******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241001_203907 produced at 2024-10-01 21:37:32.726625 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.20 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.09 0.0 0.53 -0.53 -0.08 -0.08 -10.73 60.0 -9 -9 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.06 0.0 0.10 -0.10 -0.03 -0.03 -1.76 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 -9.36 999999999.0 -5 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -21.72 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.10 -0.10 -0.04 -0.04 -5.94 12.0 -5 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.28 4.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -6.26 51.0 -2 -2 caleb_strategy_v3 CHF False False 0.05 0.05 -0.02 0.0 0.68 -0.68 0.05 0.05 -0.33 13.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.02 0.0 0.33 -0.33 -0.04 -0.04 -0.51 8.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.75 8.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.05 -1.36 11.0 -4 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.42 24.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -1.28 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.07 -0.07 -0.02 -0.02 -3.46 26.0 -6 -6 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.65 9.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.01 0.0 0.13 -0.13 -0.08 -0.08 -0.64 7.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.29 9.0 -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 -1.50 3.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 -0.01 -0.47 23.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 0.00 -0.01 0.0 0.52 -0.52 0.00 0.00 -0.33 17.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.03 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 0.15 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.04 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 -0.33 10.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.24 0.00 0.0 0.28 -0.28 0.24 0.24 0.03 6.0 5 5 caleb_strategy_v3 CAC True False 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.15 12.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.08 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.08 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.36 20.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.55 -0.55 0.00 0.00 0.45 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.21 -0.21 0.00 0.00 0.19 6.0 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 RUSSELL False False 0.00 0.00 0.01 0.0 0.26 -0.26 0.00 0.00 1.96 68.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.28 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.04 0.01 0.0 0.15 -0.15 0.04 0.05 1.67 18.0 5 6 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 CAD False False 0.03 0.00 0.02 0.0 0.75 -0.75 0.00 0.00 0.61 29.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.71 999999999.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.02 0.0 0.89 -0.89 0.00 0.00 0.36 19.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.02 0.0 0.42 -0.42 0.02 0.02 0.92 23.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.30 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 0.52 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.00 0.02 0.0 0.33 -0.33 0.00 0.00 2.28 36.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.02 0.0 0.12 -0.12 0.02 0.02 0.85 5.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.49 -0.49 0.00 0.00 1.70 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 0.47 13.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.45 2.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.02 0.03 0.0 0.08 -0.08 0.02 0.02 1.69 5.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.08 0.03 0.0 0.96 -0.96 0.08 0.08 0.81 25.0 2 2 caleb_strategy_v3 EUR False False 0.05 0.10 0.03 0.0 0.68 -0.68 0.10 0.10 0.67 14.0 2 2 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.46 -0.46 0.04 0.04 1.82 21.0 2 2 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.81 9.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.04 0.0 0.50 -0.50 0.05 0.05 0.86 10.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.49 -0.49 0.00 0.00 6.58 66.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.10 0.07 0.0 0.46 -0.46 0.10 0.10 2.77 19.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.07 0.0 0.14 -0.14 0.05 0.05 6.63 13.0 5 5 caleb_strategy_v3 DAX False False 0.01 0.02 0.07 0.0 0.44 -0.44 0.02 0.03 8.97 58.0 2 4 caleb_strategy_v3 GBP False False 0.03 0.03 0.08 0.0 0.64 -0.64 0.03 0.03 2.85 22.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.08 0.08 0.0 999.00 -999.00 0.08 0.12 1.91 999999999.0 2 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.09 0.0 0.53 -0.53 0.02 0.02 9.19 56.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.05 0.09 0.0 0.48 -0.48 0.05 0.05 1.92 10.