******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241009_203923 produced at 2024-10-09 21:37:47.044920 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.98 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.08 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -0.83 11.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.0 0.07 -0.07 -0.02 -0.03 -16.79 26.0 -6 -9 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -24.11 59.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.05 0.0 0.76 -0.76 0.00 -0.03 -2.05 29.0 0 -1 caleb_strategy_v3 CHF False False 0.05 0.00 -0.05 0.0 0.68 -0.68 0.00 0.00 -0.99 13.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.10 -0.10 -0.04 -0.04 -6.48 12.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.04 0.0 999.00 -999.00 -0.03 -0.03 -5.98 999999999.0 -5 -5 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 0.00 -0.91 3.0 -1 0 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.52 -0.52 -0.06 -0.06 -0.89 17.0 -2 -2 caleb_strategy_v3 DX False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.77 999999999.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.02 0.0 0.69 -0.69 0.00 -0.05 -0.42 14.0 0 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.04 -1.76 11.0 -4 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.13 -0.13 -0.06 -0.06 -0.86 7.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -6.06 51.0 -2 -2 caleb_strategy_v3 RICE False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.25 4.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.04 -0.02 0.0 0.97 -0.97 0.04 0.00 -0.56 25.0 1 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -0.64 4.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.02 0.0 0.55 -0.55 -0.06 -0.05 -2.65 60.0 -7 -5 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -0.93 3.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.01 0.0 0.34 -0.34 -0.03 -0.01 -0.44 23.0 -2 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.44 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.17 8.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.93 9.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.99 9.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.49 12.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.52 -0.52 0.00 -0.05 -0.23 10.0 0 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.01 0.0 0.68 -0.68 0.00 0.00 -0.31 17.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.05 -0.01 0.0 0.89 -0.89 0.05 0.00 -0.17 19.0 1 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.54 -0.54 0.00 0.00 -0.17 13.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.05 -0.01 0.0 0.28 -0.28 0.05 0.00 -0.11 6.0 1 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.03 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.08 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.00 0.0 0.46 -0.46 0.04 0.04 0.10 21.