.0 -0.4 -0.4 0.4 0.1 0.4 0.0 NZD 0.1 0.6 0.2 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 0.1 0.2 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.4 0.0 0.3 -0.0 0.2 -0.2 0.1 -0.0 OAT -0.1 0.2 0.4 0.0 0.0 0.1 0.0 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 0.0 -0.0 -0.0 0.0 0.5 0.0 0.0 0.1 -0.0 0.0 0.0 0.7 -0.1 -0.2 -0.2 -0.5 -0.4 -0.5 0.1 0.1 OATIES 0.6 0.6 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.2 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 -0.2 0.2 -2.7 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.6 0.6 0.1 0.5 0.0 0.7 0.4 OJ -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.5 0.1 0.1 0.3 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 1.0 -0.5 0.1 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.5 0.5 0.4 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 0.0 1.9 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.4 -0.1 0.1 0.3 -0.6 -0.7 -0.7 -0.7 PLAT 0.6 0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.7 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 -0.0 -0.3 -0.0 -0.1 -0.2 -0.3 0.0 REDWHEAT 0.3 0.3 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.4 -0.0 -0.7 0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 0.0 -0.5 0.0 -0.7 -0.0 0.0 -0.2 0.0 -0.3 0.0 -0.8 -0.5 0.0 -0.0 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.2 -0.0 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 0.3 -0.0 0.5 0.0 0.0 -0.2 0.4 0.1 0.4 0.0 0.0 -0.0 0.2 0.0 -1.7 0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.5 -0.1 -0.2 0.5 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.5 0.6 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 1.1 0.1 0.6 0.6 0.6 0.3 -0.1 0.6 0.1 RUSSELL 0.2 0.2 0.1 0.0 0.0 0.1 0.1 0.2 0.0 -0.0 0.1 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 -0.2 0.3 0.1 0.3 0.0 -0.5 -0.3 -0.7 SHATZ 0.1 0.4 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.0 0.1 0.9 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.3 0.3 0.1 0.2 -0.7 -0.6 -0.4 -0.3 SILVER-mini 0.6 0.3 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 0.3 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 0.0 0.2 0.1 0.1 0.2 -0.1 0.0 0.3 SMI -0.2 -0.1 -0.2 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.3 -0.0 0.5 