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.09 0.0 0.44 -0.44 0.10 0.10 3.30 17.0 4 4 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.28 0.42 0.0 0.56 -0.56 0.28 0.32 11.88 16.0 8 9 caleb_strategy_v3 SOFR False True 0.08 0.00 0.90 0.0 0.00 0.00 0.00 0.00 10.57 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 1.06 0.0 0.96 -0.96 0.00 0.00 11.14 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.0 Shocked risk 20.3 Sum abs risk 32.4 Leverage 4.24 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2857568.93, 'annual_cash_vol_target': 714392.2325, 'daily_cash_vol_target': 44649.51453125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6896 0.6166 9.8651 BITCOIN 1639.2138 62095.0000 2.6398 42.2376 BOBL 0.2450 120.4300 0.2035 3.2556 BTP 0.4963 122.2800 0.4059 6.4941 BUND 0.4716 135.8000 0.3473 5.5562 BUXL 1.1787 138.7600 0.8494 13.5910 CAC 73.5011 7616.0000 0.9651 15.4414 CAD 0.0027 0.7428 0.3677 5.8839 CANOLA 9.7034 623.8000 1.5555 24.8885 CHF 0.0056 1.1904 0.4723 7.5563 COCOA 167.5497 6012.0000 2.7869 44.5907 COFFEE 4.8340 261.8000 1.8464 29.5430 COPPER 0.0604 4.5805 1.3179 21.0861 CORN 4.5160 456.7500 0.9887 15.8197 COTTON2 1.0660 73.2500 1.4553 23.2852 CRUDE_W 1.2335 69.7200 1.7692 28.3080 DAX 154.2910 19410.0000 0.7949 12.7185 DOW 243.6591 42629.0000 0.5716 9.1453 DX 0.3818 100.9500 0.3782 6.0519 EUR 0.0047 1.1102 0.4265 6.8244 EURIBOR-ICE 0.0443 98.1500 0.0452 0.7226 EUROSTX 48.3111 4996.0000 0.9670 15.4719 FEEDCOW 1.6658 238.4500 0.6986 11.1776 GASOIL 10.9143 662.0000 1.6487 26.3789 GASOLINE 0.0346 1.9395 1.7863 28.5800 GAS_US_mini 0.0866 3.2900 2.6318 42.1089 GBP 0.0066 1.3284 0.4976 7.9618 GOLD_micro 18.2039 2682.0000 0.6787 10.8599 HEATOIL 0.0352 2.2052 1.5947 25.5145 JGB-SGX-mini 0.2515 144.9500 0.1735 2.7760 JPY 0.0001 0.0070 0.7622 12.1945 LEANHOG 0.9749 74.5250 1.3081 20.9300 LIVECOW 1.1405 185.1000 0.6161 9.8583 LUMBER-new 8.8848 544.0000 1.6332 26.1316 MILK 0.2848 21.5300 1.3229 21.1662 MXP 0.0005 0.0504 0.9080 14.5282 NASDAQ_micro 184.3963 20053.0000 0.9195 14.7127 NIKKEI 668.5536 38180.0000 1.7511 28.0169 NZD 0.0043 0.6300 0.6808 10.8921 OAT 0.4711 127.8200 0.3685 5.8966 OATIES 5.6448 391.2500 1.4428 23.0841 OJ 8.8376 466.1500 1.8959 30.3338 PALLAD 26.8111 1000.0000 2.6811 42.8977 PLAT 16.1276 1002.4000 1.6089 25.7423 REDWHEAT 9.3885 611.5000 1.5353 24.5651 RICE 0.1483 15.4800 0.9578 15.3244 ROBUSTA 79.4390 5159.0000 1.5398 24.6370 RUSSELL 23.6821 2221.8000 1.0659 17.0543 SHATZ 0.0873 107.2550 0.0814 1.3025 SILVER-mini 0.5179 31.9500 1.6209 25.9345 SMI 82.2066 12171.0000 0.6754 10.8069 SOFR 0.0516 96.9700 0.0532 0.8512 SOYBEAN 11.2719 1094.5000 1.0299 16.4779 SOYMEAL 4.9972 344.4000 1.4510 23.2158 SOYOIL 0.7362 42.9000 1.7162 27.4584 SP400 25.4437 3126.6000 0.8138 13.0205 SP500_micro 37.5393 5775.7500 0.6499 10.3991 SUGAR11 0.3468 21.4400 1.6176 25.8810 US10 0.3444 114.7188 0.3002 4.8037 US10U 0.4662 118.9219 0.3920 6.2721 US2 0.1066 104.1914 0.1023 1.6363 US20 0.6980 125.0938 0.5580 8.9276 US30 1.0642 134.3438 0.7921 12.6741 US5 0.2314 110.1484 0.2101 3.3614 VIX 0.6864 18.5000 3.7104 59.3666 WHEAT 8.8850 659.7500 1.3467 21.5475 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 689.65 0.62 425.22 1.00 425.22 44649.51 105.00 10.17 106.81 BITCOIN 62.10 2.64 163.92 1.00 163.92 44649.51 272.38 -7.36 -200.55 BOBL 1204.30 0.20 245.05 1.12 273.63 44649.51 163.17 2.17 35.36 BTP 1222.80 0.41 496.31 1.12 554.21 44649.51 80.56 7.00 56.39 BUND 1358.00 0.35 471.59 1.12 526.60 44649.51 84.79 0.88 7.46 BUXL 1387.60 0.85 1178.68 1.12 1316.17 44649.51 33.92 -2.45 -8.32 CAC 761.60 0.97 735.01 1.12 820.75 44649.51 54.40 -0.82 -4.45 CAD 742.75 0.37 273.14 1.00 273.14 44649.51 163.47 1.45 23.70 CANOLA 124.76 1.56 194.07 0.74 143.72 44649.51 310.68 -8.29 -257.40 CHF 1487.94 0.47 702.70 1.00 702.70 44649.51 63.54 -2.01 -12.78 COCOA 601.20 2.79 1675.50 1.00 1675.50 44649.51 26.65 7.95 21.18 COFFEE 981.75 1.85 1812.74 1.00 1812.74 44649.51 24.63 6.59 16.22 COPPER 1145.12 1.32 1509.14 1.00 1509.14 44649.51 29.59 5.97 17.65 CORN 228.38 0.99 225.80 1.00 225.80 44649.51 197.74 -12.34 -244.06 COTTON2 366.25 1.46 533.01 1.00 533.01 44649.51 83.77 -7.56 -63.31 CRUDE_W 697.20 1.77 1233.52 1.00 1233.52 44649.51 36.20 2.16 7.82 DAX 194.10 0.79 154.29 1.12 172.29 44649.51 259.15 10.15 262.93 DOW 213.14 0.57 121.83 1.00 121.83 44649.51 366.49 7.73 283.14 DX 1009.50 0.38 381.84 1.00 381.84 44649.51 116.93 -10.55 -123.41 EUR 1387.81 0.43 591.94 1.00 591.94 44649.51 75.43 3.44 25.94 EURIBOR-ICE 2453.75 0.05 110.81 1.12 123.74 44649.51 360.84 9.05 326.57 EUROSTX 499.60 0.97 483.11 1.12 539.47 44649.51 82.77 1.27 10.51 FEEDCOW 1192.25 0.70 832.91 1.00 832.91 44649.51 53.61 -2.85 -15.26 GASOIL 662.00 1.65 1091.43 1.00 1091.43 44649.51 40.91 -7.22 -29.53 GASOLINE 814.59 1.79 1455.06 1.00 1455.06 44649.51 30.69 1.16 3.56 GAS_US_mini 82.25 2.63 216.47 1.00 216.47 44649.51 206.27 -1.55 -31.93 GBP 830.25 0.50 413.14 1.00 413.14 44649.51 108.07 10.17 109.86 GOLD_micro 268.20 0.68 182.04 1.00 182.04 44649.51 245.28 10.99 269.44 HEATOIL 926.18 1.59 