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.30 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.00 0.0 0.39 -0.39 0.02 0.02 0.29 23.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.04 9.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.50 -0.50 0.00 0.00 1.41 48.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 2.17 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 1.78 68.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.44 20.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.61 -0.61 0.00 0.00 0.41 26.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.15 -0.15 0.03 0.02 1.21 18.0 4 3 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 0.02 0.0 0.35 -0.35 0.00 0.04 0.45 8.0 0 1 caleb_strategy_v3 OAT False False 0.05 0.05 0.02 0.0 0.49 -0.49 0.05 0.05 0.39 10.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.16 5.0 1 1 caleb_strategy_v3 SP400 False False 0.11 0.22 0.02 0.0 0.22 -0.22 0.22 0.22 0.15 2.0 2 2 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.64 3.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.64 -0.64 0.00 0.00 0.84 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.02 0.03 0.0 0.46 -0.46 0.02 0.00 1.40 19.0 1 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.00 1.29 5.0 1 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.56 9.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.51 -0.51 0.00 0.00 5.20 66.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.02 0.05 0.0 0.34 -0.34 0.02 0.01 4.95 36.0 2 1 caleb_strategy_v3 BTP False False 0.05 0.05 0.05 0.0 0.47 -0.47 0.05 0.00 1.02 10.0 1 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.06 0.0 0.53 -0.53 0.02 0.02 6.38 56.0 2 2 caleb_strategy_v3 COPPER False False 0.04 0.12 0.06 0.0 999.00 -999.00 0.12 0.08 1.54 999999999.0 3 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.07 0.0 0.44 -0.44 0.00 0.00 9.25 58.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.10 0.0 0.15 -0.15 0.07 0.07 9.16 13.0 6 6 caleb_strategy_v3 LIVECOW False False 0.03 0.11 0.10 0.0 0.46 -0.46 0.11 0.08 3.85 17.0 4 3 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.31 0.22 0.0 0.56 -0.56 0.31 0.31 6.42 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.52 0.0 0.96 -0.96 0.00 0.00 5.42 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.0 Shocked risk 17.7 Sum abs risk 28.9 Leverage 2.51 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2786781.26, 'annual_cash_vol_target': 696695.315, 'daily_cash_vol_target': 43543.4571875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6719 0.6258 10.0127 BITCOIN 1528.8340 61415.0000 2.4893 39.8296 BOBL 0.2629 118.9300 0.2210 3.5365 BTP 0.4984 120.3500 0.4142 6.6266 BUND 0.4950 133.2400 0.3715 5.9445 BUXL 1.2122 133.5200 0.9079 14.5266 