0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.3 0.0 1.5 0.0 0.0 0.2 0.0 0.3 0.0 0.5 -0.2 -0.6 -0.0 0.1 -0.0 0.0 -0.5 -0.1 SOFR -0.3 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 -0.1 0.4 0.1 0.2 0.1 -0.0 0.0 0.0 0.2 0.2 -0.1 0.4 0.0 -1.0 0.1 -0.0 0.2 -0.0 0.2 -0.0 0.4 -0.4 -0.6 -0.2 0.1 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 0.3 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.4 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.2 0.3 -0.1 -0.5 0.0 -0.5 0.3 -0.3 SOYMEAL 0.5 0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.4 0.1 -0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.1 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.3 0.3 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.2 0.1 -2.5 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.4 0.2 0.1 0.1 -0.1 -0.3 0.2 -0.1 SP400 0.3 0.2 -0.1 0.0 0.0 0.1 0.1 0.2 0.0 0.0 0.2 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.5 0.1 0.0 0.1 0.0 0.2 0.1 0.0 -0.1 0.4 0.2 0.2 0.2 -0.2 -0.2 -0.7 SP500_micro 0.5 0.4 -0.5 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.5 -0.1 0.6 0.5 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.3 0.1 0.1 0.4 0.2 0.2 0.1 0.2 0.0 0.2 -0.1 0.2 -2.7 0.0 0.0 0.0 0.1 -0.0 0.1 0.5 0.5 0.6 0.6 0.6 -0.4 0.4 -0.4 0.5 US10 -0.2 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.0 0.2 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.3 -0.2 -0.3 -0.1 0.0 0.1 -0.7 0.7 0.2 US10U -0.2 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 -0.1 0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.1 0.2 0.0 -0.2 0.0 -0.0 0.2 -0.0 0.1 -0.0 -0.0 -0.3 -0.5 -0.2 -0.1 0.2 -0.6 0.7 0.6 US2 -0.0 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.0 0.0 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 0.1 0.1 1.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.1 0.0 0.2 0.3 0.0 -0.7 0.2 -0.4 US20 -0.2 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.1 0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 0.0 -0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -0.3 -0.5 -0.3 -0.2 0.2 -0.3 0.7 0.7 US30 -0.2 0.3 0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -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 -0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.4 -0.6 -0.3 -0.3 0.1 -0.3 0.7 0.7 US5 -0.2 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.0 0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.2 0.1 0.9 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.7 -0.2 -0.2 -0.0 0.1 0.2 -0.7 0.7 0.0 VIX -0.1 0.0 1.0 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.2 -0.1 -0.4 -0.1 -0.1 0.1 -0.6 -0.3 -0.6 0.0 -0.0 0.0 -0.2 -0.0 NaN 0.0 0.0 0.0 -0.0 -0.1 -0.0 NaN NaN NaN NaN NaN -0.7 -1.1 NaN NaN WHEAT 0.6 0.4 -0.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.4 0.1 -0.6 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.1 -0.5 0.1 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.3 0.3 0.2 -0.6 -0.7 -0.7 -0.7 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 7.9 12.8 5.9 5.0 2.0 2.9 4.3 1.5 5.5 16.4 11.8 17.0 2.3 16.8 14.6 0.2 -2.1 -0.9 -1.5 12.1 7.4 20.0 3.0 17.4 2.3 5.0 7.8 3.0 8.4 1.4 7.1 -0.0 20.0 0.9 7.8 0.8 12.7 -5.5 19.1 -0.0 BITCOIN 11.8 -2.6 -16.0 3.2 3.9 -0.6 7.3 -1.3 7.2 18.6 -2.3 19.2 8.1 10.4 -4.2 -5.9 -6.7 -5.9 -6.3 -0.2 -1.5 20.0 8.0 11.7 -20.0 -0.8 10.1 -0.2 9.5 7.1 4.8 -2.0 8.4 -20.0 -20.0 -5.7 -2.3 -3.2 -3.5 1.4 BOBL 3.5 9.3 18.4 3.2 0.2 3.2 0.2 1.6 1.5 7.1 5.3 7.4 -1.6 7.5 9.8 12.9 -11.4 -4.5 -10.0 9.5 7.2 6.1 1.2 7.7 4.4 3.7 2.2 3.1 2.3 1.3 3.0 -12.8 10.7 6.2 -1.3 -0.9 -20.0 -19.5 -5.3 -5.4 BTP 8.9 8.9 11.4 5.7 0.4 5.8 0.3 2.9 2.8 18.2 18.2 19.2 17.9 19.0 20.0 6.8 4.4 4.6 3.8 19.4 16.9 16.5 14.2 18.7 -20.0 7.3 5.8 6.3 6.4 5.3 7.2 13.1 20.0 17.2 2.5 -11.1 -20.0 -13.5 -0.7 7.8 BUND 1.9 6.8 14.5 3.9 0.3 3.9 0.2 1.9 1.9 8.9 7.3 6.4 1.4 7.3 11.6 -19.6 -2.6 -10.0 -5.7 9.2 8.2 4.2 2.5 6.2 1.4 4.3 2.5 4.1 2.0 2.4 2.9 -0.5 8.5 1.6 -6.3 -6.2 -20.0 -18.1 -4.3 -3.7 BUXL -2.6 2.9 9.1 4.6 0.4 4.6 0.3 2.3 2.2 -3.6 5.9 -2.3 1.1 1.2 10.0 -0.2 -1.9 -0.8 -1.7 4.4 4.8 -1.9 -0.4 -0.1 -2.8 2.6 1.6 3.7 -1.3 2.2 -0.3 3.0 0.0 -8.1 -15.1 -15.9 -20.0 -20.0 -6.2 -5.6 CAC 10.2 10.2 -15.7 3.7 4.9 4.6 6.5 6.5 5.2 6.9 -7.0 9.9 1.1 11.4 -3.4 -6.6 -2.8 -5.9 -4.3 -0.4 -5.4 15.3 -1.4 8.8 -7.5 -0.2 6.7 -2.3 8.3 0.4 4.7 4.6 8.5 -2.5 -0.2 -20.0 11.0 5.5 -1.4 0.7 CAD -3.4 15.3 7.0 6.7 2.7 3.9 5.7 2.0 7.4 0.6 3.4 2.5 -12.2 13.8 13.4 -4.1 -3.6 -4.4 -4.1 9.1 3.8 6.8 -3.3 9.1 -1.4 5.4 0.9 2.5 4.5 -0.9 5.6 -3.4 3.6 -20.0 3.9 -2.6 11.4 -7.6 5.6 -3.2 CANOLA 8.3 -0.4 -0.2 -0.7 1.5 -1.7 