1476.94 1.00 1476.94 44649.51 30.23 -13.41 -40.53 JGB-SGX-mini 144950.00 0.17 25148.64 0.01 177.37 44649.51 251.74 4.36 109.73 JPY 878.56 0.76 669.60 1.00 669.60 44649.51 66.68 -1.92 -12.78 LEANHOG 298.10 1.31 389.95 1.00 389.95 44649.51 114.50 9.53 109.08 LIVECOW 740.40 0.62 456.19 1.00 456.19 44649.51 97.87 10.18 99.62 LUMBER-new 149.60 1.63 244.33 1.00 244.33 44649.51 182.74 -3.83 -69.95 MILK 430.60 1.32 569.64 1.00 569.64 44649.51 78.38 10.05 78.77 MXP 251.95 0.91 228.77 1.00 228.77 44649.51 195.17 -3.74 -73.09 NASDAQ_micro 401.06 0.92 368.79 1.00 368.79 44649.51 121.07 -1.68 -20.39 NIKKEI 38180.00 1.75 66855.36 0.01 471.51 44649.51 94.69 2.22 21.04 NZD 629.95 0.68 428.84 1.00 428.84 44649.51 104.12 6.75 70.30 OAT 1278.20 0.37 471.07 1.12 526.02 44649.51 84.88 2.97 25.19 OATIES 195.62 1.44 282.24 1.00 282.24 44649.51 158.20 6.36 100.66 OJ 699.22 1.90 1325.63 1.00 1325.63 44649.51 33.68 8.29 27.92 PALLAD 1000.00 2.68 2681.11 1.00 2681.11 44649.51 16.65 0.65 1.08 PLAT 501.20 1.61 806.38 1.00 806.38 44649.51 55.37 0.18 1.02 REDWHEAT 305.75 1.54 469.42 1.00 469.42 44649.51 95.12 -13.86 -131.87 RICE 309.60 0.96 296.53 1.00 296.53 44649.51 150.58 -3.48 -52.42 ROBUSTA 515.90 1.54 794.39 1.00 794.39 44649.51 56.21 13.99 78.60 RUSSELL 111.09 1.07 118.41 1.00 118.41 44649.51 377.07 1.57 59.01 SHATZ 1072.55 0.08 87.31 1.12 97.50 44649.51 457.95 -0.90 -40.99 SILVER-mini 798.75 1.62 1294.70 1.00 1294.70 44649.51 34.49 6.02 20.76 SMI 1217.10 0.68 822.07 1.19 976.61 44649.51 45.72 5.21 23.84 SOFR 2424.25 0.05 128.96 1.00 128.96 44649.51 346.22 5.02 173.89 SOYBEAN 547.25 1.03 563.60 1.00 563.60 44649.51 79.22 -8.62 -68.28 SOYMEAL 344.40 1.45 499.72 1.00 499.72 44649.51 89.35 -7.79 -69.61 SOYOIL 257.40 1.72 441.74 1.00 441.74 44649.51 101.08 -3.52 -35.54 SP400 3126.60 0.81 2544.37 1.00 2544.37 44649.51 17.55 1.88 3.30 SP500_micro 288.79 0.65 187.70 1.00 187.70 44649.51 237.88 3.08 73.21 SUGAR11 240.13 1.62 388.42 1.00 388.42 44649.51 114.95 6.82 78.36 US10 1147.19 0.30 344.42 1.00 344.42 44649.51 129.64 3.16 40.94 US10U 1189.22 0.39 466.18 1.00 466.18 44649.51 95.78 3.85 36.92 US2 2083.83 0.10 213.11 1.00 213.11 44649.51 209.52 1.12 23.50 US20 1250.94 0.56 697.99 1.00 697.99 44649.51 63.97 3.47 22.20 US30 1343.44 0.79 1064.18 1.00 1064.18 44649.51 41.96 0.65 2.72 US5 1101.48 0.21 231.41 1.00 231.41 44649.51 192.95 3.32 64.03 VIX 185.00 3.71 686.43 1.00 686.43 44649.51 65.05 -5.83 -37.91 WHEAT 329.88 1.35 444.25 1.00 444.25 44649.51 100.51 -9.70 -97.50 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 106.806 0.010 2.5 2.771 BITCOIN -200.545 0.043 2.5 -21.716 BOBL 35.358 0.004 2.5 0.359 BTP 56.387 0.014 2.5 1.923 BUND 7.463 0.004 2.5 0.076 BUXL -8.324 0.004 2.5 -0.084 CAC -4.448 0.014 2.5 -0.152 CAD 23.696 0.010 2.5 0.615 CANOLA -257.396 0.010 2.5 -6.262 CHF -12.777 0.010 2.5 -0.332 COCOA 21.175 0.009 2.5 0.454 COFFEE 16.224 0.005 2.5 0.189 COPPER 17.655 0.043 2.5 1.912 CORN -244.059 0.010 2.5 -5.938 COTTON2 -63.306 0.009 2.5 -1.356 CRUDE_W 7.818 0.043 2.5 0.847 DAX 262.934 0.014 2.5 8.968 DOW 283.137 0.009 2.5 6.580 DX -123.415 0.010 2.5 -3.202 EUR 25.942 0.010 2.5 0.673 EURIBOR-ICE 326.567 0.014 2.5 11.139 EUROSTX 10.506 0.014 2.5 0.358 FEEDCOW -15.261 0.013 2.5 -0.506 GASOIL -29.532 0.017 2.5 -1.280 GASOLINE 3.564 0.017 2.5 0.155 GAS_US_mini -31.927 0.043 2.5 -3.457 GBP 109.865 0.010 2.5 2.851 GOLD_micro 269.443 0.014 2.5 9.190 HEATOIL -40.530 0.017 2.5 -1.757 JGB-SGX-mini 109.728 0.043 2.5 11.882 JPY -12.775 0.010 2.5 -0.331 LEANHOG 109.077 0.024 2.5 6.629 LIVECOW 99.620 0.013 2.5 3.301 LUMBER-new -69.953 0.009 2.5 -1.498 MILK 78.768 0.009 2.5 1.687 MXP -73.088 0.059 2.5 -10.727 NASDAQ_micro -20.391 0.009 2.5 -0.474 NIKKEI 21.041 0.043 2.5 2.279 NZD 70.301 0.010 2.5 1.824 OAT 25.194 0.014 2.5 0.859 OATIES 100.656 0.010 2.5 2.449 OJ 27.916 0.009 2.5 0.598 PALLAD 1.078 0.014 2.5 0.037 PLAT 1.018 0.014 2.5 0.035 REDWHEAT -131.874 0.005 2.5 -1.749 RICE -52.419 0.010 2.5 -1.275 ROBUSTA 78.605 0.005 2.5 0.918 RUSSELL 59.014 0.013 2.5 1.956 SHATZ -40.988 0.004 2.5 -0.416 SILVER-mini 20.756 0.014 2.5 0.708 SMI 23.842 0.014 2.5 0.813 SOFR 173.894 0.024 2.5 10.568 SOYBEAN -68.277 0.004 2.5 -0.635 SOYMEAL -69.608 0.004 2.5 -0.647 SOYOIL -35.545 0.004 2.5 -0.331 SP400 3.299 0.013 2.5 0.109 SP500_micro 73.208 0.009 2.5 1.701 SUGAR11 78.356 0.009 2.5 1.666 US10 40.944 0.005 2.5 0.519 US10U 36.920 0.005 2.5 0.468 US2 23.502 0.005 2.5 0.298 US20 22.197 0.005 2.5 0.281 US30 2.724 0.005 2.5 0.035 US5 64.028 0.005 2.5 0.811 VIX -37.908 0.099 2.5 -9.357 WHEAT -97.496 0.005 2.5 -1.293 ===================== Position diags ===================== AUD 2.72 BITCOIN 29.50 BOBL 1.65 BTP 2.75 BUND 0.86 BUXL 0.34 CAC 1.86 CAD 4.24 CANOLA 7.56 CHF 1.65 COCOA 0.57 COFFEE 0.29 COPPER 3.20 CORN 4.81 COTTON2 1.79 CRUDE_W 3.92 DAX 8.84 DOW 8.52 DX 3.03 EUR 1.96 EURIBOR-ICE 12.31 EUROSTX 2.82 FEEDCOW 1.78 GASOIL 1.77 GASOLINE 1.33 GAS_US_mini 22.34 GBP 2.80 GOLD_micro 8.37 HEATOIL 1.31 JGB-SGX-mini 