CAC 70.1255 7577.0000 0.9255 14.8081 CAD 0.0027 0.7308 0.3713 5.9405 CANOLA 8.8410 627.0000 1.4100 22.5607 CHF 0.0055 1.1704 0.4722 7.5549 COCOA 162.1673 6544.0000 2.4781 39.6497 COFFEE 5.0189 247.8500 2.0250 32.3995 COPPER 0.0623 4.4065 1.4134 22.6144 CORN 4.2231 453.0000 0.9322 14.9160 COTTON2 1.0170 72.2900 1.4068 22.5084 CRUDE_W 1.2606 69.2800 1.8196 29.1139 DAX 147.3336 19405.0000 0.7593 12.1481 DOW 250.7244 42731.0000 0.5868 9.3880 DX 0.3754 102.6750 0.3656 5.8500 EUR 0.0045 1.0969 0.4123 6.5964 EURIBOR-ICE 0.0485 97.8200 0.0495 0.7927 EUROSTX 45.3244 5012.0000 0.9043 14.4691 FEEDCOW 1.6610 245.9250 0.6754 10.8064 GASOIL 11.6266 687.7500 1.6905 27.0484 GASOLINE 0.0402 2.0286 1.9804 31.6863 GAS_US_mini 0.0857 3.1000 2.7634 44.2149 GBP 0.0067 1.3066 0.5105 8.1682 GOLD_micro 17.4050 2624.5000 0.6632 10.6108 HEATOIL 0.0422 2.2966 1.8355 29.3676 JGB-SGX-mini 0.2453 144.0600 0.1703 2.7247 JPY 0.0001 0.0068 0.8233 13.1726 LEANHOG 1.0075 79.4500 1.2681 20.2895 LIVECOW 1.1206 187.3250 0.5982 9.5718 LUMBER-new 8.3761 558.0000 1.5011 24.0175 MILK 0.2669 20.6800 1.2908 20.6535 MXP 0.0004 0.0508 0.8422 13.4755 NASDAQ_micro 178.8968 20433.2500 0.8755 14.0083 NIKKEI 643.4765 39665.0000 1.6223 25.9564 NZD 0.0045 0.6058 0.7443 11.9092 OAT 0.4711 125.5900 0.3751 6.0021 OATIES 5.6468 380.7500 1.4831 23.7294 OJ 7.8543 466.7000 1.6829 26.9271 PALLAD 24.5038 1041.0000 2.3539 37.6620 PLAT 15.7016 960.8000 1.6342 26.1475 REDWHEAT 9.7141 625.0000 1.5542 24.8680 RICE 0.1361 15.3100 0.8887 14.2193 ROBUSTA 94.5954 4720.0000 2.0041 32.0662 RUSSELL 22.2728 2215.9000 1.0051 16.0822 SHATZ 0.0955 106.7050 0.0895 1.4326 SILVER-mini 0.5122 30.7750 1.6645 26.6314 SMI 81.7910 12168.0000 0.6722 10.7549 SOFR 0.0592 96.6000 0.0613 0.9804 SOYBEAN 10.7899 1070.2500 1.0082 16.1307 SOYMEAL 4.9065 321.4000 1.5266 24.4255 SOYOIL 0.7503 43.3000 1.7329 27.7262 SP400 23.8604 3135.1000 0.7611 12.1772 SP500_micro 37.1017 5830.5000 0.6363 10.1814 SUGAR11 0.3446 20.5300 1.6785 26.8561 US10 0.3886 112.2188 0.3463 5.5409 US10U 0.5070 115.8438 0.4377 7.0028 US2 0.1262 103.3555 0.1221 1.9530 US20 0.7312 120.8125 0.6053 9.6844 US30 1.0902 128.7188 0.8470 13.5518 US5 0.2707 108.3672 0.2498 3.9975 VIX 0.6797 18.9500 3.5866 57.3860 WHEAT 8.7741 664.2500 1.3209 21.1344 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.90 0.63 420.47 1.00 420.47 43543.46 103.56 5.22 54.07 BITCOIN 61.42 2.49 152.88 1.00 152.88 43543.46 284.81 -7.82 -222.62 BOBL 1189.30 0.22 262.87 1.10 288.74 43543.46 150.80 -1.08 -16.35 BTP 1203.50 0.41 498.45 1.10 547.49 43543.46 79.53 3.75 29.79 BUND 1332.40 0.37 495.03 1.10 543.74 43543.46 80.08 -2.79 -22.34 BUXL 1335.20 0.91 1212.24 1.10 1331.53 43543.46 32.70 -3.52 -11.51 CAC 757.70 0.93 701.26 1.10 770.26 43543.46 56.53 -2.57 -14.51 CAD 730.80 0.37 271.33 1.00 271.33 43543.46 160.48 -4.91 -78.87 