******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241004_203910 produced at 2024-10-04 21:37:58.637599 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -26.60 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 -6.11 12.0 -5 -5 caleb_strategy_v3 US2 False True 0.07 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.65 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -7.38 999999999.0 -5 -5 caleb_strategy_v3 DX False False 0.04 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.51 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.04 0.0 0.10 -0.10 -0.03 -0.03 -1.14 3.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.05 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.00 -0.04 0.0 0.68 -0.68 0.00 0.00 -0.76 13.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.03 0.0 0.55 -0.55 -0.08 -0.08 -2.95 60.0 -9 -9 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.10 -0.10 -0.02 0.00 -0.65 4.0 -1 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.02 0.0 0.51 -0.51 -0.03 -0.06 -0.76 17.0 -1 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -2.23 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -5.66 51.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -5.33 26.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.14 -0.14 -0.04 -0.05 -1.53 11.0 -3 -4 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.41 3.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.01 9.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.24 8.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.38 12.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.01 0.0 0.13 -0.13 -0.06 -0.06 -0.75 7.0 -3 -3 caleb_strategy_v3 US5 False False 0.04 0.08 -0.01 0.0 0.96 -0.96 0.08 0.04 -0.19 25.0 2 1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.79 9.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.33 -0.33 0.00 0.00 -0.64 23.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.02 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.08 10.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.00 0.0 0.68 -0.68 0.00 0.00 -0.08 17.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.24 10.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 -0.00 0.0 0.54 -0.54 0.04 0.00 -0.00 13.0 1 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.23 20.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.06 10.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.10 -0.00 0.0 0.68 -0.68 0.10 0.05 -0.06 14.0 2 1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.08 4.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.05 9.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.00 0.0 0.76 -0.76 0.00 0.00 0.01 29.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.09 6.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.09 -0.00 0.0 0.28 -0.28 0.09 0.05 -0.08 6.0 2 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.54 3.0 1 1 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.89 -0.89 0.00 0.05 0.11 19.0 0 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.49 -0.49 0.00 0.00 1.23 48.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 1.45 68.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.39 -0.39 0.02 0.02 0.44 23.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.57 -0.57 0.00 0.00 0.41 26.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.10 2.0 2 2 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.15 -0.15 0.03 0.03 1.50 18.0 4 4 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 0.01 0.0 0.35 -0.35 -0.04 0.00 0.15 8.0 -1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.43 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.02 0.0 0.46 -0.46 0.04 0.04 0.90 21.0 2 2 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.44 5.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.53 999999999.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.03 0.0 0.49 -0.49 0.05 0.05 0.65 10.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.01 0.03 0.0 0.35 -0.35 0.01 0.01 3.63 36.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.36 5.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 0.99 999999999.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.58 9.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 5.84 66.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.64 -0.64 0.00 0.00 1.34 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.07 0.06 0.0 0.46 -0.46 0.07 0.07 2.32 19.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.01 0.06 0.0 0.44 -0.44 0.01 0.00 8.31 58.0 1 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.07 0.0 0.47 -0.47 0.05 0.05 1.45 10.0 1 1 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.08 0.0 0.53 -0.53 0.02 0.02 8.82 56.0 2 2 caleb_strategy_v3 COPPER False False 0.04 0.12 0.08 0.0 999.00 -999.00 0.12 0.12 1.96 999999999.