2.4 -1.6 1.2 4.7 -4.4 4.5 -6.4 1.6 -3.3 -12.7 -10.9 -12.6 -12.7 -2.5 -4.8 6.1 -6.0 2.1 -13.3 0.2 2.6 -1.7 3.1 -3.3 2.1 -20.0 11.2 4.1 2.8 -1.3 -3.9 -11.2 4.1 -6.6 CHF -11.4 13.4 20.0 4.3 1.7 2.5 3.7 1.3 4.8 0.8 8.7 -0.0 -0.7 9.4 12.6 -13.8 -16.1 -14.9 -15.5 12.7 11.4 2.5 4.2 6.4 4.0 4.7 0.5 4.5 0.8 2.1 2.2 -20.0 -10.0 -10.6 -1.0 20.0 -4.3 -11.0 -12.6 -11.8 COCOA 5.4 7.8 10.3 -0.6 1.5 -1.6 2.2 -1.6 1.3 2.0 2.1 4.5 3.4 3.4 -0.9 20.0 20.0 20.0 20.0 3.1 5.4 5.2 10.8 4.2 -20.0 2.4 1.2 4.3 2.6 8.8 2.6 20.0 1.3 3.5 9.7 9.3 20.0 11.8 20.0 16.9 COFFEE 10.9 7.6 4.8 -1.4 3.8 -4.2 5.7 -4.1 3.4 13.1 17.4 16.1 16.9 16.6 16.7 3.6 5.8 4.0 4.9 19.4 19.4 20.0 18.7 20.0 -20.0 6.4 4.7 6.5 6.5 7.2 6.9 7.9 7.1 20.0 20.0 20.0 -3.1 -8.6 6.8 -2.2 COPPER 20.0 9.1 -13.1 2.1 -0.5 -0.3 3.2 -0.8 4.2 7.3 -2.9 11.1 -0.7 11.1 0.1 -3.6 -3.0 -3.2 -2.8 5.7 0.9 20.0 2.8 16.4 -16.0 2.8 4.9 1.0 6.9 1.2 5.8 4.4 20.0 16.6 7.5 -1.7 20.0 9.0 20.0 20.0 CORN 13.3 8.1 -17.8 -1.5 4.1 -4.5 6.1 -4.3 3.6 17.5 -14.8 16.2 -19.0 14.7 -11.7 -13.5 -15.7 -18.3 -18.4 -6.2 -20.0 9.3 -20.0 6.3 -12.2 -3.9 5.4 -9.4 4.2 -11.9 1.7 -20.0 -6.1 2.0 -0.7 -17.2 0.1 -4.8 3.7 -0.2 COTTON2 18.5 20.0 -3.8 -1.1 3.0 -3.3 4.4 -3.1 2.6 6.3 -12.4 11.0 -12.4 10.9 1.0 -10.6 -4.0 -10.0 -7.3 3.0 -7.5 9.0 -12.1 10.0 -20.0 1.9 2.2 -1.8 4.3 -2.3 4.7 -11.1 -2.7 7.9 12.1 8.1 -13.3 -12.0 -4.5 -5.9 CRUDE_W 0.9 -13.3 -16.3 -4.9 -1.5 -4.2 -1.4 -1.8 -3.1 -7.9 -9.0 -1.3 3.0 -7.3 -11.0 11.3 12.6 12.3 12.6 -13.0 -10.1 -6.4 -2.8 -9.2 -1.6 -4.5 -4.6 -5.1 -2.5 -2.1 -2.3 11.1 -6.0 9.8 10.3 4.2 1.7 12.8 2.3 18.0 DAX 9.0 12.4 -9.7 3.7 4.8 4.5 6.3 6.3 5.0 12.4 10.0 15.0 14.1 16.1 13.4 -7.9 -10.1 -8.4 -9.2 11.2 7.6 20.0 10.2 18.5 9.8 3.9 10.5 3.1 9.9 5.2 7.0 -6.5 16.0 7.1 10.2 -13.7 14.2 5.6 3.3 1.6 DOW 12.2 16.6 3.7 3.4 4.5 4.2 6.0 6.0 4.7 10.2 13.5 15.6 15.3 16.5 15.4 -8.7 -10.6 -9.3 -10.0 18.1 16.0 14.8 16.0 18.7 -12.5 5.9 1.8 5.4 4.2 5.5 5.8 -7.6 -6.2 18.5 18.1 14.5 10.6 2.3 -5.1 -5.2 DX 0.8 -18.2 -20.0 5.4 2.2 3.1 4.6 1.6 6.0 0.6 -13.1 -13.0 2.9 -17.1 -18.1 4.8 6.6 5.7 6.3 -20.0 -16.8 -7.0 -6.3 -14.3 -20.0 -6.6 -0.0 -5.5 -2.1 -2.1 -4.5 14.4 -19.9 -20.0 -20.0 -20.0 -1.5 6.5 -2.7 9.2 EUR -2.7 10.6 13.5 5.9 2.4 3.5 5.1 1.8 6.6 -0.9 12.4 12.8 -1.4 13.3 15.9 -5.6 -7.0 -6.4 -6.7 13.4 11.3 5.8 4.9 10.1 20.0 6.8 -0.3 6.1 2.8 3.5 