CANOLA 125.40 1.41 176.82 0.73 129.74 43543.46 335.63 -7.42 -249.03 CHF 1462.94 0.47 690.77 1.00 690.77 43543.46 63.04 -6.03 -38.02 COCOA 654.40 2.48 1621.67 1.00 1621.67 43543.46 26.85 7.20 19.33 COFFEE 929.44 2.02 1882.08 1.00 1882.08 43543.46 23.14 -1.08 -2.50 COPPER 1101.63 1.41 1557.04 1.00 1557.04 43543.46 27.97 5.08 14.22 CORN 226.50 0.93 211.15 1.00 211.15 43543.46 206.22 -12.92 -266.50 COTTON2 361.45 1.41 508.48 1.00 508.48 43543.46 85.63 -9.58 -82.08 CRUDE_W 692.80 1.82 1260.63 1.00 1260.63 43543.46 34.54 3.46 11.96 DAX 194.05 0.76 147.33 1.10 161.83 43543.46 269.07 10.08 271.20 DOW 213.66 0.59 125.36 1.00 125.36 43543.46 347.34 6.45 223.97 DX 1026.75 0.37 375.40 1.00 375.40 43543.46 115.99 -2.54 -29.51 EUR 1371.12 0.41 565.28 1.00 565.28 43543.46 77.03 -2.12 -16.33 EURIBOR-ICE 2445.50 0.05 121.16 1.10 133.08 43543.46 327.19 4.86 158.96 EUROSTX 501.20 0.90 453.24 1.10 497.84 43543.46 87.46 1.48 12.98 FEEDCOW 1229.62 0.68 830.49 1.00 830.49 43543.46 52.43 2.57 13.48 GASOIL 687.75 1.69 1162.66 1.00 1162.66 43543.46 37.45 -3.95 -14.78 GASOLINE 852.01 1.98 1687.32 1.00 1687.32 43543.46 25.81 4.41 11.38 GAS_US_mini 77.50 2.76 214.17 1.00 214.17 43543.46 203.32 -7.63 -155.10 GBP 816.62 0.51 416.90 1.00 416.90 43543.46 104.45 3.12 32.56 GOLD_micro 262.45 0.66 174.05 1.00 174.05 43543.46 250.18 7.48 187.08 HEATOIL 964.57 1.84 1770.45 1.00 1770.45 43543.46 24.59 -8.50 -20.92 JGB-SGX-mini 144060.00 0.17 24532.48 0.01 165.66 43543.46 262.84 2.25 59.25 JPY 844.56 0.82 695.32 1.00 695.32 43543.46 62.62 -5.50 -34.44 LEANHOG 317.80 1.27 403.00 1.00 403.00 43543.46 108.05 13.95 150.76 LIVECOW 749.30 0.60 448.26 1.00 448.26 43543.46 97.14 11.96 116.14 LUMBER-new 153.45 1.50 230.34 1.00 230.34 43543.46 189.04 -2.31 -43.59 MILK 413.60 1.29 533.89 1.00 533.89 43543.46 81.56 6.62 54.00 MXP 253.90 0.84 213.84 1.00 213.84 43543.46 203.63 -0.89 -18.02 NASDAQ_micro 408.66 0.88 357.79 1.00 357.79 43543.46 121.70 -1.57 -19.07 NIKKEI 39665.00 1.62 64347.65 0.01 434.53 43543.46 100.21 4.56 45.68 NZD 605.75 0.74 450.88 1.00 450.88 43543.46 96.58 0.40 3.90 OAT 1255.90 0.38 471.13 1.10 517.49 43543.46 84.14 1.37 11.50 OATIES 190.38 1.48 282.34 1.00 282.34 43543.46 154.22 5.78 89.10 OJ 700.05 1.68 1178.14 1.00 1178.14 43543.46 36.96 8.03 29.68 PALLAD 1041.00 2.35 2450.38 1.00 2450.38 43543.46 17.77 1.35 2.40 PLAT 480.40 1.63 785.08 1.00 785.08 43543.46 55.46 -2.32 -12.86 REDWHEAT 312.50 1.55 485.70 1.00 485.70 43543.46 89.65 -9.83 -88.13 RICE 306.20 0.89 272.12 1.00 272.12 43543.46 160.01 -5.78 -92.48 ROBUSTA 472.00 2.00 945.95 1.00 945.95 43543.46 46.03 5.38 24.76 RUSSELL 110.80 1.01 111.36 1.00 111.36 43543.46 391.00 1.37 53.61 SHATZ 1067.05 0.09 95.54 1.10 104.94 43543.46 414.92 -4.72 -195.66 SILVER-mini 769.38 1.66 1280.60 1.00 1280.60 43543.46 34.00 4.77 16.22 SMI 1216.80 0.67 817.91 