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.06 0.09 0.0 0.14 -0.14 0.06 0.06 8.62 13.0 6 6 caleb_strategy_v3 LIVECOW False False 0.03 0.11 0.09 0.0 0.45 -0.45 0.11 0.11 3.50 17.0 4 4 caleb_strategy_v3 SOFR False True 0.09 0.00 0.20 0.0 0.00 0.00 0.00 0.00 2.31 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.32 0.33 0.0 0.56 -0.56 0.32 0.32 9.43 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.70 0.0 0.96 -0.96 0.00 0.00 7.35 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.9 Shocked risk 18.6 Sum abs risk 29.2 Leverage 2.81 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2819814.32, 'annual_cash_vol_target': 704953.58, 'daily_cash_vol_target': 44059.59875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6803 0.6305 10.0878 BITCOIN 1602.2224 62545.0000 2.5617 40.9874 BOBL 0.2737 119.3000 0.2294 3.6707 BTP 0.5062 120.9300 0.4186 6.6973 BUND 0.5127 133.9400 0.3828 6.1248 BUXL 1.2595 135.2000 0.9316 14.9054 CAC 74.0425 7581.0000 0.9767 15.6270 CAD 0.0027 0.7378 0.3668 5.8692 CANOLA 9.0942 635.7000 1.4306 22.8892 CHF 0.0056 1.1739 0.4793 7.6685 COCOA 158.0357 6155.0000 2.5676 41.0816 COFFEE 4.7786 253.3000 1.8865 30.1847 COPPER 0.0625 4.5690 1.3679 21.8866 CORN 4.3775 453.5000 0.9653 15.4443 COTTON2 1.0320 73.3000 1.4079 22.5263 CRUDE_W 1.2224 69.7000 1.7538 28.0603 DAX 154.1031 19325.0000 0.7974 12.7589 DOW 241.8612 42538.0000 0.5686 9.0972 DX 0.3888 102.2850 0.3801 6.0817 EUR 0.0047 1.1004 0.4249 6.7991 EURIBOR-ICE 0.0511 97.8750 0.0522 0.8353 EUROSTX 47.9579 4995.0000 0.9601 15.3619 FEEDCOW 1.6886 244.3000 0.6912 11.0592 GASOIL 12.1344 702.5000 1.7273 27.6371 GASOLINE 0.0366 2.0516 1.7857 28.5708 GAS_US_mini 0.0850 3.3050 2.5724 41.1591 GBP 0.0069 1.3123 0.5275 8.4395 GOLD_micro 17.5530 2665.6000 0.6585 10.5360 HEATOIL 0.0380 2.3359 1.6250 26.0004 JGB-SGX-mini 0.2572 144.3100 0.1783 2.8521 JPY 0.0001 0.0068 0.8598 13.7563 LEANHOG 1.0156 76.3000 1.3310 21.2967 LIVECOW 1.1728 187.0500 0.6270 10.0318 LUMBER-new 8.7480 542.0000 1.6140 25.8243 MILK 0.2760 20.9000 1.3205 21.1273 MXP 0.0004 0.0513 0.8688 13.9011 NASDAQ_micro 180.3368 20171.0000 0.8940 14.3046 NIKKEI 681.8796 39500.0000 1.7263 27.6204 NZD 0.0044 0.6165 0.7148 11.4375 OAT 0.4907 126.1300 0.3891 6.2250 OATIES 5.5105 384.7500 1.4322 22.9156 OJ 8.0820 461.0000 1.7531 28.0504 PALLAD 25.5860 1004.5000 2.5471 40.7541 PLAT 15.7928 1002.8000 1.5749 25.1979 REDWHEAT 10.1678 615.2500 1.6526 26.4420 RICE 0.1432 15.2800 0.9370 14.9914 ROBUSTA 95.1040 4833.0000 1.9678 31.4849 RUSSELL 23.3425 2225.7000 1.0488 16.7803 SHATZ 0.1012 106.8400 0.0947 1.5153 SILVER-mini 0.4865 32.6000 1.4922 23.8754 SMI 83.2446 12069.0000 0.6897 11.0358 SOFR 0.0619 96.6900 0.0641 1.0248 SOYBEAN 10.8892 1080.0000 1.0083 16.1322 SOYMEAL 5.1100 328.5000 1.5555 24.8887 SOYOIL 0.7220 44.0100 1.6406 26.2496 SP400 24.7100 3133.2000 0.7887 12.6184 SP500_micro 36.8866 5783.7500 0.6378 10.2042 SUGAR11 0.3459 21.2700 1.6261 26.0181 US10 0.4078 112.8281 0.3615 5.7836 US10U 0.5309 116.6094 0.4552 7.2839 US2 0.1326 103.5312 0.1281 2.0494 US20 0.7652 121.9375 0.6275 10.0400 US30 1.1326 130.1250 0.8704 13.9264 US5 0.2843 108.7578 0.2614 4.1820 VIX 0.6739 18.9500 3.5561 56.8977 WHEAT 9.2217 656.7500 1.4041 22.4663 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.30 0.63 428.92 1.00 428.92 44059.6 102.72 8.69 89.29 BITCOIN 62.54 2.56 160.22 1.00 160.22 44059.6 274.99 -8.93 -245.69 BOBL 1193.00 0.23 273.69 1.10 301.86 44059.6 145.96 0.75 10.97 BTP 1209.30 0.42 506.19 1.10 558.28 44059.6 78.92 5.40 42.61 BUND 1339.40 0.38 512.72 1.10 565.48 44059.6 77.92 -0.79 -6.15 BUXL 1352.00 0.93 1259.51 1.10 1389.11 44059.6 31.72 -2.50 -7.92 CAC 758.10 0.98 740.43 1.10 816.62 44059.6 53.95 -2.04 -11.03 CAD 737.85 0.37 270.66 1.00 270.66 44059.6 162.79 0.02 0.38 CANOLA 127.14 1.43 181.88 0.74 134.50 44059.6 327.57 -7.10 -232.57 CHF 1467.38 0.48 703.28 1.00 703.28 44059.6 62.65 -4.71 -29.48 COCOA 615.50 2.57 1580.36 1.00 1580.36 44059.6 27.88 6.95 19.37 COFFEE 949.88 1.89 1791.98 1.00 1791.98 44059.6 24.59 3.08 7.57 COPPER 1142.25 1.37 1562.50 1.00 1562.50 44059.6 28.20 6.43 18.14 CORN 226.75 0.97 218.87 1.00 218.87 44059.6 201.30 -12.48 -251.16 COTTON2 366.50 1.41 515.99 1.00 515.99 44059.6 85.39 -8.37 -71.47 CRUDE_W 697.00 1.75 1222.38 1.00 1222.38 44059.6 36.04 3.47 12.52 DAX 193.25 0.80 154.10 1.10 169.96 44059.6 259.23 9.39 243.53 DOW 212.69 0.57 120.93 1.00 120.93 44059.6 364.34 6.89 251.15 DX 1022.85 0.38 388.79 1.00 388.79 44059.6 113.33 -5.15 -58.35 EUR 1375.56 0.42 584.54 1.00 584.54 44059.6 75.38 -0.33 -2.46 EURIBOR-ICE 2446.88 0.05 127.74 1.10 140.88 44059.6 312.74 6.89 215.56 EUROSTX 499.50 0.96 479.58 1.10 528.93 44059.6 83.30 0.83 6.88 FEEDCOW 1221.50 0.69 844.30 1.00 844.30 44059.6 52.18 0.85 4.46 GASOIL 702.50 1.73 1213.44 1.00 1213.44 44059.6 36.31 -4.13 -15.00 GASOLINE 861.67 1.79 1538.67 1.00 1538.67 44059.6 28.63 4.24 12.13 GAS_US_mini 82.62 2.57 212.55 1.00 212.55 44059.6 207.29 -2.37 -49.18 GBP 820.19 0.53 432.62 1.00 432.62 44059.6 101.84 5.08 51.70 GOLD_micro 266.56 0.66 175.53 1.00 175.53 44059.6 251.01 10.30 258.57 HEATOIL 981.08 1.63 1594.28 1.00 1594.28 44059.6 27.64 -9.55 -26.40 JGB-SGX-mini 144310.00 0.18 25723.80 0.01 175.57 44059.6 250.95 3.47 87.09 JPY 847.56 0.86 728.71 1.00 728.71 44059.6 60.46 -4.85 -29.33 LEANHOG 305.20 1.33 406.23 1.00 406.23 44059.6 108.46 13.08 141.82 LIVECOW 748.20 0.63 469.11 1.00 469.11 44059.6 93.92 11.26 105.71 LUMBER-new 149.05 1.61 240.57 1.00 240.57 44059.6 183.15 -3.59 -65.74 MILK 418.00 1.32 551.95 1.00 551.95 44059.6 79.83 8.40 67.08 MXP 256.50 0.87 222.85 1.00 222.85 44059.6 197.71 -1.02 -20.13 NASDAQ_micro 403.42 0.89 360.67 1.00 360.67 44059.6 122.16 -2.27 -27.73 NIKKEI 39500.00 1.73 68187.96 0.01 465.40 44059.6 94.67 3.54 33.54 NZD 616.45 