5.0 -8.6 -7.3 -8.4 0.1 7.6 0.3 -20.0 -5.4 -20.0 EURIBOR-ICE 2.4 14.1 20.0 2.7 0.2 2.7 0.2 1.3 1.3 6.6 6.6 7.5 4.7 7.8 9.2 4.9 -2.3 1.9 -0.3 12.4 10.6 7.0 6.1 9.8 12.0 3.4 1.5 2.9 1.9 1.8 2.7 3.9 9.4 9.8 5.5 4.5 -18.8 -20.0 1.5 3.0 EUROSTX 8.1 6.4 -16.9 3.4 4.4 4.2 5.9 5.9 4.7 9.2 3.3 11.4 10.6 11.8 4.2 -3.9 -3.1 -4.4 -4.1 3.2 1.1 17.7 6.3 10.9 -2.2 1.2 8.3 0.9 8.7 4.5 5.1 4.1 10.7 -1.1 1.6 -20.0 6.6 1.3 -18.1 -5.7 FEEDCOW 20.0 -11.0 -20.0 -1.6 4.3 -4.7 6.3 -4.5 3.8 15.7 -13.1 19.8 -13.1 5.7 -10.2 20.0 -11.9 15.2 2.5 -13.9 -20.0 20.0 -18.5 10.1 -8.2 -3.6 3.6 -5.9 5.1 -4.0 1.9 -11.0 20.0 12.0 -20.0 -19.4 7.0 20.0 16.8 20.0 GASOIL -1.7 -17.3 -19.5 -4.7 -1.5 -4.1 -1.4 -1.8 -3.0 -5.0 -13.4 -2.9 1.1 -10.0 -14.0 4.2 8.6 2.8 3.9 -18.8 -16.1 -4.8 -6.4 -12.4 3.7 -5.7 -1.3 -4.9 -1.5 -2.2 -3.7 0.1 4.4 -6.2 -8.8 -3.2 -3.4 -10.8 -4.7 -18.7 GASOLINE 3.2 -14.4 -15.9 -5.1 -1.6 -4.4 -1.5 -1.9 -3.2 -11.9 -10.1 0.7 1.3 -8.1 -11.4 11.7 20.0 20.0 20.0 -13.5 -11.0 -5.3 -2.2 -8.4 -20.0 -3.8 -4.7 -4.4 -1.7 -0.9 -1.3 20.0 -3.2 15.0 10.0 7.6 8.8 16.3 14.8 20.0 GAS_US_mini 16.4 8.0 -4.7 -6.3 -2.0 -5.5 -1.8 -2.4 -4.0 19.2 -18.0 18.4 -20.0 13.1 -15.9 -20.0 -20.0 -20.0 -20.0 -1.9 -12.7 18.7 -20.0 11.0 20.0 0.1 12.4 -4.7 11.5 -8.8 6.6 -20.0 20.0 20.0 20.0 6.9 -6.8 -18.1 -5.2 -20.0 GBP 3.8 15.2 11.8 6.3 2.5 3.7 5.4 1.9 7.0 14.6 19.9 18.7 15.6 20.0 20.0 1.2 -0.4 0.3 -0.1 20.0 20.0 20.0 14.4 20.0 -2.0 8.1 3.8 6.9 6.9 5.1 8.1 2.7 18.2 8.5 11.4 19.4 7.2 -20.0 9.3 -19.6 GOLD_micro 17.4 16.9 12.4 3.0 -0.7 -0.4 4.6 -1.2 6.0 7.7 19.5 15.5 18.6 18.4 18.9 -12.6 -13.2 -12.4 -12.5 20.0 20.0 20.0 20.0 20.0 -11.0 6.6 1.2 5.6 6.0 5.5 7.5 -12.8 17.7 16.1 20.0 20.0 15.7 -2.1 12.9 3.4 HEATOIL -2.4 -17.0 -17.9 -5.2 -1.6 -4.5 -1.5 -1.9 -3.3 -4.5 -15.7 -1.9 -4.9 -12.0 -15.6 -5.7 4.3 -5.6 -2.7 -20.0 -18.9 -3.9 -10.1 -12.8 -20.0 -6.1 -1.0 -6.8 -0.7 -3.9 -3.0 -9.2 5.2 6.8 0.8 -0.1 -6.9 4.9 -12.0 3.8 JGB-SGX-mini 6.0 13.0 14.8 2.4 0.2 2.4 0.1 1.2 1.2 -6.3 4.5 5.2 2.3 5.4 6.5 9.8 16.3 13.0 14.7 7.3 5.3 1.5 2.3 5.5 -8.7 2.5 -1.3 1.7 0.4 0.2 1.8 20.0 6.7 -0.5 3.8 -2.8 -10.2 -5.8 -10.9 2.8 JPY -8.0 16.1 20.0 2.5 1.0 1.4 2.1 0.8 2.7 -1.7 4.9 -1.7 -3.4 3.3 7.2 -10.4 -14.7 -11.8 -13.1 7.3 5.4 -1.4 -1.7 2.7 20.0 2.3 -0.2 1.7 -0.4 -0.6 0.8 -20.0 -17.8 -2.1 -0.0 9.2 -20.0 -20.0 -20.0 -20.0 