1.17 957.81 43543.46 45.46 3.62 16.44 SOFR 2415.00 0.06 147.98 1.00 147.98 43543.46 294.25 -0.47 -13.69 SOYBEAN 535.12 1.01 539.50 1.00 539.50 43543.46 80.71 -11.44 -92.31 SOYMEAL 321.40 1.53 490.65 1.00 490.65 43543.46 88.75 -11.29 -100.23 SOYOIL 259.80 1.73 450.20 1.00 450.20 43543.46 96.72 -3.37 -32.57 SP400 3135.10 0.76 2386.04 1.00 2386.04 43543.46 18.25 2.41 4.40 SP500_micro 291.53 0.64 185.51 1.00 185.51 43543.46 234.72 2.59 60.72 SUGAR11 229.94 1.68 385.95 1.00 385.95 43543.46 112.82 5.03 56.74 US10 1122.19 0.35 388.62 1.00 388.62 43543.46 112.05 -2.22 -24.86 US10U 1158.44 0.44 507.02 1.00 507.02 43543.46 85.88 -1.56 -13.36 US2 2067.11 0.12 252.31 1.00 252.31 43543.46 172.58 -4.95 -85.42 US20 1208.12 0.61 731.25 1.00 731.25 43543.46 59.55 -0.50 -2.95 US30 1287.19 0.85 1090.23 1.00 1090.23 43543.46 39.94 -2.26 -9.04 US5 1083.67 0.25 270.75 1.00 270.75 43543.46 160.83 -2.76 -44.45 VIX 189.50 3.59 679.67 1.00 679.67 43543.46 64.07 -3.78 -24.23 WHEAT 332.12 1.32 438.70 1.00 438.70 43543.46 99.25 -7.52 -74.65 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 54.071 0.010 2.5 1.403 BITCOIN -222.621 0.043 2.5 -24.107 BOBL -16.346 0.004 2.5 -0.166 BTP 29.794 0.014 2.5 1.016 BUND -22.341 0.004 2.5 -0.227 BUXL -11.512 0.004 2.5 -0.117 CAC -14.511 0.014 2.5 -0.495 CAD -78.867 0.010 2.5 -2.046 CANOLA -249.029 0.010 2.5 -6.058 CHF -38.018 0.010 2.5 -0.986 COCOA 19.331 0.009 2.5 0.414 COFFEE -2.505 0.005 2.5 -0.029 COPPER 14.218 0.043 2.5 1.540 CORN -266.497 0.010 2.5 -6.483 COTTON2 -82.077 0.009 2.5 -1.758 CRUDE_W 11.959 0.043 2.5 1.295 DAX 271.201 0.014 2.5 9.250 DOW 223.965 0.009 2.5 5.205 DX -29.508 0.010 2.5 -0.766 EUR -16.327 0.010 2.5 -0.424 EURIBOR-ICE 158.958 0.014 2.5 5.422 EUROSTX 12.984 0.014 2.5 0.443 FEEDCOW 13.485 0.013 2.5 0.447 GASOIL -14.782 0.017 2.5 -0.641 GASOLINE 11.384 0.017 2.5 0.493 GAS_US_mini -155.096 0.043 2.5 -16.795 GBP 32.560 0.010 2.5 0.845 GOLD_micro 187.077 0.014 2.5 6.381 HEATOIL -20.916 0.017 2.5 -0.907 JGB-SGX-mini 59.250 0.043 2.5 6.416 JPY -34.443 0.010 2.5 -0.894 LEANHOG 150.759 0.024 2.5 9.162 LIVECOW 116.138 0.013 2.5 3.848 LUMBER-new -43.590 0.009 2.5 -0.933 MILK 54.002 0.009 2.5 1.157 MXP -18.024 0.059 2.5 -2.645 NASDAQ_micro -19.071 0.009 2.5 -0.443 NIKKEI 45.677 0.043 2.5 4.946 NZD 3.903 0.010 2.5 0.101 OAT 11.496 0.014 2.5 0.392 OATIES 89.099 0.010 2.5 2.168 OJ 29.681 0.009 2.5 0.636 PALLAD 2.397 0.014 2.5 0.082 PLAT -12.861 0.014 2.5 -0.439 REDWHEAT -88.126 0.005 2.5 -1.169 RICE -92.480 0.010 2.5 -2.250 ROBUSTA 24.760 0.005 2.5 0.289 RUSSELL 53.609 0.013 2.5 1.776 SHATZ -195.656 0.004 2.5 -1.984 SILVER-mini 16.221 0.014 2.5 0.553 SMI 16.441 0.014 2.5 0.561 SOFR -13.695 0.024 2.5 -0.832 SOYBEAN -92.313 0.004 2.5 -0.859 SOYMEAL -100.230 0.004 2.5 -0.932 SOYOIL -32.565 0.004 2.5 -0.303 SP400 4.398 0.013 2.5 0.146 SP500_micro 