0.71 440.67 1.00 440.67 44059.6 99.98 3.45 34.53 OAT 1261.30 0.39 490.72 1.10 541.22 44059.6 81.41 2.34 19.03 OATIES 192.38 1.43 275.52 1.00 275.52 44059.6 159.91 6.24 99.81 OJ 691.50 1.75 1212.30 1.00 1212.30 44059.6 36.34 6.94 25.21 PALLAD 1004.50 2.55 2558.60 1.00 2558.60 44059.6 17.22 0.34 0.58 PLAT 501.40 1.57 789.64 1.00 789.64 44059.6 55.80 0.44 2.45 REDWHEAT 307.62 1.65 508.39 1.00 508.39 44059.6 86.67 -10.75 -93.17 RICE 305.60 0.94 286.33 1.00 286.33 44059.6 153.87 -5.96 -91.72 ROBUSTA 483.30 1.97 951.04 1.00 951.04 44059.6 46.33 8.10 37.54 RUSSELL 111.28 1.05 116.71 1.00 116.71 44059.6 377.51 1.16 43.70 SHATZ 1068.40 0.09 101.19 1.10 111.60 44059.6 394.80 -2.62 -103.47 SILVER-mini 815.00 1.49 1216.15 1.00 1216.15 44059.6 36.23 8.00 28.99 SMI 1206.90 0.69 832.45 1.18 979.33 44059.6 44.99 3.76 16.90 SOFR 2417.25 0.06 154.83 1.00 154.83 44059.6 284.57 1.33 37.97 SOYBEAN 540.00 1.01 544.46 1.00 544.46 44059.6 80.92 -9.96 -80.60 SOYMEAL 328.50 1.56 511.00 1.00 511.00 44059.6 86.22 -9.80 -84.47 SOYOIL 264.06 1.64 433.22 1.00 433.22 44059.6 101.70 -2.57 -26.16 SP400 3133.20 0.79 2471.00 1.00 2471.00 44059.6 17.83 1.75 3.11 SP500_micro 289.19 0.64 184.43 1.00 184.43 44059.6 238.89 2.21 52.73 SUGAR11 238.22 1.63 387.38 1.00 387.38 44059.6 113.74 6.22 70.73 US10 1128.28 0.36 407.85 1.00 407.85 44059.6 108.03 -0.60 -6.49 US10U 1166.09 0.46 530.86 1.00 530.86 44059.6 83.00 -0.00 -0.03 US2 2070.62 0.13 265.22 1.00 265.22 44059.6 166.13 -3.09 -51.32 US20 1219.38 0.63 765.16 1.00 765.16 44059.6 57.58 0.72 4.17 US30 1301.25 0.87 1132.61 1.00 1132.61 44059.6 38.90 -1.55 -6.01 US5 1087.58 0.26 284.26 1.00 284.26 44059.6 155.00 -0.94 -14.64 VIX 189.50 3.56 673.88 1.00 673.88 44059.6 65.38 -4.57 -29.91 WHEAT 328.38 1.40 461.08 1.00 461.08 44059.6 95.56 -7.96 -76.07 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 89.291 0.010 2.5 2.317 BITCOIN -245.687 0.043 2.5 -26.605 BOBL 10.969 0.004 2.5 0.111 BTP 42.613 0.014 2.5 1.453 BUND -6.153 0.004 2.5 -0.062 BUXL -7.925 0.004 2.5 -0.080 CAC -11.027 0.014 2.5 -0.376 CAD 0.383 0.010 2.5 0.010 CANOLA -232.567 0.010 2.5 -5.658 CHF -29.478 0.010 2.5 -0.765 COCOA 19.373 0.009 2.5 0.415 COFFEE 7.570 0.005 2.5 0.088 COPPER 18.144 0.043 2.5 1.965 CORN -251.163 0.010 2.5 -6.110 COTTON2 -71.475 0.009 2.5 -1.531 CRUDE_W 12.525 0.043 2.5 1.356 DAX 243.528 0.014 2.5 8.306 DOW 251.145 0.009 2.5 5.837 DX -58.350 0.010 2.5 -1.514 EUR -2.463 0.010 2.5 -0.064 EURIBOR-ICE 215.556 0.014 2.5 7.352 EUROSTX 6.878 0.014 2.5 0.235 FEEDCOW 4.456 0.013 2.5 0.148 GASOIL -15.002 0.017 2.5 -0.650 GASOLINE 12.134 0.017 2.5 0.526 GAS_US_mini -49.176 0.043 2.5 -5.325 GBP 51.702 0.010 2.5 1.341 GOLD_micro 258.575 0.014 2.5 8.820 HEATOIL -26.398 0.017 2.5 -1.144 JGB-SGX-mini 87.094 0.043 2.5 9.431 JPY -29.330 0.010 2.5 -0.761 LEANHOG 141.820 0.024 2.5 8.619 LIVECOW 105.710 0.013 2.5 3.503 LUMBER-new -65.739 0.009 2.5 -1.408 MILK 67.082 0.009 2.5 1.437 MXP -20.127 0.059 2.5 -2.954 NASDAQ_micro -27.725 0.009 2.5 -0.644 NIKKEI 33.543 0.043 2.5 3.632 NZD 34.526 0.010 2.5 0.896 OAT 19.030 0.014 2.5 0.649 OATIES 99.813 0.010 2.5 2.428 OJ 25.210 0.009 2.5 0.540 PALLAD 0.583 0.014 2.5 0.020 PLAT 2.445 0.014 2.5 0.083 REDWHEAT -93.172 0.005 2.5 -1.236 RICE -91.719 0.010 2.5 -2.231 ROBUSTA 37.539 0.005 2.5 0.438 RUSSELL 43.698 0.013 2.5 1.448 SHATZ -103.467 0.004 2.5 -1.049 SILVER-mini 28.986 0.014 2.5 0.989 SMI 16.901 0.014 2.5 0.576 SOFR 37.971 0.024 2.5 2.308 SOYBEAN -80.597 0.004 2.5 -0.750 SOYMEAL -84.467 0.004 2.5 -0.786 SOYOIL -26.162 0.004 2.5 -0.244 SP400 3.112 0.013 2.5 0.103 SP500_micro 52.730 0.009 2.5 1.225 SUGAR11 70.732 0.009 2.5 1.504 US10 -6.493 0.005 2.5 -0.082 US10U -0.028 0.005 2.5 -0.000 US2 -51.322 0.005 2.5 -0.650 US20 4.169 0.005 2.5 0.053 US30 -6.011 0.005 2.5 -0.076 US5 -14.640 0.005 2.5 -0.186 VIX -29.912 0.099 2.5 -7.383 WHEAT -76.066 0.005 2.5 -1.009 ===================== Position diags ===================== AUD 2.67 BITCOIN 29.78 BOBL 1.48 BTP 2.69 BUND 0.79 BUXL 0.32 CAC 1.84 CAD 4.22 CANOLA 7.97 CHF 1.63 COCOA 0.60 COFFEE 0.29 COPPER 3.05 CORN 4.90 COTTON2 1.83 CRUDE_W 3.90 DAX 8.84 DOW 8.47 DX 2.94 EUR 1.96 EURIBOR-ICE 10.67 EUROSTX 2.84 FEEDCOW 1.73 GASOIL 1.57 GASOLINE 1.24 GAS_US_mini 22.45 GBP 2.64 GOLD_micro 8.56 HEATOIL 1.20 JGB-SGX-mini 27.17 JPY 1.57 LEANHOG 6.59 LIVECOW 3.11 LUMBER-new 3.92 MILK 1.71 MXP 29.02 NASDAQ_micro 2.84 NIKKEI 10.25 NZD 2.59 OAT 2.78 OATIES 3.89 OJ 0.78 PALLAD 0.59 PLAT 1.90 REDWHEAT 1.15 RICE 3.74 ROBUSTA 0.54 RUSSELL 12.51 SHATZ 4.00 SILVER-mini 1.24 SMI 1.53 SOFR 17.29 SOYBEAN 0.75 SOYMEAL 0.80 SOYOIL 0.95 SP400 0.59 SP500_micro 5.55 SUGAR11 2.42 US10 1.37 US10U 1.05 US2 2.11 US20 0.73 US30 0.49 US5 1.96 VIX 16.14 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.3 2.1 2.6 3.0 3 BITCOIN -26.6 -29.6 -23.6 0.0 0 BOBL 0.1 -0.0 0.3 0.0 0 BTP 1.5 1.2 1.7 1.0 1 BUND -0.1 -0.1 0.0 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -0.4 -0.6 -0.2 0.0 0 CAD 0.0 -0.4 0.4 0.0 0 CANOLA -5.7 -6.5 -4.9 -2.0 -2 CHF -0.8 -0.9 -0.6 0.0 0 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER 2.0 1.7 2.3 3.0 3 CORN -6.1 -6.6 -5.6 -5.0 -5 COTTON2 -1.5 -1.7 -1.3 -3.0 -3 CRUDE_W 1.4 1.0 1.7 1.0 1 DAX 8.3 7.4 9.2 1.0 1 DOW 5.8 5.0 6.7 0.0 0 DX -1.5 -1.8 -1.2 0.0 0 EUR -0.1 -0.3 0.1 2.0 2 EURIBOR-ICE 7.4 6.3 8.4 0.0 0 EUROSTX 0.2 -0.0 0.5 0.0 0 FEEDCOW 0.1 -0.0 0.3 -1.0 -1 GASOIL -0.7 -0.8 -0.5 -1.0 -1 GASOLINE 0.5 0.4 0.7 0.0 0 GAS_US_mini -5.3 -7.6 -3.1 -3.0 -3 GBP 1.3 1.1 1.6 0.0 0 GOLD_micro 8.8 8.0 9.7 2.0 2 HEATOIL -1.1 -1.3 -1.0 -1.0 -1 JGB-SGX-mini 9.4 6.7 12.1 9.0 9 JPY -0.8 -0.9 -0.6 -1.0 -1 LEANHOG 8.6 8.0 9.3 6.0 6 LIVECOW 3.5 3.2 3.8 4.0 4 LUMBER-new -1.4 -1.8 -1.0 -2.0 -2 MILK 1.4 1.3 1.6 1.0 1 MXP -3.0 -5.9 -0.1 -9.0 -9 NASDAQ_micro -0.6 -0.9 -0.4 0.0 0 NIKKEI 3.6 2.6 4.7 1.0 1 NZD 0.9 0.6 1.2 2.0 2 OAT 0.6 0.4 0.9 1.0 1 OATIES 2.4 2.0 2.8 NaN 0 OJ 0.5 0.5 0.6 1.0 1 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.1 -0.1 0.3 0.0 0 REDWHEAT -1.2 -1.4 -1.1 0.0 0 RICE -2.2 -2.6 -1.9 NaN 0 ROBUSTA 0.4 0.4 0.5 1.0 1 RUSSELL 1.4 0.2 2.7 0.0 0 SHATZ -1.0 -1.4 -0.6 NaN 0 SILVER-mini 1.0 0.9 1.1 0.0 0 SMI 0.6 0.4 0.7 0.0 0 SOFR 2.3 0.6 4.0 NaN 0 SOYBEAN -0.7 -0.8 -0.7 -3.0 -3 SOYMEAL -0.8 -0.9 -0.7 -1.0 -1 SOYOIL -0.2 -0.3 -0.1 0.0 0 SP400 0.1 0.0 0.2 2.0 2 SP500_micro 1.2 0.7 1.8 0.0 0 SUGAR11 1.5 1.3 1.7 4.0 4 US10 -0.1 -0.2 0.1 0.0 0 US10U -0.0 -0.1 0.1 1.0 1 US2 -0.7 -0.9 -0.4 NaN 0 US20 0.1 -0.0 0.1 0.0 0 US30 -0.1 -0.1 -0.0 2.0 2 US5 -0.2 -0.4 0.0 2.0 2 VIX -7.4 -9.0 -5.8 -5.0 -5 WHEAT -1.0 -1.1 -0.9 -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 0.3 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 0.1 0.1 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.3 0.3 0.3 0.1 0.4 -0.2 0.7 0.0 BITCOIN 0.4 -0.0 -0.5 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 -0.1 0.1 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 0.2 0.0 -2.7 -0.0 -0.0 -0.0 -0.0 0.3 0.0 -0.1 -0.3 -0.6 -0.6 -0.4 -0.0 -0.1 -0.1 0.1 BOBL -0.1 0.2 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.0 -0.0 0.1 0.1 0.3 -0.2 -0.0 -0.2 0.1 0.1 -0.0 0.0 0.1 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.5 0.3 0.3 0.0 0.0 -0.7 -0.6 -0.2 -0.2 BTP 0.1 0.2 0.4 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.5 0.1 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 0.7 0.5 0.6 0.4 -0.2 -0.7 -0.4 -0.0 0.3 BUND -0.1 0.1 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.0 0.1 0.1 0.1 -0.4 -0.1 -0.2 -0.1 0.1 0.1 -0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 0.2 -0.1 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.2 0.0 0.3 0.0 -0.1 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 0.0 0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.5 0.1 -0.3 -0.4 -0.7 -0.7 -0.2 -0.2 CAC 0.4 0.3 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 -0.2 -0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.9 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.2 0.0 -0.1 -0.1 -0.6 0.3 0.2 -0.1 0.0 CAD -0.1 0.4 0.2 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.1 -0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.5 -0.4 0.0 -0.0 0.3 -0.3 0.2 -0.1 CANOLA 0.6 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.1 -0.2 0.1 -1.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.2 -0.0 0.1 -0.0 -0.2 -0.4 0.1 -0.2 CHF -0.4 0.3 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 -0.0 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.1 -0.0 0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 -1.1 -0.1 -0.6 -0.3 0.5 -0.2 -0.4 -0.5 -0.4 COCOA 0.0 0.1 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 -0.0 0.3 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.1 -0.2 0.2 0.2 0.7 0.4 0.7 0.6 COFFEE 0.2 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.4 0.0 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 0.3 -0.2 0.1 0.6 0.6 -0.2 -0.3 0.2 -0.1 COPPER 0.6 0.4 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.1 0.2 -2.0 0.0 0.0 0.0 0.0 0.0 0.1 0.2 0.5 0.5 0.4 -0.0 0.7 0.3 0.7 0.7 CORN 0.5 0.4 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.4 0.2 -0.7 0.2 -0.1 -0.2 -0.3 -0.3 -0.4 -0.0 -0.2 0.1 -0.5 0.1 -1.7 -0.0 0.0 -0.2 0.1 -0.5 0.0 -1.1 0.2 -0.3 0.1 -0.6 0.0 -0.1 0.2 -0.0 COTTON2 0.6 0.6 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.1 -0.5 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.7 -0.2 0.1 0.4 0.3 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.4 -0.3 -0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 0.2 0.2 0.2 0.2 -0.1 -0.1 0.1 -0.1 0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.6 -0.3 0.0 0.3 0.1 0.0 0.4 0.0 0.6 DAX 0.4 0.4 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.2 1.3 0.0 0.0 0.1 0.0 0.2 0.1 -0.3 0.3 0.2 0.3 -0.3 0.5 0.2 0.1 0.0 DOW 0.5 0.5 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.0 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 -1.8 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 -0.1 0.4 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.3 -0.3 -0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 0.2 -0.3 0.1 0.1 -0.1 -0.2 0.1 0.1 0.1 0.1 -0.1 -0.1 0.2 -0.1 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.8 0.5 0.1 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.2 0.1 0.4 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.1 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.2 0.1 -0.0 2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.5 -0.5 -0.6 -0.3 0.2 -0.0 -0.7 -0.2 -0.7 EURIBOR-ICE -0.3 0.2 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.2 0.0 0.2 0.1 0.1 0.1 -0.0 0.0 0.0 0.1 0.1 -0.0 0.1 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 