LEANHOG 10.0 20.0 -1.5 -1.7 4.6 -5.0 6.8 -4.9 4.1 -12.7 -5.8 9.4 -7.6 19.0 14.2 20.0 20.0 20.0 20.0 12.6 -2.7 5.7 -13.5 16.3 4.9 3.9 -3.9 -0.9 1.6 -3.9 5.4 20.0 -5.3 -3.4 19.1 12.2 0.6 -5.1 5.8 3.2 LIVECOW 20.0 -3.5 0.5 -1.8 4.8 -5.2 7.1 -5.0 4.2 20.0 8.3 20.0 8.7 14.7 3.2 -2.5 9.4 6.4 10.1 11.3 6.9 20.0 8.3 20.0 -16.9 2.4 7.5 1.5 10.4 3.6 7.3 16.1 20.0 20.0 -4.7 20.0 -0.2 20.0 8.8 20.0 LUMBER-new 3.9 6.5 1.6 -1.0 2.7 -3.0 4.0 -2.7 2.4 4.0 -8.2 6.7 -9.4 2.1 2.5 -18.5 -18.0 -18.4 -18.1 -0.3 -5.2 5.4 -8.2 3.4 NaN 1.0 1.9 -2.9 4.2 -5.4 3.3 -20.0 2.5 3.1 5.8 10.2 1.9 -1.0 6.6 2.1 MILK -1.7 15.0 20.0 -1.0 2.8 -3.0 4.1 -2.9 2.5 -0.2 12.5 -0.9 8.0 9.2 10.6 20.0 -7.2 20.0 9.4 16.4 17.3 0.7 9.7 8.8 13.9 4.5 0.3 4.8 0.1 2.5 2.3 -2.8 -16.0 0.3 20.0 20.0 0.5 -20.0 8.0 -20.0 MXP 13.8 -7.1 -19.8 2.9 1.2 1.7 2.5 0.9 3.2 -8.4 -8.4 0.4 -5.1 -3.0 -7.4 9.6 13.6 10.2 11.5 -8.3 -10.6 -2.9 -5.5 -3.3 -20.0 -2.9 -1.7 -3.9 -1.0 -1.9 -1.1 20.0 -15.7 -4.4 -20.0 -20.0 13.0 12.8 17.2 19.7 NASDAQ_micro 15.6 5.2 -20.0 2.5 3.2 3.0 4.3 4.3 3.4 6.0 3.5 10.6 8.3 10.3 2.5 -6.8 -9.6 -7.7 -8.8 5.3 5.6 10.8 10.4 9.7 -19.8 3.0 1.4 3.3 3.7 5.4 4.0 -5.7 -2.5 13.9 8.0 4.0 2.5 3.8 -9.6 -0.4 NIKKEI 5.3 0.7 -20.0 1.5 2.0 1.8 2.6 2.6 2.1 2.4 1.3 3.7 3.1 4.8 1.2 1.9 8.5 5.1 6.9 -0.1 -0.3 5.7 2.1 3.0 -6.2 -1.2 1.2 -1.0 1.7 0.9 0.5 20.0 3.7 0.4 -11.1 -12.5 11.6 2.0 11.0 1.4 NZD 4.2 18.0 5.1 4.0 1.6 2.4 3.5 1.2 4.5 13.1 8.9 12.8 2.4 13.7 12.4 -0.2 0.0 -0.1 -0.1 11.3 6.6 15.9 2.4 14.4 0.2 4.2 5.6 2.4 6.0 1.0 5.4 3.2 18.2 0.3 10.5 -1.2 4.6 -6.1 3.0 -0.6 OAT -2.4 7.7 11.1 4.0 0.3 4.0 0.2 2.0 1.9 -3.6 2.5 -3.1 -0.9 0.2 9.8 6.4 4.1 4.1 3.4 5.5 4.2 -2.4 -0.4 1.1 3.7 2.8 0.4 2.7 -1.5 1.2 0.4 12.6 -5.2 -5.3 -7.5 -15.9 -12.6 -14.8 2.8 2.3 OATIES 20.0 20.0 1.6 -1.3 3.6 -3.9 5.3 -3.8 3.2 15.4 -5.1 16.3 -13.4 15.9 6.1 2.8 2.6 4.0 3.9 18.9 2.6 20.0 -8.6 20.0 -20.0 4.1 8.3 0.7 7.1 -1.3 6.3 4.1 13.4 20.0 20.0 4.1 16.3 1.0 20.0 10.7 OJ -3.5 3.9 -0.2 -1.1 3.0 -3.3 4.5 -3.2 2.7 -12.5 12.5 -5.5 13.5 7.3 9.6 12.7 12.2 11.9 11.1 12.1 15.7 -5.2 19.0 5.0 -20.0 4.3 -4.9 6.0 -2.0 8.9 1.6 18.1 -20.0 1.6 20.0 20.0 12.7 14.3 20.0 20.0 PALLAD 15.5 16.8 12.9 1.4 -0.3 -0.2 2.1 -0.5 2.8 -7.9 0.5 1.1 -5.8 4.0 3.7 -1.7 -2.0 -1.7 -1.8 4.7 1.2 -1.7 -3.9 4.3 14.2 2.0 -2.9 0.5 -0.4 -1.2 1.9 6.0 -15.5 -3.5 2.1 8.6 -19.3 -20.0 -20.0 -20.0 PLAT 17.1 4.0 -4.9 2.1 -0.5 -0.3 3.2 -0.8 4.2 0.2 -4.8 8.7 -4.0 8.4 -1.2 -4.0 -4.4 -4.5 -4.6 2.2 -0.3 5.9 -0.7 6.2 5.1 1.5 -0.4 -0.6 3.1 -0.7 3.8 1.5 -7.9 -0.9 -8.3 -0.9 -1.9 -7.0 -9.6 0.7 REDWHEAT 10.7 9.9 -13.3 -1.6 4.3 -4.7 6.4 -4.5 3.8 14.2 -15.8 -0.1 -18.7 8.0 -13.0 -10.0 -6.5 -10.1 -8.9 -5.1 -14.1 4.4 -20.0 2.8 -5.2 -3.4 3.9 -6.7 1.9 -8.4 0.3 -14.7 -19.7 0.3 -1.0 -20.0 -20.0 -20.0 -20.0 -20.0 RICE 4.9 -0.4 -13.2 -1.5 4.1 -4.5 6.1 -4.4 3.7 -2.0 11.0 -0.7 13.6 4.6 0.3 -10.5 20.0 5.0 20.0 1.5 2.6 -3.2 7.8 1.0 -12.8 0.2 -0.8 1.7 -3.7 3.6 -1.2 20.0 -20.0 -1.8 -4.9 14.9 -20.0 -20.0 -20.0 -20.0 ROBUSTA 16.4 20.0 6.4 -1.0 2.6 -2.8 3.9 -2.8 2.3 10.0 13.0 11.6 12.7 12.4 12.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 4.8 2.6 5.5 3.5 6.7 4.3 20.0 5.4 20.0 20.0 20.0 8.4 -3.5 18.3 3.4 RUSSELL 7.5 5.6 4.2 2.8 3.6 3.4 4.8 4.8 3.8 -3.5 5.5 7.6 9.6 7.7 4.7 -5.0 -6.3 -5.4 -5.9 6.7 6.7 6.0 6.9 7.4 -0.7 4.4 0.7 4.5 2.4 4.3 3.8 -0.2 -10.4 7.8 2.0 10.8 1.5 -13.8 -9.7 -20.0 SHATZ 3.8 13.4 20.0 2.4 0.2 2.4 0.1 1.2 1.2 5.4 4.2 6.5 -1.4 6.6 7.8 -20.0 -20.0 -20.0 -20.0 9.9 7.0 7.2 0.2 8.8 6.4 3.0 1.5 2.2 2.0 0.5 2.6 -20.0 12.1 8.9 3.8 5.5 -20.0 -18.2 -13.0 -9.8 SILVER-mini 19.6 7.9 -4.1 2.1 -0.5 -0.3 3.2 -0.8 4.2 -4.3 6.9 9.7 6.9 10.9 5.8 -6.0 -6.4 -6.2 -6.2 8.4 6.3 10.3 7.2 12.8 2.1 3.1 -0.2 1.7 3.7 2.0 4.8 -1.5 1.2 5.2 2.7 4.0 6.7 -2.6 1.1 9.8 SMI -7.0 -2.0 -5.8 3.4 4.4 4.2 5.9 5.9 4.7 10.8 10.5 -0.2 13.6 4.5 4.7 0.3 0.1 -1.3 -1.2 1.0 7.1 8.7 12.2 1.5 10.9 2.9 5.5 6.7 4.1 8.8 1.5 9.4 -6.7 -20.0 -0.1 3.3 -0.1 1.2 -14.5 -4.1 SOFR -9.8 13.6 20.0 5.3 0.4 5.3 0.3 2.6 2.5 -13.6 15.8 -11.4 10.8 4.6 15.6 3.6 -0.1 1.9 0.6 19.4 20.0 -9.6 13.4 3.1 -7.4 4.7 -3.9 6.9 -4.1 5.0 -0.5 6.6 -16.1 -19.1 -5.5 2.9 9.6 -12.5 20.0 9.9 SOYBEAN 20.0 8.6 -15.7 -1.0 2.7 -2.9 4.0 -2.8 2.4 9.0 -8.9 10.8 -10.3 8.5 -5.8 -3.7 1.0 -6.0 -4.1 -3.7 -13.6 12.0 -15.6 7.6 -20.0 -1.7 4.0 -4.9 4.3 -5.1 2.3 -4.4 8.2 7.9 -2.7 -15.0 1.4 -15.8 8.4 -10.3 SOYMEAL 15.0 13.5 -3.5 -1.0 2.7 -2.9 4.0 -2.8 2.4 9.6 -7.3 10.6 -10.5 9.3 -2.2 -5.6 2.8 -3.5 -0.9 2.1 -5.2 13.8 -8.7 9.0 -20.0 0.3 11.2 -2.4 7.8 -3.0 4.1 0.0 11.2 10.2 2.5 -3.