27.26 JPY 1.73 LEANHOG 6.96 LIVECOW 3.24 LUMBER-new 3.91 MILK 1.68 MXP 28.65 NASDAQ_micro 2.81 NIKKEI 10.25 NZD 2.70 OAT 2.90 OATIES 3.85 OJ 0.72 PALLAD 0.57 PLAT 1.89 REDWHEAT 1.26 RICE 3.66 ROBUSTA 0.66 RUSSELL 12.50 SHATZ 4.64 SILVER-mini 1.18 SMI 1.56 SOFR 21.04 SOYBEAN 0.74 SOYMEAL 0.83 SOYOIL 0.94 SP400 0.58 SP500_micro 5.53 SUGAR11 2.44 US10 1.64 US10U 1.21 US2 2.65 US20 0.81 US30 0.53 US5 2.44 VIX 16.06 WHEAT 1.33 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.8 2.5 3.0 4.0 4 BITCOIN -21.7 -24.7 -18.8 0.0 0 BOBL 0.4 0.2 0.5 0.0 0 BTP 1.9 1.6 2.2 1.0 1 BUND 0.1 -0.0 0.2 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.2 -0.3 0.0 0.0 0 CAD 0.6 0.2 1.0 0.0 0 CANOLA -6.3 -7.0 -5.5 -2.0 -2 CHF -0.3 -0.5 -0.2 1.0 1 COCOA 0.5 0.4 0.5 0.0 0 COFFEE 0.2 0.2 0.2 0.0 0 COPPER 1.9 1.6 2.2 2.0 2 CORN -5.9 -6.4 -5.5 -5.0 -5 COTTON2 -1.4 -1.5 -1.2 -4.0 -4 CRUDE_W 0.8 0.5 1.2 1.0 1 DAX 9.0 8.1 9.9 2.0 2 DOW 6.6 5.7 7.4 0.0 0 DX -3.2 -3.5 -2.9 0.0 0 EUR 0.7 0.5 0.9 2.0 2 EURIBOR-ICE 11.1 9.9 12.4 0.0 0 EUROSTX 0.4 0.1 0.6 0.0 0 FEEDCOW -0.5 -0.7 -0.3 -1.0 -1 GASOIL -1.3 -1.5 -1.1 -1.0 -1 GASOLINE 0.2 0.0 0.3 0.0 0 GAS_US_mini -3.5 -5.7 -1.2 -6.0 -6 GBP 2.9 2.6 3.1 1.0 1 GOLD_micro 9.2 8.4 10.0 2.0 2 HEATOIL -1.8 -1.9 -1.6 -1.0 -1 JGB-SGX-mini 11.9 9.2 14.6 8.0 8 JPY -0.3 -0.5 -0.2 0.0 0 LEANHOG 6.6 5.9 7.3 5.0 5 LIVECOW 3.3 3.0 3.6 4.0 4 LUMBER-new -1.5 -1.9 -1.1 -2.0 -2 MILK 1.7 1.5 1.9 1.0 1 MXP -10.7 -13.6 -7.9 -9.0 -9 NASDAQ_micro -0.5 -0.8 -0.2 -1.0 -1 NIKKEI 2.3 1.3 3.3 0.0 0 NZD 1.8 1.6 2.1 2.0 2 OAT 0.9 0.6 1.1 1.0 1 OATIES 2.4 2.1 2.8 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.0 -0.2 0.2 0.0 0 REDWHEAT -1.7 -1.9 -1.6 0.0 0 RICE -1.3 -1.6 -0.9 NaN 0 ROBUSTA 0.9 0.9 1.0 1.0 1 RUSSELL 2.0 0.7 3.2 0.0 0 SHATZ -0.4 -0.9 0.0 NaN 0 SILVER-mini 0.7 0.6 0.8 0.0 0 SMI 0.8 0.7 1.0 0.0 0 SOFR 10.6 8.5 12.7 NaN 0 SOYBEAN -0.6 -0.7 -0.6 -4.0 -4 SOYMEAL -0.6 -0.7 -0.6 -2.0 -2 SOYOIL -0.3 -0.4 -0.2 0.0 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 1.7 1.1 2.3 0.0 0 SUGAR11 1.7 1.4 1.9 5.0 5 US10 0.5 0.4 0.7 0.0 0 US10U 0.5 0.3 0.6 0.0 0 US2 0.3 0.0 0.6 NaN 0 US20 0.3 0.2 0.4 0.0 0 US30 0.0 -0.0 0.1 5.0 5 US5 0.8 0.6 1.1 2.0 2 VIX -9.4 -11.0 -7.8 -5.0 -5 WHEAT -1.3 -1.4 -1.2 -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 0.0 0.1 0.1 0.1 0.1 -0.0 0.5 0.1 0.3 0.0 0.4 -0.2 0.6 0.0 BITCOIN 0.4 -0.0 -0.5 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 0.2 0.1 -2.7 -0.0 -0.0 -0.0 0.0 0.3 0.0 -0.1 0.2 -0.6 -0.6 -0.3 -0.1 -0.1 -0.1 0.1 BOBL 0.1 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 -0.1 0.1 0.1 0.3 -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 -0.6 0.4 0.2 -0.0 -0.0 -0.7 -0.6 -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 0.2 0.4 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.7 0.5 0.6 0.2 -0.3 -0.7 -0.4 -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 0.1 0.1 0.1 0.2 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.3 0.1 -0.2 -0.2 -0.7 -0.6 -0.1 -0.1 BUXL -0.1 0.1 0.3 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.0 0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 -0.0 0.0 -0.4 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.1 -0.2 -0.4 -0.5 -0.7 -0.7 -0.2 -0.2 CAC 0.4 0.3 -0.5 0.0 0.0 0.1 0.1 0.2 0.1 0.0 -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 0.0 -0.1 0.1 0.0 0.0 0.2 0.1 -0.1 -0.0 -0.6 0.4 0.2 -0.1 0.0 CAD -0.1 0.5 0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.4 0.2 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 0.1 -0.0 0.1 -0.2 0.3 -0.6 0.1 -0.1 0.4 -0.3 0.2 -0.1 CANOLA 0.3 0.1 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.0 0.1 -0.2 0.0 -1.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 -0.0 0.1 -0.0 -0.1 -0.4 0.1 -0.2 CHF -0.3 0.4 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -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 -0.4 -0.2 0.6 -0.1 -0.4 -0.4 -0.4 COCOA 0.1 0.2 0.2 -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 -0.1 -0.0 0.3 0.3 0.7 0.4 0.7 0.6 COFFEE 0.3 0.2 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 0.5 0.1 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 0.4 -0.3 0.5 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 0.6 0.3 -0.0 0.7 0.3 0.7 0.7 CORN 0.4 0.3 -0.5 -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 0.1 -0.3 0.1 -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 0.1 -0.1 0.0 0.1 -0.3 0.1 -0.5 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 0.1 0.4 0.3 -0.4 -0.4 -0.2 -0.2 CRUDE_W 0.1 -0.4 -0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 0.1 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.6 -0.1 0.3 0.3 0.1 0.0 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 0.1 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 0.3 0.2 0.4 -0.4 0.5 0.2 0.1 0.1 DOW 0.5 0.6 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 0.5 0.2 -1.7 0.1 0.0 0.1 0.0 0.2 0.1 -0.4 0.0 0.6 0.6 0.5 0.4 0.1 -0.2 -0.2 DX 0.1 -0.5 -0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 -0.4 -0.1 0.1 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.0 -0.2 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.8 -0.2 -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 0.0 0.1 0.1 -0.1 0.3 0.1 -0.0 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 2.7 0.1 -0.1 0.2 -0.0 0.1 0.0 -0.5 -0.4 -0.4 -0.1 0.2 0.0 -0.7 -0.2 -0.7 EURIBOR-ICE 0.0 0.4 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 0.3 0.3 0.2 0.2 -0.6 -0.7 0.1 0.1 EUROSTX 0.3 0.2 -0.5 0.0 0.0 0.1 0.1 0.2 0.0 0.0 0.1 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.2 0.1 -0.3 0.0 0.0 0.0 0.1 0.2 0.1 0.2 0.2 -0.0 0.0 -0.6 0.2 0.0 -0.6 -0.2 FEEDCOW 0.6 -0.3 -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 0.0 -0.1 0.0 -0.5 0.4 0.2 -0.6 -0.6 0.2 0.7 0.6 0.7 GASOIL 0.0 -0.5 -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 -0.1 -0.6 GASOLINE 0.2 -0.4 -0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 0.4 0.3 0.3 0.3 0.5 0.5 0.7 GAS_US_mini 0.5 0.3 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.0 0.2 -0.5 0.2 -0.7 0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -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 0.0 0.1 0.1 0.0 0.5 0.2 0.6 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.4 0.2 -0.3 0.1 -0.0 0.2 0.0 0.2 0.1 0.1 0.3 0.2 0.4 0.6 0.2 -0.7 0.3 -0.7 GOLD_micro 0.6 0.6 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 0.5 0.6 0.6 0.6 0.5 -0.1 0.4 0.1 HEATOIL 0.0 -0.5 -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 0.1 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 0.0 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 0.1 -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 -0.3 -0.1 -0.1 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.3 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -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 -0.2 -0.3 0.6 0.4 0.0 -0.2 0.2 0.1 LIVECOW 0.6 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.1 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 0.8 0.5 0.6 -0.0 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.2 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 0.0 -0.3 0.0 NaN 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 -0.0 -0.0 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 1.8 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.4 -0.1 0.6 0.6 0.0 -0.7 0.3 -0.7 MXP 0.5 -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 -0.2 -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 0.6 0.2 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.0 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 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 -0.3 -0.0 0.4 0.3 0.1 0.1 0.1 -0.3 -0.0 NIKKEI 0.2 0.0 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 0.0 -0.0 0.0 0.1 0.0 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.1 -0.0 -0.3 -0.4 0.4 0.1 0.4 0.1 NZD 0.2 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 0.1 0.0 0.0 0.0 0.1 0.0 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 0.1 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 0.1 0.1 0.0 0.0 0.0 0.7 0.0 -0.1 -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 0.5 0.6 0.6 0.2 0.6 0.0 0.7 0.4 OJ -0.2 0.1 0.0 -0.0 0.0 -0.1 0.1 -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 0.0 0.0 -0.0 -0.1 0.0 1.9 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.5 -0.2 0.0 0.3 -0.6 -0.7 -0.7 -0.7 PLAT 0.5 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 0.0 -0.0 0.1 0.7 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.3 0.0 REDWHEAT 0.4 0.4 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 -0.4 0.1 -0.7 0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 0.1 -0.5 0.1 -0.7 -0.0 0.1 -0.2 0.1 -0.3 0.0 -0.8 -0.1 -0.1 -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 0.1 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 -0.4 -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 0.2 0.0 0.2 0.0 1.1 0.0 0.6 0.6 0.6 0.3 -0.1 0.6 0.1 RUSSELL 0.3 0.2 0.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 0.2 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.3 0.2 0.0 0.4 0.0 -0.5 -0.3 -0.7 SHATZ 0.1 0.5 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 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 0.4 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 0.3 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 0.1 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 0.0 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 -0.1 -0.6 -0.0 0.1 -0.0 0.0 -0.5 -0.1 SOFR -0.4 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.4 -0.1 0.4 0.1 0.2 0.1 -0.0 0.0 0.0 0.2 0.2 -0.0 0.4 0.0 -1.0 0.1 0.0 0.2 -0.0 0.2 -0.0 0.4 -0.3 -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 0.2 -0.1 -0.5 0.1 -0.5 0.3 -0.3 SOYMEAL 0.5 0.5 -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 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.4 0.3 