0.4 0.2 -0.5 0.0 0.0 0.1 0.0 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 0.0 0.2 0.1 -0.3 0.0 0.0 0.0 0.0 0.2 0.0 0.2 0.2 0.0 -0.0 -0.6 0.2 0.0 -0.6 -0.2 FEEDCOW 0.6 -0.0 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 -0.3 0.2 -0.5 0.2 -0.1 0.4 -0.2 0.4 0.1 -0.1 -0.2 0.2 -0.5 0.2 -1.2 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.5 0.5 0.6 -0.2 -0.6 0.3 0.7 0.6 0.7 GASOIL 0.4 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.1 0.0 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.1 -0.2 -0.0 0.5 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.0 0.1 -0.2 -0.3 -0.1 -0.1 -0.4 -0.1 -0.6 GASOLINE 0.5 -0.3 -0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.2 0.0 -0.0 -0.1 0.2 0.4 0.4 0.4 -0.1 -0.1 0.2 -0.1 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.0 0.0 1.1 -0.1 0.3 0.3 0.3 0.2 0.5 0.4 0.7 GAS_US_mini 0.6 0.3 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.5 0.2 -0.7 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.5 0.1 2.7 0.0 0.0 -0.1 0.1 -0.3 0.1 -1.1 -0.2 0.4 0.6 0.1 -0.2 -0.6 -0.1 -0.7 GBP -0.0 0.3 0.3 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.5 -0.0 0.5 0.1 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 -0.1 0.3 0.1 -0.2 0.1 -0.1 0.2 -0.0 0.2 0.0 0.1 -0.2 -0.0 0.4 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -1.6 0.1 0.0 0.2 0.0 0.2 0.1 -0.7 0.3 0.5 0.6 0.6 0.6 -0.1 0.4 0.1 HEATOIL 0.4 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 -0.4 0.2 -0.2 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.2 -0.3 0.0 -2.7 -0.0 0.1 -0.2 0.1 -0.1 0.0 -0.5 0.1 0.0 0.1 0.0 -0.3 0.2 -0.4 0.1 JGB-SGX-mini 0.1 0.3 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.3 0.3 0.3 0.1 0.1 -0.0 0.1 0.0 -1.2 0.0 -0.0 0.1 -0.0 0.0 0.0 1.1 0.1 0.1 0.0 -0.1 -0.4 -0.2 -0.4 0.1 JPY -0.6 0.3 0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.0 0.0 -0.1 -0.0 -0.0 2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.4 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.1 0.2 -0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.0 0.2 -0.3 0.2 0.6 0.1 0.1 0.0 0.1 -0.1 0.1 1.1 0.2 0.1 0.6 0.6 0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.2 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 0.3 0.2 0.4 0.2 0.1 -0.1 0.2 0.1 0.2 0.2 0.1 0.2 0.3 0.2 -2.4 0.0 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.3 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.3 0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.1 -0.4 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.0 -0.3 0.1 NaN 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.1 -0.3 0.1 0.4 0.1 -0.0 0.3 0.1 MILK -0.2 0.3 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 0.1 0.1 0.4 -0.1 0.4 0.3 0.2 0.2 -0.1 0.3 0.0 1.9 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.5 -0.4 0.6 0.6 0.0 -0.7 0.3 -0.7 MXP 0.5 -0.2 -0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.2 0.1 -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 0.3 0.2 -0.6 -0.6 0.4 0.4 0.6 0.7 NASDAQ_micro 0.5 0.1 -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 0.0 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.0 0.3 0.2 0.0 0.1 0.1 -0.3 -0.0 NIKKEI 0.4 0.1 -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 0.2 0.1 -0.2 -0.4 0.4 0.1 0.4 0.1 NZD 0.1 0.5 0.2 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 0.1 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.2 0.1 -0.0 0.2 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.3 0.2 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.0 -0.0 0.0 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 0.3 0.0 -0.1 -0.4 -0.5 -0.5 0.1 0.1 OATIES 0.6 0.6 0.2 -0.0 0.0 -0.1 0.0 -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 0.1 0.2 -0.2 0.2 -2.7 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 0.5 0.5 0.6 0.3 0.6 0.0 0.7 0.4 OJ -0.3 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.4 0.0 0.9 -0.5 -0.6 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.2 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 -0.3 -0.2 -0.0 0.3 -0.6 -0.7 -0.7 -0.7 PLAT 0.5 0.2 -0.1 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 0.0 -0.1 -0.2 -0.0 -0.1 -0.2 -0.4 0.0 REDWHEAT 0.4 0.5 -0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.4 0.1 -0.7 0.1 -0.1 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.2 -0.5 0.1 -0.7 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.9 0.5 -0.1 0.1 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.1 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 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 -0.6 -0.3 0.4 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.2 0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 0.0 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.2 0.1 0.6 0.6 0.3 -0.1 0.7 0.1 RUSSELL 0.3 0.1 0.2 0.0 0.0 0.1 0.0 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 -0.0 0.2 0.0 -0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.3 0.0 0.0 0.4 0.0 -0.4 -0.3 -0.7 SHATZ -0.1 0.3 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 0.0 -0.0 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 0.0 0.1 0.8 0.0 -0.0 0.1 -0.0 0.0 0.0 -1.1 0.3 0.3 0.2 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 0.1 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 0.2 