60.722 0.009 2.5 1.411 SUGAR11 56.738 0.009 2.5 1.207 US10 -24.858 0.005 2.5 -0.315 US10U -13.355 0.005 2.5 -0.169 US2 -85.417 0.005 2.5 -1.082 US20 -2.955 0.005 2.5 -0.037 US30 -9.044 0.005 2.5 -0.115 US5 -44.447 0.005 2.5 -0.563 VIX -24.230 0.099 2.5 -5.981 WHEAT -74.649 0.005 2.5 -0.990 ===================== Position diags ===================== AUD 2.69 BITCOIN 30.84 BOBL 1.53 BTP 2.71 BUND 0.81 BUXL 0.33 CAC 1.93 CAD 4.16 CANOLA 8.17 CHF 1.64 COCOA 0.58 COFFEE 0.27 COPPER 3.03 CORN 5.02 COTTON2 1.83 CRUDE_W 3.74 DAX 9.18 DOW 8.07 DX 3.01 EUR 2.00 EURIBOR-ICE 11.16 EUROSTX 2.98 FEEDCOW 1.74 GASOIL 1.62 GASOLINE 1.12 GAS_US_mini 22.02 GBP 2.71 GOLD_micro 8.53 HEATOIL 1.07 JGB-SGX-mini 28.46 JPY 1.62 LEANHOG 6.57 LIVECOW 3.22 LUMBER-new 4.05 MILK 1.75 MXP 29.89 NASDAQ_micro 2.83 NIKKEI 10.85 NZD 2.51 OAT 2.87 OATIES 3.75 OJ 0.79 PALLAD 0.61 PLAT 1.89 REDWHEAT 1.19 RICE 3.89 ROBUSTA 0.54 RUSSELL 12.96 SHATZ 4.21 SILVER-mini 1.16 SMI 1.55 SOFR 17.88 SOYBEAN 0.75 SOYMEAL 0.83 SOYOIL 0.90 SP400 0.60 SP500_micro 5.45 SUGAR11 2.40 US10 1.42 US10U 1.09 US2 2.19 US20 0.75 US30 0.51 US5 2.04 VIX 15.81 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.4 1.1 1.7 1.0 1 BITCOIN -24.1 -27.2 -21.0 0.0 0 BOBL -0.2 -0.3 -0.0 1.0 1 BTP 1.0 0.7 1.3 1.0 1 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.5 -0.7 -0.3 0.0 0 CAD -2.0 -2.5 -1.6 0.0 0 CANOLA -6.1 -6.9 -5.2 -2.0 -2 CHF -1.0 -1.1 -0.8 0.0 0 COCOA 0.4 0.4 0.5 0.0 0 COFFEE -0.0 -0.1 -0.0 0.0 0 COPPER 1.5 1.2 1.8 3.0 3 CORN -6.5 -7.0 -6.0 -5.0 -5 COTTON2 -1.8 -1.9 -1.6 -4.0 -4 CRUDE_W 1.3 0.9 1.7 1.0 1 DAX 9.3 8.3 10.2 0.0 0 DOW 5.2 4.4 6.0 0.0 0 DX -0.8 -1.1 -0.5 0.0 0 EUR -0.4 -0.6 -0.2 0.0 0 EURIBOR-ICE 5.4 4.3 6.5 0.0 0 EUROSTX 0.4 0.1 0.7 0.0 0 FEEDCOW 0.4 0.3 0.6 0.0 0 GASOIL -0.6 -0.8 -0.5 0.0 0 GASOLINE 0.5 0.4 0.6 0.0 0 GAS_US_mini -16.8 -19.0 -14.6 -6.0 -6 GBP 0.8 0.6 1.1 0.0 0 GOLD_micro 6.4 5.5 7.2 2.0 2 HEATOIL -0.9 -1.0 -0.8 -1.0 -1 JGB-SGX-mini 6.4 3.6 9.3 9.0 9 JPY -0.9 -1.1 -0.7 -2.0 -2 LEANHOG 9.2 8.5 9.8 6.0 6 LIVECOW 3.8 3.5 4.2 4.0 4 LUMBER-new -0.9 -1.3 -0.5 -2.0 -2 MILK 1.2 1.0 1.3 1.0 1 MXP -2.6 -5.6 0.3 -7.0 -7 NASDAQ_micro -0.4 -0.7 -0.2 -2.0 -2 NIKKEI 4.9 3.9 6.0 2.0 2 NZD 0.1 -0.1 0.4 2.0 2 OAT 0.4 0.1 0.7 1.0 1 OATIES 2.2 1.8 2.5 NaN 0 OJ 0.6 0.6 0.7 1.0 1 PALLAD 0.1 0.0 0.1 0.0 0 PLAT -0.4 -0.6 -0.2 0.0 0 REDWHEAT -1.2 -1.3 -1.1 0.0 0 RICE -2.2 -2.6 -1.9 NaN 0 ROBUSTA 0.3 0.2 0.3 1.0 1 RUSSELL 1.8 0.5 3.1 0.0 0 SHATZ -2.0 -2.4 -1.6 NaN 0 SILVER-mini 0.6 0.4 0.7 0.0 0 SMI 0.6 0.4 0.7 0.0 0 SOFR -0.8 -2.6 1.0 NaN 0 SOYBEAN -0.9 -0.9 -0.8 -3.0 -3 SOYMEAL -0.9 -1.0 -0.8 -1.0 -1 SOYOIL -0.3 -0.4 -0.2 0.0 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 1.4 0.9 2.0 0.0 0 SUGAR11 1.2 1.0 1.4 4.0 4 US10 -0.3 -0.5 -0.2 0.0 0 US10U -0.2 -0.3 -0.1 0.0 0 US2 -1.1 -1.3 -0.9 NaN 0 US20 -0.0 -0.1 