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 0.3 -0.1 -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 0.3 0.1 0.2 0.1 -0.1 -0.3 0.2 -0.1 SP400 0.4 0.2 -0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.2 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 -1.5 0.1 0.0 0.1 0.0 0.2 0.1 0.0 -0.1 0.4 0.2 0.3 0.2 -0.2 -0.2 -0.7 SP500_micro 0.5 0.4 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.6 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 -0.0 0.6 0.5 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.4 -0.0 0.0 -0.1 0.1 -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 0.1 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 -0.5 0.3 -0.4 0.5 US10 -0.2 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 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 -0.0 0.4 -0.1 0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.0 0.2 0.0 -0.2 0.1 -0.0 0.2 -0.0 0.2 -0.0 -0.0 -0.3 -0.5 -0.2 -0.1 0.2 -0.6 0.7 0.6 US2 -0.1 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.2 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 1.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.1 -0.0 0.1 0.2 0.0 -0.7 0.2 -0.4 US20 -0.3 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.3 -0.1 0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.2 0.0 -0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.3 -0.4 -0.3 -0.2 0.2 -0.3 0.7 0.7 US30 -0.3 0.3 0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.3 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 -0.0 -0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.4 -0.5 -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 -0.0 0.3 -0.0 0.2 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 0.2 -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 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.3 0.1 -0.6 0.2 -0.1 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.5 0.1 0.5 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 -0.0 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 9.6 12.9 5.9 5.0 0.2 3.0 3.2 1.6 5.2 13.3 12.1 16.5 2.6 16.9 14.9 0.3 -2.1 -0.8 -1.5 12.6 7.8 18.0 3.2 17.2 2.3 5.1 4.5 3.1 7.1 1.5 6.9 -0.0 20.0 3.5 8.6 1.2 12.9 -5.5 19.3 0.1 BITCOIN 13.3 -1.2 -16.2 3.3 -0.6 -0.3 4.1 -1.2 6.2 -3.8 -2.7 13.9 8.2 10.4 -3.0 -6.3 -6.8 -6.0 -6.4 0.1 -1.3 7.9 7.9 8.4 -20.0 -0.8 -4.2 -0.1 3.4 7.4 3.5 -2.1 6.4 -20.0 -20.0 -7.9 -1.6 -3.1 -3.0 1.5 BOBL 3.2 9.3 19.0 3.2 1.7 3.2 0.8 1.6 1.7 9.6 5.7 9.0 -1.4 8.4 10.1 14.0 -10.9 -3.0 -9.0 10.0 7.4 9.7 1.4 9.2 4.4 3.8 4.9 3.1 3.7 1.3 3.5 -11.7 15.1 7.7 -0.5 -0.3 -20.0 -19.4 -5.3 -5.2 BTP 8.6 8.4 11.5 5.8 3.0 5.8 1.5 2.9 3.1 18.5 18.4 19.7 17.9 19.4 20.0 7.0 4.4 4.7 3.9 19.6 16.7 20.0 13.9 20.0 -20.0 7.3 9.4 6.1 7.9 5.1 7.7 13.2 20.0 19.5 5.4 -9.5 -20.0 -13.4 -0.4 7.9 BUND 1.6 6.3 14.7 4.0 2.0 4.0 1.0 2.0 2.1 11.8 7.7 9.2 1.6 8.8 12.0 -19.9 -2.8 -10.4 -6.0 9.6 8.1 9.4 2.5 8.1 1.4 4.4 7.9 4.1 4.6 2.3 3.8 -0.9 13.7 3.7 -5.2 -5.5 -20.0 -18.0 -4.3 -3.6 BUXL -2.4 2.4 9.5 4.7 2.4 4.7 1.2 2.4 2.5 9.1 6.5 4.3 1.2 4.3 10.8 -0.1 -1.9 -0.7 -1.6 5.0 4.7 6.1 -0.2 3.0 -2.7 3.1 12.1 3.7 4.2 2.2 1.8 3.1 5.1 -5.3 -13.9 -15.0 -20.0 -20.0 -6.2 -5.6 CAC 10.8 10.5 -15.1 3.7 2.0 4.5 5.1 6.3 4.9 1.0 -6.7 6.8 1.0 9.8 -2.8 -6.5 -2.9 -5.9 -4.3 -0.3 -5.1 9.7 -1.3 7.4 -7.3 -0.1 1.4 -2.2 5.8 0.4 4.2 4.5 4.6 -3.8 -0.9 -20.0 10.7 5.5 -1.7 0.6 CAD -2.9 14.8 7.0 6.6 0.3 4.0 4.3 2.1 6.9 4.4 4.1 3.8 -12.0 13.9 13.8 -4.1 -3.6 -4.4 -4.1 9.3 4.0 7.3 -3.1 9.3 -1.4 5.6 3.1 2.7 4.7 -0.8 5.7 -3.5 12.5 -17.7 3.1 -2.1 11.0 -7.7 5.4 -3.3 CANOLA 10.2 2.8 0.1 -0.4 2.0 -1.6 2.4 -1.6 1.5 6.4 -4.2 5.8 -6.5 2.7 -2.9 -12.8 -10.9 -12.7 -12.8 -1.9 -4.6 7.2 -6.0 3.1 -13.4 0.2 2.6 -1.7 3.1 -3.3 2.1 -20.0 5.3 -1.0 3.5 -1.1 -4.2 -11.3 3.7 -6.7 CHF -9.6 13.4 20.0 4.3 0.2 2.6 2.8 1.4 4.4 -3.6 8.9 -1.8 -0.6 8.9 12.5 -13.6 -16.1 -14.7 -15.4 12.4 11.5 0.9 4.4 5.7 4.0 4.6 -0.8 4.6 0.3 2.2 2.0 -20.0 -9.3 -11.2 -5.2 19.4 -4.5 -10.9 -12.8 -11.7 COCOA 3.0 5.7 6.8 -0.4 1.9 -1.5 2.3 -1.5 1.5 -3.8 2.0 1.9 3.3 2.4 -1.1 20.0 20.0 20.0 20.0 2.4 4.8 0.2 9.9 2.2 -20.0 2.1 -3.5 4.3 0.3 9.0 1.7 20.0 -4.6 -0.8 8.4 8.4 20.0 12.0 20.0 17.2 COFFEE 10.8 7.0 4.3 -1.0 4.9 -4.0 6.0 -4.0 3.8 5.4 17.2 13.2 16.8 15.2 16.1 3.5 5.8 3.9 4.8 18.6 19.1 12.9 18.5 18.2 -20.0 6.3 -0.4 6.6 4.1 7.3 6.2 7.8 -10.4 15.8 20.0 20.0 -3.4 -8.5 6.6 -2.1 COPPER 20.0 10.4 -12.1 2.1 -0.3 -0.2 2.6 -0.8 3.9 7.5 -2.6 10.7 -0.5 11.0 1.0 -3.4 -3.0 -3.1 -2.7 6.6 1.4 20.0 3.0 16.9 -15.8 2.9 4.0 1.1 6.1 1.2 5.6 4.4 20.0 17.1 8.5 -1.2 20.0 9.0 20.0 20.0 CORN 13.8 9.6 -16.6 -1.1 5.3 -4.3 6.5 -4.3 4.1 18.0 -14.8 17.8 -19.3 16.1 -11.4 -12.9 -15.6 -17.9 -18.2 -5.1 -20.0 12.5 -20.0 8.1 -12.3 -3.3 8.3 -9.3 6.0 -12.0 2.8 -20.0 -2.9 -1.8 -0.2 -17.6 0.3 -4.7 4.1 -0.1 COTTON2 20.0 20.0 -3.1 -0.8 3.8 -3.1 4.7 -3.2 3.0 5.8 -12.5 11.1 -12.5 11.2 1.7 -10.7 -4.1 -10.1 -7.4 3.4 -7.3 8.3 -12.3 10.0 -20.0 2.0 1.6 -1.7 3.9 -2.3 4.7 -11.3 -4.2 4.3 12.6 8.3 -13.4 -12.0 -4.7 -6.0 CRUDE_W 4.3 -12.6 -16.8 -4.8 1.2 -4.3 -0.4 -1.9 -2.7 1.8 -8.9 