0.3 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.3 0.3 0.2 0.1 0.2 -0.1 0.0 0.3 SMI -0.1 -0.2 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.0 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.3 -0.0 1.5 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.5 0.0 -0.6 -0.3 0.0 -0.0 0.0 -0.5 -0.1 SOFR -0.6 0.1 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.2 0.4 -0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.2 -0.2 0.3 -0.0 -1.0 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.4 -0.4 -0.5 -0.2 0.0 0.3 -0.4 0.7 0.4 SOYBEAN 0.6 0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.5 0.1 -2.7 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.3 0.1 -0.1 -0.0 -0.5 0.1 -0.5 0.3 -0.3 SOYMEAL 0.4 0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.3 0.1 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 -0.1 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 -2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.3 0.2 0.2 0.1 -0.1 -0.3 0.3 -0.1 SP400 0.5 0.2 -0.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.3 0.1 -1.6 0.1 0.0 0.1 0.0 0.2 0.0 0.0 -0.2 0.3 0.2 0.3 0.2 -0.2 -0.3 -0.7 SP500_micro 0.5 0.3 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.5 -0.0 0.5 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 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.3 0.1 0.1 0.4 0.2 0.3 0.2 0.2 0.1 0.2 -0.1 0.2 -2.7 0.0 0.0 0.0 0.0 -0.0 0.1 0.6 0.0 0.6 0.6 0.6 -0.5 0.3 -0.4 0.4 US10 -0.6 0.1 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.3 -0.3 -0.3 -0.2 -0.0 0.1 -0.7 0.7 0.2 US10U -0.6 0.1 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.2 0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.2 0.1 -0.0 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 -0.4 -0.4 -0.3 -0.2 0.2 -0.6 0.7 0.6 US2 -0.6 0.2 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.1 0.1 -0.0 1.6 0.0 -0.1 0.1 -0.0 0.1 -0.0 -1.1 -0.4 -0.2 0.0 0.2 0.0 -0.7 0.2 -0.4 US20 -0.6 0.1 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.2 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 -0.0 -0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.2 -0.4 -0.3 -0.2 0.2 -0.4 0.7 0.7 US30 -0.6 0.1 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 -0.1 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.2 -0.4 -0.3 -0.4 0.1 -0.3 0.7 0.7 US5 -0.6 0.1 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.1 0.1 -0.0 0.9 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.6 -0.4 -0.3 -0.1 0.1 0.2 -0.7 0.7 0.0 VIX 0.0 0.1 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.5 -0.0 -0.1 0.2 -0.6 -0.3 -0.6 0.0 0.0 0.1 -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 0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.3 0.1 -0.6 0.2 -0.0 -0.2 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.4 0.2 0.5 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.1 0.2 -0.5 -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 10.1 10.8 5.6 4.4 -7.9 3.1 -2.2 1.7 2.7 -11.3 12.2 9.3 3.3 13.6 14.1 0.2 -2.0 -0.7 -1.4 11.5 8.0 2.9 3.5 11.4 2.2 4.9 -5.2 3.4 1.3 1.7 4.9 -0.0 14.1 10.4 8.3 1.8 13.4 -5.6 19.8 0.0 BITCOIN 12.4 -0.9 -15.3 3.7 0.5 0.1 3.2 -1.1 5.6 -11.2 -3.6 5.9 8.1 8.1 -2.7 -6.4 -6.8 -6.1 -6.4 -1.1 -1.5 -1.0 7.8 3.0 -20.0 -1.5 -2.4 -0.3 -1.0 7.7 0.8 -2.2 -11.3 -18.7 -20.0 -11.2 -0.7 -2.9 -2.3 1.7 BOBL -3.5 5.9 19.6 2.5 -6.1 3.1 -2.6 1.7 0.2 -5.8 5.8 -0.2 -1.1 5.6 9.1 15.0 -10.1 -0.9 -7.7 7.7 6.4 -1.1 1.4 4.7 4.2 3.5 -4.8 3.1 -0.4 1.4 2.1 -9.8 14.1 8.1 1.1 0.5 -20.0 -18.9 -5.1 -4.6 BTP 3.8 6.8 11.9 4.6 -11.1 5.5 -4.8 3.0 0.3 -7.8 17.7 7.2 17.6 14.8 19.0 7.2 4.5 5.0 4.1 17.8 16.2 6.4 13.6 14.7 -20.0 7.1 -2.4 6.3 2.7 5.3 6.0 13.6 20.0 20.0 11.6 -4.8 -20.0 -13.0 -0.0 8.4 BUND -3.8 3.4 15.1 3.0 -7.3 3.7 -3.2 2.0 0.2 -7.7 7.5 -1.7 1.7 5.4 10.5 -20.0 -3.3 -11.6 -6.8 7.3 6.9 -1.0 2.4 4.1 1.3 3.9 -5.0 3.9 -0.1 2.3 2.3 -1.8 17.3 7.3 -1.8 -4.0 -20.0 -17.8 -4.5 -3.2 BUXL -6.0 0.3 10.3 3.5 -8.5 4.2 -3.6 2.3 0.2 -9.4 6.3 -4.0 1.3 1.9 9.4 -0.0 -1.9 -0.7 -1.5 3.7 3.9 -1.3 -0.0 1.1 -2.5 2.8 -3.4 3.5 0.2 2.2 1.2 3.4 20.0 2.7 -8.1 -12.2 -20.0 -20.0 -6.4 -5.7 CAC 12.0 10.2 -14.7 3.5 0.3 4.4 2.0 6.3 3.5 -8.1 -6.3 -1.3 0.8 4.8 -1.2 -5.8 -2.9 -5.7 -4.3 -1.0 -4.6 -0.9 -1.3 2.5 -6.7 -0.3 -2.3 -2.1 0.5 0.3 2.1 4.5 1.7 -3.7 -3.9 -20.0 9.7 5.3 -2.4 0.1 CAD -2.2 12.5 7.1 5.9 -10.6 4.2 -2.9 2.3 3.6 -18.8 4.8 -7.1 -11.6 9.3 13.0 -4.2 -3.7 -4.4 -4.1 7.6 3.9 -4.4 -2.9 4.2 -1.4 5.1 -7.8 2.9 -1.5 -0.7 3.3 -3.7 19.1 -11.3 0.0 -1.0 10.0 -7.8 4.6 -3.6 CANOLA 19.4 7.1 -0.4 -0.1 0.3 -1.5 1.7 -1.7 1.6 6.9 -3.6 7.4 -6.5 5.5 -1.6 -13.4 -11.1 -12.9 -12.9 0.1 -4.1 9.5 -6.2 6.2 -13.7 0.9 2.3 -1.2 3.5 -3.0 2.9 -20.0 6.5 -0.0 4.3 -0.1 -4.5 -11.4 3.4 -6.9 CHF -12.5 9.1 20.0 3.7 -6.7 2.6 -1.9 1.5 2.3 -13.6 8.6 -11.3 -0.4 3.9 10.8 -13.6 -16.0 -14.6 -15.3 8.8 10.2 -11.7 4.3 -1.1 4.0 3.6 -8.0 4.4 -4.4 2.3 -0.4 -20.0 -5.0 -17.8 -9.1 16.8 -5.2 -10.9 -13.8 -11.6 COCOA 1.2 3.4 7.8 -0.1 0.3 -1.4 1.6 -1.5 1.5 -4.2 1.7 -2.8 3.2 0.4 -1.2 20.0 20.0 20.0 20.0 1.5 4.6 -2.5 10.1 0.1 -20.0 1.7 -1.8 4.3 -1.2 9.3 0.5 20.0 -5.8 -4.7 5.3 6.1 20.0 12.8 20.0 18.3 COFFEE 5.2 3.5 4.3 -0.2 0.8 -3.5 4.0 -3.8 3.8 -11.3 16.0 1.6 16.0 9.3 12.8 3.3 5.7 3.8 4.7 14.7 17.8 -5.3 17.9 8.1 -20.0 5.3 -6.5 6.6 -2.3 7.6 2.8 6.3 -9.9 2.1 20.0 20.0 -4.6 -8.4 5.7 -1.9 COPPER 20.0 12.9 -11.7 2.2 0.3 0.0 1.9 -0.6 3.3 