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 15.1 8.1 -0.9 -0.7 1.9 -2.0 2.8 -2.0 1.7 4.7 -6.0 5.4 -8.3 4.0 -4.2 -0.4 1.3 1.5 1.1 -0.5 -5.3 9.3 -7.7 5.8 -18.5 0.5 2.9 -1.6 3.9 -2.5 2.9 -0.0 14.7 6.0 4.0 2.5 -2.2 -8.8 7.0 -3.3 SP400 10.6 7.5 -3.5 3.2 4.1 3.9 5.5 5.5 4.4 4.1 8.3 12.5 12.3 12.3 8.1 -5.8 -5.9 -5.9 -5.9 8.4 7.3 10.6 9.2 11.6 -11.4 5.0 1.1 4.8 3.9 5.1 5.2 0.2 -5.0 12.7 7.2 7.3 5.4 -6.1 -7.3 -20.0 SP500_micro 15.1 12.4 -16.9 3.3 4.3 4.0 5.7 5.7 4.5 9.6 13.2 15.1 15.1 15.6 13.3 -8.8 -11.6 -9.9 -10.9 14.2 15.2 14.7 19.8 16.6 -20.0 5.2 1.7 5.7 4.4 7.6 5.6 -9.3 -5.0 18.7 16.1 12.2 6.9 3.2 -8.6 -2.2 SUGAR11 20.0 20.0 10.7 -1.1 3.0 -3.3 4.4 -3.2 2.7 8.3 -1.4 12.2 -8.6 12.6 8.5 20.0 7.8 8.2 5.4 18.0 4.0 20.0 -3.5 20.0 -20.0 3.7 1.7 0.8 5.2 -0.8 5.8 9.2 20.0 20.0 20.0 20.0 -13.3 10.5 -10.7 14.0 US10 -5.4 12.7 20.0 4.0 0.3 4.0 0.2 2.0 1.9 -11.2 11.6 -3.8 5.1 4.9 12.1 -6.8 -7.4 -7.0 -7.1 13.8 15.1 -5.4 6.1 3.8 2.3 3.9 -3.4 5.2 -2.6 3.3 0.2 -6.1 -10.0 -10.2 -3.6 0.7 4.1 -20.0 20.0 7.1 US10U -5.1 12.0 20.0 5.2 0.4 5.3 0.3 2.6 2.5 -15.2 14.7 -7.2 4.7 5.4 15.2 -4.7 -3.3 -4.4 -4.1 16.1 17.5 -8.1 6.3 3.4 -1.2 4.6 -4.7 6.5 -4.2 4.1 -0.5 -0.2 -14.4 -15.6 -7.4 -3.8 4.7 -17.7 20.0 18.2 US2 -0.4 17.5 20.0 2.7 0.2 2.7 0.2 1.3 1.3 -6.5 6.9 2.9 1.3 6.5 8.9 -20.0 -20.0 -20.0 -20.0 12.3 10.8 -1.2 2.4 6.4 12.8 3.1 -1.9 3.1 -0.6 1.4 1.4 -20.0 -3.3 0.3 5.9 7.8 0.2 -20.0 5.6 -13.0 US20 -6.7 11.1 20.0 4.0 0.3 4.0 0.2 2.0 1.9 -11.7 10.8 -8.3 5.6 2.3 10.5 -2.3 -1.1 -1.6 -1.2 10.6 12.6 -7.8 5.4 0.7 -3.5 2.9 -3.7 5.0 -4.0 3.7 -1.2 4.4 -14.2 -14.3 -7.8 -5.1 5.7 -10.3 20.0 20.0 US30 -6.9 9.4 16.8 4.4 0.3 4.4 0.3 2.2 2.1 -12.1 10.9 -9.8 3.2 1.1 10.7 -7.5 -5.4 -6.2 -5.6 9.1 10.8 -9.0 3.1 -0.7 -2.3 2.6 -4.3 5.0 -5.1 3.5 -2.1 -3.1 -15.4 -17.4 -10.6 -9.8 2.1 -9.4 20.0 20.0 US5 -5.2 13.7 20.0 3.8 0.3 3.9 0.2 1.9 1.8 -10.4 11.1 -2.1 4.0 5.7 12.1 -10.1 -10.9 -10.9 -10.9 14.6 15.1 -4.8 5.7 4.9 7.0 4.0 -3.3 4.9 -2.1 2.9 0.8 -12.4 -9.1 -7.6 -0.3 4.3 5.6 -20.0 20.0 0.2 VIX -2.6 0.2 20.0 1.0 0.9 0.6 -0.0 -1.6 -0.0 4.6 -5.3 -3.9 -7.4 -6.5 -5.1 4.4 -20.0 -10.8 -20.0 0.7 -0.3 0.3 -4.5 -0.2 NaN 1.0 1.1 0.6 -0.0 -2.0 -0.1 NaN NaN NaN NaN NaN -13.0 -20.0 NaN NaN WHEAT 17.2 11.7 -14.7 -1.5 4.0 -4.4 6.0 -4.2 3.6 9.1 -13.0 6.1 -16.0 12.3 -9.3 -12.8 -14.9 -14.9 -15.3 -1.1 -11.6 7.9 -17.7 8.2 4.1 -1.5 2.7 -5.1 3.5 -6.4 2.7 -20.0 -14.0 9.6 4.9 -19.2 -20.0 -20.0 -20.0 -17.2 End of report for caleb_strategy_v3