2.7 2.8 -6.6 -10.7 11.1 12.6 12.2 12.6 -12.0 -9.7 -1.7 -2.8 -7.2 -1.6 -4.3 2.0 -5.1 -0.2 -2.2 -1.6 11.0 -3.3 8.1 10.6 4.4 1.5 12.7 2.0 17.9 DAX 10.7 12.8 -8.4 3.8 2.0 4.5 5.2 6.4 4.9 8.0 10.2 13.5 14.1 15.6 13.5 -7.8 -10.1 -8.4 -9.2 11.8 8.0 20.0 10.4 18.5 9.7 4.1 6.0 3.2 8.4 5.2 6.9 -6.5 14.0 7.5 11.0 -12.8 14.3 5.7 3.1 1.5 DOW 14.9 17.4 4.5 3.6 1.9 4.4 5.0 6.2 4.7 15.5 14.2 17.1 15.8 17.4 16.2 -8.7 -10.6 -9.3 -10.0 19.7 17.3 16.3 17.1 20.0 -12.8 6.1 2.5 5.5 4.4 5.7 5.9 -7.5 0.6 18.6 18.9 15.4 10.8 2.5 -5.1 -5.2 DX 3.6 -16.0 -20.0 5.3 0.2 3.2 3.5 1.7 5.5 6.8 -13.2 -8.3 2.6 -15.9 -17.9 4.7 6.6 5.7 6.2 -18.4 -15.6 -1.8 -6.0 -11.4 -20.0 -6.4 3.9 -5.5 -0.4 -2.2 -3.8 14.3 -6.6 -20.0 -20.0 -20.0 -1.6 6.5 -2.7 9.3 EUR -3.0 9.2 13.1 5.9 0.2 3.6 3.8 1.9 6.1 -13.4 12.2 5.3 -1.3 10.5 15.1 -5.6 -7.0 -6.4 -6.7 11.8 10.6 -1.8 4.8 6.6 20.0 6.3 -7.2 6.1 -0.8 3.6 3.5 -8.6 -15.6 -11.0 -3.2 7.5 0.2 -20.0 -5.5 -20.0 EURIBOR-ICE 1.2 13.8 20.0 2.7 1.4 2.7 0.7 1.4 1.4 8.1 6.8 8.4 4.8 8.3 9.3 5.1 -2.2 2.1 -0.2 12.6 10.7 9.7 6.2 10.8 12.0 3.4 3.0 2.9 2.6 1.8 3.0 4.0 13.9 10.4 6.5 5.0 -18.7 -20.0 1.7 3.1 EUROSTX 9.8 6.6 -15.9 3.5 1.8 4.2 4.8 5.9 4.5 4.2 3.5 9.7 10.6 11.0 4.6 -3.9 -3.1 -4.3 -4.1 3.5 1.3 13.4 6.3 10.3 -2.2 1.4 3.3 1.0 6.8 4.5 4.9 4.1 6.8 -1.5 1.4 -20.0 6.4 1.3 -18.5 -5.9 FEEDCOW 20.0 -10.2 -20.0 -1.1 5.5 -4.5 6.8 -4.5 4.3 13.1 -13.1 19.4 -13.4 8.2 -9.9 20.0 -11.4 16.0 3.2 -13.1 -20.0 20.0 -19.2 10.6 -8.4 -3.5 2.2 -6.1 4.5 -4.1 2.0 -10.1 15.3 6.8 -20.0 -20.0 7.2 20.0 17.1 20.0 GASOIL 1.0 -16.9 -19.6 -4.7 1.2 -4.2 -0.4 -1.9 -2.6 2.0 -13.6 2.1 0.9 -9.6 -14.0 4.4 8.6 2.9 3.9 -18.3 -16.2 -2.2 -6.6 -11.2 3.7 -5.7 0.8 -5.1 -0.7 -2.3 -3.4 0.1 4.5 -6.3 -8.9 -3.4 -3.2 -10.7 -4.3 -18.5 GASOLINE 5.7 -13.7 -16.3 -5.0 1.3 -4.5 -0.4 -2.0 -2.8 -2.2 -10.2 3.8 1.1 -7.6 -11.2 11.1 20.0 20.0 20.0 -12.8 -10.8 -1.8 -2.3 -7.1 -20.0 -3.6 1.1 -4.3 0.1 -1.0 -0.8 20.0 -2.7 11.9 9.8 7.9 8.4 16.2 14.4 20.0 GAS_US_mini 17.0 8.1 -4.2 -6.2 1.6 -5.6 -0.5 -2.5 -3.5 17.1 -17.8 18.7 -20.0 14.4 -15.4 -20.0 -20.0 -20.0 -20.0 -1.1 -12.3 16.5 -20.0 11.2 20.0 0.5 7.6 -4.4 10.1 -8.8 6.8 -20.0 20.0 20.0 20.0 6.1 -6.8 -18.3 -5.1 -20.0 GBP 3.4 14.3 11.4 6.2 0.3 3.7 4.0 2.0 6.4 0.6 19.6 14.5 15.5 19.7 19.7 1.3 -0.4 0.4 -0.1 20.0 19.5 12.7 13.9 20.0 -2.0 7.9 -1.3 6.9 4.3 5.2 7.2 2.6 13.6 5.7 12.4 18.8 7.1 -20.0 9.4 -19.6 GOLD_micro 18.6 18.7 13.6 3.1 -0.5 -0.3 3.8 -1.1 5.7 11.9 19.8 16.2 18.8 18.6 19.2 -12.6 -13.2 -12.4 -12.5 20.0 20.0 20.0 20.0 20.0 -11.3 6.7 2.8 5.6 5.9 5.6 7.5 -12.8 20.0 17.8 20.0 20.0 16.1 -2.0 12.9 3.5 HEATOIL 0.1 -16.5 -18.4 -5.1 1.3 -4.6 -0.4 -2.0 -2.9 1.9 -15.9 2.4 -5.3 -11.6 -15.7 -5.7 4.3 -5.6 -2.8 -20.0 -19.1 -1.7 -10.3 -11.6 -20.0 -6.1 1.5 -7.0 0.1 -4.1 -2.6 -9.3 2.1 3.2 1.0 0.0 -6.9 5.0 -11.6 3.8 JGB-SGX-mini 6.3 12.6 15.4 2.4 1.3 2.5 0.6 1.2 1.3 0.8 4.7 5.7 2.5 5.8 6.7 9.0 16.2 12.6 14.4 7.3 5.4 2.4 2.3 5.5 -8.8 2.6 0.4 1.7 0.7 0.3 1.9 20.0 2.9 -0.0 3.0 -2.8 -10.4 -5.9 -11.1 2.6 JPY -8.6 15.5 20.0 2.4 0.1 1.5 1.6 0.8 2.5 -1.8 4.9 -2.7 -3.2 2.9 7.0 -10.3 -14.6 -11.8 -13.1 7.0 5.4 -1.6 -1.6 2.3 20.0 2.3 -0.4 1.7 -0.5 -0.6 0.7 -20.0 -12.3 -2.9 -2.6 9.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 10.1 20.0 0.0 -1.2 5.9 -4.8 7.3 -4.9 4.6 2.0 -5.6 12.1 -7.6 19.7 15.2 20.0 20.0 20.0 20.0 12.9 -2.1 8.4 -13.1 16.5 4.9 4.2 2.0 -0.7 3.1 -3.8 5.7 20.0 -8.4 -8.1 18.5 13.5 0.6 -5.2 5.9 3.0 LIVECOW 20.0 -1.1 0.3 -1.3 6.2 -5.0 7.6 -5.1 4.8 20.0 8.9 20.0 9.0 16.7 4.5 -2.9 9.2 6.0 9.8 13.0 7.9 20.0 8.8 20.0 -17.3 2.9 6.7 1.8 10.0 3.6 7.6 15.7 20.0 20.0 -1.1 20.0 -0.0 20.0 9.1 20.0 LUMBER-new 5.0 6.3 2.2 -0.7 3.4 -2.8 4.3 -2.7 2.7 4.0 -8.2 6.6 -9.3 2.4 3.0 -18.5 -18.0 -18.5 -18.1 -0.1 -5.1 4.7 -8.2 3.4 NaN 1.2 1.6 -2.8 3.7 -5.3 3.3 -20.0 -1.4 -0.4 4.3 10.3 1.9 -0.9 6.6 2.2 MILK -1.8 14.5 20.0 -0.7 3.5 -2.9 4.3 -2.9 2.8 0.5 12.5 -0.6 8.1 9.1 10.6 20.0 -6.4 20.0 10.6 16.0 17.3 1.1 9.8 8.5 13.9 4.5 0.2 4.9 0.3 2.6 2.3 -1.2 -15.9 -3.7 20.0 20.0 0.6 -20.0 8.2 -20.0 MXP 14.1 -7.2 -20.0 3.0 0.1 1.8 1.9 0.9 3.1 -6.3 -8.6 0.3 -5.3 -3.1 -7.5 9.6 13.6 10.2 11.5 -8.4 -10.9 -2.5 -5.8 -3.4 -20.0 -3.0 -0.9 -4.0 -0.9 -2.0 -1.1 20.0 -16.7 -4.5 -20.0 -20.0 12.9 12.9 17.1 19.8 NASDAQ_micro 17.2 5.1 -20.0 2.6 1.3 3.1 3.6 4.4 3.4 3.9 3.7 10.2 8.4 10.4 2.7 -6.9 -9.6 -7.7 -8.7 5.6 5.9 8.7 10.6 9.3 -20.0 3.1 -0.0 3.4 2.9 5.6 3.9 -5.6 -0.8 12.6 7.7 3.6 2.7 3.8 -9.6 -0.5 NIKKEI 7.2 0.8 -20.0 1.5 0.8 1.9 2.1 2.6 2.0 1.2 1.4 3.0 3.1 4.4 1.3 1.8 8.5 5.0 6.8 0.1 -0.2 4.5 2.1 2.9 -6.1 -1.1 0.5 -1.0 1.4 0.9 0.5 20.0 5.0 -0.7 -10.0 -12.6 11.8 2.2 11.2 1.6 NZD 4.8 17.4 5.2 4.0 0.2 2.4 2.6 1.3 4.1 6.8 8.9 11.0 2.5 13.0 12.3 -0.3 0.0 -0.1 -0.1 10.9 6.6 11.5 2.5 12.9 0.2 4.2 1.8 2.5 4.5 1.0 5.0 3.1 14.9 0.5 9.9 -1.2 4.5 -6.1 3.1 -0.6 OAT -3.0 7.2 11.2 4.0 2.1 4.0 1.1 2.0 2.1 7.4 2.9 1.6 -0.8 2.4 10.1 6.7 4.1 4.4 3.6 5.7 4.1 4.1 -0.2 3.3 3.6 3.1 7.8 2.7 2.3 1.2 1.7 12.7 1.7 -2.7 -6.1 -14.7 -12.8 -14.7 2.9 2.4 OATIES 20.0 20.0 3.1 -1.0 4.7 -3.8 5.8 -3.8 3.7 16.0 -4.6 17.2 -13.7 16.9 7.5 2.9 2.6 4.0 3.9 20.0 3.9 20.0 -8.5 