4.9 -1.9 9.4 -0.2 10.2 3.1 -3.1 -3.0 -3.1 -2.7 7.8 2.6 13.4 3.2 15.1 -14.9 3.0 1.3 1.4 3.9 1.3 4.8 4.4 20.0 16.3 11.7 -0.1 20.0 9.2 20.0 20.0 CORN 14.9 11.1 -18.4 -0.3 0.9 -4.1 4.7 -4.5 4.4 4.5 -14.7 15.2 -19.9 17.7 -10.5 -11.4 -15.4 -16.9 -17.6 -3.0 -20.0 10.7 -20.0 10.0 -12.8 -2.2 1.7 -9.1 5.2 -12.7 3.9 -20.0 10.2 -10.2 2.1 -19.8 1.1 -4.5 5.2 -0.0 COTTON2 18.8 20.0 -1.8 -0.2 0.7 -3.0 3.4 -3.3 3.3 -4.3 -12.8 11.1 -13.0 11.8 3.3 -11.4 -4.4 -10.4 -7.7 4.1 -6.9 5.7 -12.8 9.2 -20.0 2.4 0.7 -1.4 2.7 -2.3 4.3 -13.1 -8.6 3.8 12.6 9.1 -13.5 -12.0 -5.2 -6.3 CRUDE_W 12.5 -9.1 -17.0 -3.1 9.8 -3.8 6.2 -1.9 1.0 14.9 -8.0 13.0 2.3 -2.1 -8.5 9.3 12.4 11.4 12.1 -8.2 -8.6 11.3 -2.7 0.4 -1.5 -2.5 9.9 -4.4 6.6 -2.0 2.1 10.7 -13.0 1.1 8.9 4.3 0.6 11.9 1.3 17.0 DAX 13.0 12.4 -9.0 3.7 0.3 4.7 2.1 6.7 3.7 -1.0 10.4 8.1 14.0 13.0 12.9 -7.7 -10.1 -8.3 -9.1 11.5 8.5 9.3 10.5 14.2 9.5 4.2 0.6 3.5 3.9 5.4 5.6 -6.3 13.6 6.8 10.4 -10.0 14.3 5.9 3.0 1.4 DOW 14.0 15.7 4.9 3.8 0.4 4.8 2.2 6.8 3.8 3.9 15.2 15.5 16.6 17.3 17.0 -9.0 -10.6 -9.4 -10.0 19.7 18.4 9.1 18.3 17.1 -13.4 6.3 0.6 6.1 2.5 6.2 5.1 -7.5 -2.2 13.4 19.1 18.0 11.1 2.8 -5.4 -5.4 DX 9.5 -10.2 -20.0 4.5 -8.2 3.2 -2.3 1.8 2.8 16.8 -12.0 11.1 2.5 -4.9 -14.5 4.8 6.6 5.6 6.2 -11.5 -12.9 20.0 -5.5 2.4 -20.0 -4.2 13.3 -4.8 7.7 -2.1 0.9 14.1 20.0 3.6 -20.0 -20.0 -1.5 6.8 -2.6 9.6 EUR -5.6 4.2 12.8 5.1 -9.3 3.6 -2.6 2.0 3.2 -19.2 11.1 -12.8 -1.3 -0.0 12.1 -5.7 -7.0 -6.3 -6.7 7.1 9.1 -18.1 4.5 -3.6 20.0 4.1 -15.0 5.4 -9.0 3.6 -1.5 -8.7 -20.0 -17.1 -8.5 7.3 -0.1 -20.0 -6.2 -20.0 EURIBOR-ICE -8.5 7.5 20.0 2.2 -5.3 2.6 -2.3 1.4 0.1 -4.6 6.9 0.6 5.0 5.8 8.7 5.4 -2.0 2.5 0.1 9.7 9.0 -0.9 5.5 5.8 11.7 3.2 -3.6 2.9 -0.2 1.9 2.0 4.7 11.5 9.4 7.4 6.0 -18.1 -20.0 2.2 3.4 EUROSTX 12.7 6.2 -16.7 3.4 0.3 4.3 2.0 6.1 3.4 -3.1 3.6 5.4 10.4 8.5 5.3 -3.7 -3.1 -4.2 -4.1 3.4 1.6 5.1 6.2 7.2 -2.2 1.6 0.5 1.2 3.0 4.7 3.8 4.1 8.2 1.5 -0.3 -18.5 5.9 1.3 -19.5 -6.5 FEEDCOW 20.0 -0.3 -20.0 -0.3 0.9 -4.2 4.9 -4.7 4.6 19.5 -12.4 20.0 -13.6 15.1 -7.5 20.0 -10.2 17.9 4.8 -6.0 -20.0 20.0 -18.7 20.0 -8.8 -1.8 9.2 -5.5 8.3 -4.1 4.7 -9.1 20.0 20.0 -5.8 -20.0 7.6 20.0 17.8 20.0 GASOIL 11.3 -10.7 -19.3 -3.1 9.7 -3.8 6.2 -1.8 1.0 14.4 -12.7 12.3 0.3 -4.1 -11.8 4.1 8.4 3.0 3.9 -11.9 -13.1 14.4 -5.8 -0.6 3.7 -4.4 9.6 -4.9 5.1 -2.5 -0.3 0.1 2.3 -5.3 -7.9 -4.3 -3.9 -10.9 -4.0 -17.9 GASOLINE 16.0 -8.3 -16.0 -3.3 10.5 -4.1 6.7 -2.0 1.1 16.3 -9.4 14.8 0.9 -1.4 -8.2 9.8 20.0 20.0 20.0 -7.3 -8.7 17.3 -2.0 3.6 -20.0 -0.9 15.7 -3.2 10.5 -0.7 4.5 20.0 -6.2 8.6 9.9 9.2 7.2 15.4 13.2 20.0 GAS_US_mini 18.4 8.8 -2.9 -4.3 13.4 -5.2 8.5 -2.5 1.4 11.0 -16.9 19.9 -20.0 17.9 -13.1 -20.0 -20.0 -20.0 -20.0 1.7 -10.9 15.3 -20.0 13.4 20.0 2.1 4.3 -3.4 8.9 -8.2 7.7 -20.0 -8.4 12.5 20.0 4.0 -6.7 -19.0 -3.9 -19.9 GBP -0.6 9.6 10.1 5.1 -9.2 3.6 -2.6 2.0 3.1 -18.5 17.4 -2.6 14.5 12.2 15.8 1.2 -0.4 0.4 -0.0 16.2 16.3 -10.5 12.4 7.2 -1.9 6.4 -10.0 6.6 -3.6 5.2 3.0 2.6 -10.1 -1.2 11.4 16.2 7.2 -20.0 10.0 -19.6 GOLD_micro 19.9 18.2 16.4 3.4 0.4 0.1 3.0 -1.0 5.3 -2.9 20.0 15.2 19.4 18.1 19.5 -12.7 -13.3 -12.5 -12.5 20.0 20.0 17.8 20.0 20.0 -12.0 6.9 0.1 6.0 3.8 5.9 6.6 -12.9 13.5 14.4 20.0 20.0 17.0 -1.7 12.8 3.8 HEATOIL 12.5 -9.8 -17.3 -3.5 11.0 -4.3 6.9 -2.1 1.1 17.1 -15.2 14.9 -5.9 -5.2 -13.5 -5.7 4.0 -5.6 -2.9 -13.5 -16.3 18.5 -9.6 0.5 -20.0 -3.8 15.0 -6.2 9.2 -4.0 2.2 -9.5 4.8 0.3 2.5 0.0 -7.6 4.7 -10.7 4.2 JGB-SGX-mini 2.6 10.6 15.7 2.1 -5.0 2.5 -2.1 1.3 0.1 -5.0 5.1 2.1 2.7 4.7 6.9 9.0 16.2 12.6 14.4 6.5 5.3 -1.4 2.5 3.5 -9.0 2.5 -3.1 1.9 -0.7 0.4 1.2 20.0 3.7 4.3 1.2 -2.4 -11.1 -6.1 -12.0 1.9 JPY -20.0 8.5 20.0 2.0 -3.6 1.4 -1.0 0.8 1.2 -7.3 4.1 -6.6 -3.0 -1.7 5.2 -10.0 -14.5 -11.5 -12.9 3.4 3.7 -10.3 -1.4 -3.1 20.0 1.3 -4.8 1.4 -3.2 -0.5 -0.9 -20.0 -10.8 -11.2 -6.8 7.6 -20.0 -20.0 -20.0 -20.0 LEANHOG 12.3 20.0 3.9 -0.3 1.0 -4.4 5.1 -4.9 4.8 15.7 -4.5 18.0 -6.9 20.0 17.5 20.0 20.0 20.0 20.0 15.9 0.5 20.0 -11.4 20.0 4.7 5.2 9.1 0.3 8.7 -2.9 7.9 20.0 9.6 3.1 20.0 18.5 0.5 -5.3 6.1 2.5 LIVECOW 20.0 5.3 0.7 -0.3 1.0 -4.6 5.4 -5.1 5.1 15.7 11.3 20.0 10.0 19.9 9.4 -2.8 8.9 5.2 9.2 18.2 10.7 20.0 9.9 20.0 -18.1 4.4 8.4 2.5 10.8 3.6 9.0 13.6 20.0 20.0 9.4 20.0 -0.7 20.0 8.8 20.0 LUMBER-new 8.7 5.9 3.8 -0.2 0.6 -2.7 3.1 -2.8 2.9 -1.5 -8.2 8.6 -9.6 4.6 4.9 -17.2 -17.9 -18.0 -17.9 0.9 -4.7 4.4 -8.3 4.3 NaN 1.8 0.1 -2.4 3.2 -5.3 3.6 -20.0 4.2 -6.8 2.2 11.8 2.0 -0.6 6.8 2.6 MILK -7.4 10.5 20.0 -0.2 0.6 -2.6 3.0 -2.9 2.9 -11.5 12.4 -7.3 8.4 6.5 9.6 20.0 -4.7 20.0 13.1 13.9 17.1 -6.5 10.4 3.8 13.9 4.1 -4.2 5.1 -2.2 2.9 0.9 1.0 -20.0 -11.5 20.0 20.0 0.8 -20.0 8.7 -20.0 MXP 15.0 -6.0 -19.9 2.8 -5.0 2.0 -1.4 1.1 1.7 9.7 -8.9 5.4 -5.7 -1.1 -7.1 9.9 13.6 10.3 11.4 -7.2 -11.1 4.9 -6.3 -0.1 -20.0 -2.7 3.6 -4.3 2.0 -2.3 0.1 20.0 10.8 6.4 -18.3 -20.0 12.7 13.2 16.9 20.0 NASDAQ_micro 16.1 3.9 -20.0 2.7 0.3 3.4 1.5 4.8 2.7 -2.2 4.0 9.1 8.8 10.0 3.1 -7.2 -9.6 -7.8 -8.7 5.9 6.4 5.1 11.2 7.7 -20.0 3.2 0.7 3.7 1.8 6.1 3.3 -5.6 0.0 9.8 7.3 1.4 3.0 3.7 -9.7 -0.9 NIKKEI 12.8 2.2 -20.0 1.5 0.1 1.9 0.9 2.7 1.5 2.9 1.6 3.9 3.1 4.5 1.8 1.6 8.3 4.6 6.5 1.0 0.2 5.3 2.1 3.7 -6.0 -0.8 1.8 -0.9 1.6 0.9 0.8 20.0 8.2 2.3 -6.5 -11.8 12.4 2.5 12.0 2.1 NZD 1.9 14.0 4.9 3.2 -5.9 2.3 -1.6 1.3 2.0 -11.3 7.9 -1.2 2.6 7.9 9.9 -0.4 0.0 -0.2 -0.1 7.7 5.6 -4.7 2.3 4.8 0.3 3.4 -6.7 2.4 -1.6 1.1 2.3 2.9 2.7 -0.9 5.8 -1.9 4.4 -6.3 3.1 -0.8 OAT -8.6 4.9 11.7 3.1 -7.5 3.8 -3.2 2.0 0.2 -8.9 3.0 -5.4 -0.6 -0.1 9.0 6.9 4.2 4.7 3.8 4.2 3.5 -3.4 -0.1 0.7 3.5 2.6 -5.3 2.6 -1.6 1.2 0.6 13.1 13.4 0.5 -3.0 -11.2 -13.6 -14.4 2.9 2.8 OATIES 17.3 20.0 6.0 -0.3 0.8 -3.7 4.2 -4.1 4.0 9.6 -3.2 14.9 -14.0 17.6 10.6 2.8 2.6 3.9 3.9 20.0 6.7 20.0 -7.7 20.0 -20.0 5.0 2.2 1.5 5.3 -0.9 6.7 2.6 20.0 16.8 20.0 9.4 17.5 1.4 20.0 11.1 OJ -8.2 3.2 1.9 -0.2 0.7 -3.0 3.5 -3.3 3.3 -6.8 12.8 -9.8 14.1 5.9 8.8 11.7 12.2 11.7 11.0 11.2 17.0 -4.6 20.0 2.3 -20.0 4.1 -1.0 6.6 -1.7 10.4 0.7 16.6 -20.0 -17.7 18.9 20.0 13.2 14.4 20.0 20.0 PALLAD 6.7 16.0 11.8 1.6 0.2 0.0 1.4 -0.5 2.4 -6.8 0.8 -0.8 -5.6 1.8 3.1 -1.9 -2.0 -1.8 -1.9 3.9 1.3 -2.7 -4.0 2.0 14.4 1.8 -1.4 0.6 -0.8 -1.2 1.1 5.9 -12.4 -5.0 -0.7 7.8 -16.9 -20.0 -20.0 -20.0 PLAT 14.1 5.4 -4.6 2.4 0.3 0.0 2.1 -0.7 3.6 3.1 -4.2 8.0 -3.6 9.3 0.8 -4.0 -4.4 -4.4 -4.6 3.3 0.4 4.6 -0.4 6.3 5.1 2.0 0.0 -0.2 2.3 -0.5 3.6 1.5 1.9 -2.9 -6.8 -0.7 -1.7 -7.0 -10.8 0.6 REDWHEAT 13.2 17.0 -8.4 -0.3 0.9 -4.0 4.6 -4.4 4.3 8.5 -14.3 11.1 -18.2 13.4 -6.9 -10.3 -6.7 -10.2 -9.0 1.3 -9.6 18.5 -17.1 12.6 -5.2 0.2 8.1 -4.3 9.6 -6.6 5.8 -16.4 20.0 -3.6 3.7 -17.4 -20.0 -20.0 -20.0 -20.0 RICE 3.2 1.0 -11.3 -0.3 0.9 -3.9 4.5 -4.4 4.3 -5.8 11.2 -3.2 13.7 3.1 0.1 -10.9 20.0 2.9 20.0 0.9 2.6 -3.8 8.1 -0.2 -13.1 -0.3 -4.5 1.4 -3.6 3.5 -1.8 20.0 -20.0 -19.2 -9.5 11.2 -20.0 -20.0 -20.0 -20.0 ROBUSTA -4.8 5.3 -2.1 -0.2 0.5 -2.1 2.5 -2.4 2.3 -6.2 11.0 0.7 11.0 7.8 9.8 20.0 20.0 20.0 20.0 16.7 19.0 -4.0 19.3 9.1 -20.0 3.7 -3.6 5.0 -1.2 6.3 1.8 20.0 -9.8 3.4 20.0 20.0 9.9 -2.9 20.0 3.9 RUSSELL 9.9 4.4 4.7 3.0 0.3 3.8 1.7 5.4 3.0 -3.0 5.9 4.7 10.1 6.6 4.9 -5.1 -6.3 -5.4 -5.9 6.0 7.0 -0.1 7.3 4.1 -0.7 4.3 -0.8 5.1 0.1 5.0 2.6 -0.1 -14.1 0.9 1.2 12.4 1.3 -13.4 -10.4 -20.0 SHATZ -3.0 9.5 20.0 2.0 -4.8 2.4 -2.1 1.3 0.1 -3.8 4.8 1.2 -0.9 5.4 7.6 -20.0 -20.0 -20.0 -20.0 8.2 6.4 -0.0 0.6 5.6 6.3 2.9 -3.3 2.3 -0.0 0.7 1.9 -20.0 12.0 9.1 4.8 6.2 -20.0 -18.0 -11.9 -9.4 SILVER-mini 20.0 9.9 -1.6 2.5 0.3 0.0 2.2 -0.7 3.9 10.9 8.6 12.7 8.1 12.9 8.9 -5.7 -6.4 -6.0 -6.1 11.5 8.6 13.4 8.9 15.3 2.2 3.8 3.3 2.3 4.1 2.4 5.0 -1.5 11.4 8.5 7.0 4.4 7.3 -2.4 0.4 10.0 SMI -2.1 -5.4 -7.8 3.6 0.3 4.5 2.1 6.4 3.5 -6.9 10.0 -3.3 13.7 -1.9 3.9 0.1 0.1 -1.2 -1.2 -0.1 6.4 -3.2 12.0 -1.9 10.9 2.4 -4.2 6.9 -1.8 9.7 -0.3 9.4 1.0 -17.3 -8.7 1.5 -1.1 1.4 -15.9 -4.4 SOFR -20.0 2.6 20.0 4.1 -10.0 5.0 -4.3 2.7 0.3 -14.6 14.4 -14.3 10.6 -2.0 12.8 3.4 0.0 2.0 0.8 10.8 16.8 -18.1 10.6 -4.3 -7.1 2.7 -14.1 5.8 -8.2 4.7 -3.1 7.0 -15.2 -16.6 -6.3 0.7 9.8 -12.6 20.0 10.7 SOYBEAN 18.7 12.6 -18.3 -0.2 0.6 -2.7 3.1 -3.0 2.9 -6.3 -8.9 8.1 -10.9 10.2 -4.8 -2.0 1.0 -5.0 -3.7 -2.2 -13.7 5.4 -17.2 7.3 -20.0 -1.3 -1.6 -5.1 1.8 -5.8 2.3 -5.6 4.1 -3.6 -1.4 -15.9 2.0 -14.5 9.5 -9.3 SOYMEAL 13.1 16.6 -2.2 -0.2 0.5 -2.2 2.6 -2.5 2.4 -5.4 -5.7 2.6 -9.0 7.4 0.0 -1.7 3.0 -2.2 -0.4 2.8 -3.5 3.0 -7.1 6.4 -20.0 1.0 -2.4 -1.4 2.3 -2.3 3.2 -1.0 7.6 -2.5 2.6 -3.6 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 15.0 -2.4 -0.1 0.4 -1.9 2.2 -2.1 2.0 6.3 -5.4 7.7 -8.6 6.6 -3.0 0.2 1.3 1.5 1.1 1.8 -4.4 10.6 -7.9 8.4 -19.6 1.3 3.0 -1.1 3.9 -2.2 3.5 -1.4 12.6 4.7 7.0 3.4 -1.9 -8.7 7.8 -3.2 SP400 15.5 7.3 -2.1 3.4 0.3 4.4 2.0 6.2 3.4 -2.7 9.4 11.7 13.3 12.6 9.7 -6.1 -5.9 -6.0 -6.0 9.1 8.5 4.8 10.4 9.5 -12.0 5.3 0.1 5.4 1.8 5.8 4.3 0.1 -7.8 8.4 6.9 9.8 5.7 -5.9 -7.7 -20.0 SP500_micro 15.7 10.4 -18.7 3.6 0.3 4.6 2.1 6.4 3.6 -0.8 14.5 13.9 16.2 15.6 14.7 -9.1 -11.6 -9.9 -10.9 15.0 16.7 7.6 20.0 13.9 -20.0 5.5 0.6 6.3 2.3 8.4 4.7 -9.2 -1.2 13.9 16.7 11.0 7.3 3.2 -8.8 -2.7 SUGAR11 20.0 20.0 13.0 -0.2 0.6 -2.9 3.3 -3.2 3.1 -1.4 1.4 12.3 -7.8 13.1 10.3 20.0 9.2 13.2 8.2 20.0 6.7 17.6 -2.1 20.0 -20.0 4.0 0.9 1.3 3.4 -0.5 5.1 11.1 0.0 20.0 20.0 20.0 -14.3 9.6 -11.7 13.0 US10 -19.9 3.0 20.0 3.1 -7.5 3.8 -3.2 2.0 0.2 -11.6 10.5 -10.4 5.2 -1.2 9.7 -6.8 -7.4 -7.0 -7.1 7.4 10.8 -14.3 4.9 -3.2 2.1 2.1 -11.6 4.2 -6.7 3.0 -2.3 -5.9 -13.9 -10.2 -5.5 -0.8 4.2 -20.0 20.0 7.5 US10U -18.2 3.7 20.0 4.2 -10.2 5.1 -4.4 2.7 0.3 -15.6 13.6 -14.4 5.1 -2.4 12.5 -5.0 -3.4 -4.6 -4.2 9.2 13.5 -18.4 5.4 -4.5 -1.3 2.4 -15.4 5.4 -9.2 3.8 -3.6 -0.2 -15.3 -13.4 -8.5 -5.4 4.8 -17.8 20.0 18.9 US2 -19.8 6.9 20.0 2.1 -5.2 2.6 -2.2 1.4 0.1 -8.3 6.5 -6.4 1.7 1.5 7.3 -20.0 -20.0 -20.0 -20.0 6.6 7.7 -11.0 2.0 -1.2 12.3 2.1 -7.1 2.8 -3.9 1.4 -0.7 -20.0 -15.7 -5.5 0.6 6.7 0.2 -20.0 6.1 -13.3 US20 -19.0 3.3 18.8 3.2 -7.7 3.9 -3.3 2.1 0.2 -12.1 9.9 -11.9 5.7 -3.5 8.4 -2.6 -1.1 -1.8 -1.4 5.9 9.8 -14.2 4.7 -4.6 -3.4 1.3 -10.8 4.1 -7.0 3.4 -3.3 4.4 -10.2 -11.4 -8.0 -6.6 5.7 -10.7 20.0 20.0 US30 -17.6 3.1 15.9 3.6 -8.7 4.3 -3.8 2.3 0.2 -13.6 10.0 -13.4 3.4 -5.4 8.2 -5.8 -5.3 -5.7 -5.4 4.7 8.5 -15.2 2.8 -5.8 -2.3 0.8 -11.8 3.9 -8.1 3.1 -4.2 -2.7 -8.1 -13.2 -10.2 -11.2 2.0 -9.7 20.0 20.0 US5 -20.0 3.3 20.0 3.0 -7.2 3.6 -3.1 1.9 0.2 -11.3 9.9 -10.0 4.1 -0.6 9.6 -9.7 -10.8 -10.7 -10.7 7.5 10.4 -14.8 4.4 -3.1 6.5 2.2 -11.2 4.0 -6.3 2.6 -1.9 -12.0 -17.4 -10.4 -3.8 2.5 6.0 -20.0 20.0 0.6 VIX 0.0 2.0 20.0 1.6 2.2 0.8 1.9 -1.9 1.1 6.4 -5.8 2.5 -8.2 -1.7 -5.3 6.7 -20.0 -7.9 -19.9 2.0 0.1 5.1 -5.0 2.9 NaN 1.7 2.6 0.9 2.2 -2.3 1.3 NaN NaN NaN NaN NaN -13.9 -20.0 NaN NaN WHEAT 17.2 17.6 -10.6 -0.3 0.9 -3.8 4.4 -4.3 4.2 4.7 -12.0 10.8 -15.9 15.2 -4.4 -12.0 -14.8 -14.3 -15.0 3.7 -8.2 16.1 -15.7 14.4 4.1 1.1 4.6 -3.3 7.7 -5.3 6.0 -20.0 19.6 3.1 6.6 -16.3 -20.0 -19.5 -20.0 -16.6 End of report for caleb_strategy_v3