20.0 -20.0 4.4 8.1 1.0 7.6 -1.2 6.8 4.0 20.0 20.0 20.0 5.5 16.7 1.1 20.0 10.8 OJ -6.0 2.8 0.1 -0.8 3.9 -3.2 4.8 -3.2 3.0 -5.9 12.5 -5.2 13.5 7.3 9.5 12.7 12.2 12.0 11.1 11.8 15.7 -3.0 19.0 4.8 -20.0 4.3 -1.6 6.1 -1.2 9.2 1.6 18.1 -19.3 -1.6 20.0 20.0 12.8 14.3 20.0 20.0 PALLAD 14.5 16.6 12.6 1.4 -0.2 -0.1 1.7 -0.5 2.6 -8.0 0.6 0.4 -5.7 3.4 3.5 -1.8 -2.0 -1.8 -1.8 4.4 1.2 -2.6 -4.0 3.4 14.1 1.9 -2.5 0.5 -0.7 -1.2 1.6 6.0 -20.0 -4.8 1.5 8.4 -18.6 -20.0 -20.0 -20.0 PLAT 16.7 4.4 -4.9 2.1 -0.4 -0.2 2.6 -0.8 4.0 1.7 -4.6 8.6 -3.9 8.5 -0.7 -4.1 -4.4 -4.5 -4.6 2.5 -0.2 5.5 -0.6 6.2 5.1 1.7 0.4 -0.5 2.9 -0.7 3.8 1.5 -4.4 -0.5 -7.7 -0.8 -1.9 -7.0 -9.9 0.7 REDWHEAT 11.7 11.7 -11.7 -1.1 5.5 -4.5 6.8 -4.5 4.3 17.4 -15.7 6.4 -18.8 10.4 -12.0 -10.0 -6.5 -10.1 -8.9 -3.6 -13.2 10.7 -19.9 5.6 -5.3 -2.6 10.9 -6.4 5.5 -8.3 2.0 -14.9 -5.3 -2.0 -0.9 -20.0 -20.0 -20.0 -20.0 -20.0 RICE 6.0 0.5 -13.1 -1.1 5.3 -4.3 6.5 -4.3 4.1 3.2 11.2 1.9 13.7 5.6 0.7 -10.7 20.0 4.4 20.0 1.8 2.8 0.8 8.0 2.2 -12.9 0.5 4.2 1.8 -0.7 3.6 -0.3 20.0 -17.2 -3.4 -6.2 14.2 -20.0 -20.0 -20.0 -20.0 ROBUSTA 16.4 19.8 6.3 -0.7 3.4 -2.7 4.1 -2.7 2.6 8.4 13.1 11.2 12.8 12.4 12.9 20.0 20.0 20.0 20.0 20.0 20.0 18.0 20.0 20.0 -20.0 4.9 1.4 5.6 3.1 6.8 4.2 20.0 0.1 20.0 20.0 20.0 8.6 -3.4 18.7 3.5 RUSSELL 8.8 5.4 4.2 2.9 1.5 3.5 4.0 4.9 3.8 -8.1 5.7 7.2 9.8 7.9 4.9 -5.0 -6.3 -5.4 -5.9 6.7 6.9 4.2 7.0 6.9 -0.7 4.4 -0.8 4.7 1.7 4.5 3.6 -0.2 -12.8 6.0 1.5 11.2 1.5 -13.7 -9.9 -20.0 SHATZ 3.4 14.1 20.0 2.4 1.3 2.4 0.6 1.2 1.3 7.5 4.5 7.6 -1.2 7.3 8.0 -20.0 -20.0 -20.0 -20.0 10.5 7.4 9.3 0.4 9.9 6.4 3.0 2.5 2.3 2.5 0.6 2.8 -20.0 14.8 9.8 4.2 5.9 -20.0 -18.2 -12.8 -9.7 SILVER-mini 20.0 8.4 -3.1 2.2 -0.4 -0.2 2.6 -0.8 4.0 -1.5 7.2 9.6 7.0 10.9 6.4 -6.0 -6.4 -6.1 -6.2 8.8 6.6 9.6 7.4 12.6 2.1 3.2 0.7 1.8 3.4 2.1 4.7 -1.5 2.6 5.9 3.6 4.1 6.9 -2.6 0.9 9.9 SMI -4.8 -2.4 -6.1 3.6 1.9 4.3 4.9 6.0 4.6 7.1 10.6 2.0 13.8 3.7 4.8 0.1 0.1 -1.4 -1.3 1.1 7.2 6.7 12.5 1.6 11.0 3.0 2.3 6.9 3.1 9.1 1.6 9.3 -5.9 -20.0 -1.2 2.9 -0.2 1.2 -14.7 -4.2 SOFR -11.6 13.0 20.0 5.4 2.8 5.4 1.4 2.7 2.9 1.6 16.0 -9.0 11.1 5.0 15.7 3.6 -0.1 1.9 0.7 19.4 20.0 -4.7 13.8 4.0 -7.5 4.8 0.3 7.1 -2.2 5.3 -0.1 6.6 -12.9 -18.0 -5.6 2.5 9.6 -12.5 20.0 10.1 SOYBEAN 19.6 10.6 -16.0 -0.7 3.4 -2.8 4.3 -2.8 2.7 8.9 -8.9 10.9 -10.4 9.4 -5.5 -3.2 1.0 -5.7 -4.0 -3.1 -13.7 11.7 -16.1 8.3 -20.0 -1.5 3.2 -4.9 4.2 -5.2 2.5 -4.4 8.1 4.7 -2.5 -15.1 1.6 -15.5 8.6 -10.0 SOYMEAL 15.5 15.2 -2.8 -0.7 3.3 -2.7 4.1 -2.7 2.6 10.8 -6.7 11.2 -10.1 9.9 -1.1 -4.3 2.9 -3.1 -0.8 3.1 -4.6 15.5 -8.4 10.5 -20.0 0.9 9.9 -1.9 8.0 -2.6 4.6 0.1 16.1 9.3 2.7 -3.6 -20.0 -20.0 -20.0 -20.0 SOYOIL 15.6 9.9 -2.0 -0.5 2.4 -1.9 2.9 -2.0 1.9 3.5 -5.9 5.3 -8.3 4.3 -4.0 -0.2 1.3 1.5 1.1 -0.2 -5.1 8.2 -7.7 5.9 -18.6 0.6 1.8 -1.5 3.4 -2.5 2.9 -0.1 11.5 3.3 4.8 2.6 -2.1 -8.8 7.1 -3.3 SP400 12.7 7.7 -3.2 3.3 1.7 4.0 4.6 5.6 4.3 0.9 8.7 12.8 12.6 12.9 8.7 -5.9 -5.9 -6.0 -5.9 8.9 7.7 9.4 9.6 11.6 -11.6 5.1 0.2 4.9 3.4 5.3 5.1 0.2 -5.7 11.5 7.0 7.9 5.5 -6.0 -7.4 -20.0 SP500_micro 16.9 12.2 -17.4 3.5 1.8 4.2 4.8 5.9 4.5 9.5 13.7 15.4 15.5 16.1 13.9 -8.9 -11.6 -9.9 -10.9 14.8 15.8 13.6 20.0 16.7 -20.0 5.4 1.0 5.8 4.1 7.7 5.6 -9.2 -1.0 17.6 16.6 12.2 7.1 3.2 -8.6 -2.3 SUGAR11 20.0 20.0 11.3 -0.8 3.8 -3.1 4.7 -3.1 3.0 8.0 -0.6 12.3 -8.4 12.8 9.0 20.0 8.1 9.4 6.1 18.9 4.8 20.0 -3.1 20.0 -20.0 3.8 2.1 0.9 4.8 -0.7 5.6 9.9 20.0 20.0 20.0 20.0 -13.6 10.3 -10.9 13.7 US10 -7.0 12.1 20.0 4.1 2.1 4.1 1.1 2.1 2.2 -1.5 11.8 -4.0 5.3 5.0 12.2 -6.9 -7.4 -7.1 -7.1 13.7 15.2 -2.8 6.4 4.1 2.3 3.9 -0.5 5.3 -1.6 3.4 0.4 -6.2 -9.5 -9.6 -4.1 0.3 4.1 -20.0 20.0 7.2 US10U -6.5 11.5 20.0 5.4 2.8 5.4 1.4 2.7 2.9 -1.1 14.9 -6.4 5.0 5.7 15.3 -4.4 -3.3 -4.3 -4.0 16.1 17.9 -3.9 6.6 4.2 -1.2 4.7 -0.0 6.8 -2.3 4.3 -0.0 -0.2 -13.4 -14.3 -7.6 -4.2 4.7 -17.7 20.0 18.4 US2 -2.6 17.3 20.0 2.7 1.4 2.7 0.7 1.4 1.4 -5.8 7.0 0.4 1.4 6.0 8.8 -20.0 -20.0 -20.0 -20.0 12.1 11.0 -1.6 2.6 5.7 12.8 3.0 -1.4 3.1 -0.6 1.4 1.2 -20.0 -4.2 -0.7 4.4 7.6 0.1 -20.0 5.6 -13.2 US20 -8.2 10.3 20.0 4.1 2.1 4.1 1.1 2.1 2.2 -2.5 10.9 -7.3 5.8 2.4 10.6 -2.4 -1.1 -1.7 -1.3 10.5 12.7 -4.3 5.6 1.3 -3.5 3.0 0.0 5.2 -2.4 3.9 -0.9 4.4 -13.4 -13.2 -8.0 -5.6 5.7 -10.4 20.0 20.0 US30 -8.3 8.6 16.6 4.5 2.4 4.6 1.2 2.3 2.4 -3.2 11.1 -8.5 3.4 1.1 10.7 -6.8 -5.4 -6.1 -5.6 8.9 10.8 -5.3 3.3 -0.1 -2.3 2.7 0.1 5.1 -3.2 3.6 -1.7 -3.1 -15.5 -16.4 -10.7 -10.4 2.1 -9.4 20.0 20.0 US5 -6.9 13.5 20.0 3.9 2.0 3.9 1.0 2.0 2.1 -4.6 11.2 -3.3 4.2 5.5 12.1 -9.8 -10.8 -10.8 -10.8 14.6 15.4 -3.0 6.0 4.9 7.0 4.0 -1.2 5.0 -1.4 3.0 0.8 -12.3 -8.6 -7.7 -1.2 4.0 5.6 -20.0 20.0 0.2 VIX -2.8 0.5 20.0 1.0 1.4 0.6 0.3 -1.7 0.1 6.4 -5.5 -3.9 -7.6 -6.3 -5.3 4.9 -20.0 -10.1 -20.0 0.8 -0.3 1.1 -4.6 0.2 NaN 1.1 1.6 0.6 0.3 -2.1 0.1 NaN NaN NaN NaN NaN -13.2 -20.0 NaN NaN WHEAT 17.8 13.7 -12.9 -1.1 5.2 -4.2 6.4 -4.2 4.1 14.9 -12.9 10.8 -16.1 14.0 -8.3 -12.6 -14.9 -14.8 -15.3 0.2 -10.7 13.2 -17.1 10.4 4.1 -0.8 9.4 -4.7 6.4 -6.2 4.0 -20.0 -0.1 7.8 5.0 -19.0 -20.0 -20.0 -20.0 -17.0 End of report for caleb_strategy_v3