0.0 0.0 0 US30 -0.1 -0.2 -0.1 1.0 1 US5 -0.6 -0.8 -0.4 1.0 1 VIX -6.0 -7.6 -4.4 -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 0.1 0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.1 0.1 0.1 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.1 0.3 0.2 0.0 0.4 -0.2 0.6 -0.0 BITCOIN 0.3 -0.0 -0.5 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.0 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 0.2 -0.3 -0.6 -0.4 0.0 -0.1 -0.1 0.1 BOBL -0.4 0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.3 -0.2 0.0 -0.1 0.1 0.1 -0.1 0.0 -0.0 0.5 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.4 0.1 0.2 0.1 0.0 -0.7 -0.6 -0.1 -0.1 BTP -0.1 0.2 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.1 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 -0.1 0.4 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.2 0.0 0.7 0.5 0.6 0.5 -0.0 -0.7 -0.4 0.0 0.3 BUND -0.3 0.0 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 -0.4 -0.1 -0.3 -0.2 0.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.3 0.3 0.0 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.4 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.5 0.3 -0.1 -0.4 -0.7 -0.7 -0.2 -0.2 CAC 0.4 0.3 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 -0.2 -0.0 0.0 0.0 -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 -0.1 -0.1 -0.1 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.2 0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.1 -0.2 -0.4 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.1 -0.2 0.0 -0.2 0.1 -0.1 -0.0 -0.0 -0.2 -0.3 -0.4 -0.1 -0.1 0.3 -0.3 0.1 -0.1 CANOLA 0.6 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -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 -1.9 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.0 0.0 0.2 0.0 -0.2 -0.4 0.1 -0.2 CHF -0.6 0.1 0.6 0.0 -0.1 0.1 -0.1 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 -0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.0 -0.5 -0.3 0.5 -0.2 -0.4 -0.5 -0.4 COCOA 0.0 -0.0 0.2 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 -0.0 -0.1 0.1 0.2 0.7 0.5 0.7 0.6 COFFEE -0.2 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.4 -0.1 0.5 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.4 0.0 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.3 -0.5 -0.3 0.4 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 -0.1 -0.0 0.0 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 0.1 0.1 -1.9 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.2 0.5 0.4 0.0 0.7 0.3 0.7 0.7 CORN 0.4 0.4 -0.5 0.0 0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.4 0.1 -0.7 0.2 -0.1 -0.2 -0.3 -0.3 -0.3 -0.0 -0.2 0.1 -0.5 0.1 -1.7 -0.0 -0.0 -0.3 0.0 -0.5 0.0 -1.1 0.1 -0.3 -0.0 -0.6 0.1 -0.1 0.2 0.0 COTTON2 0.4 0.6 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.4 0.1 -0.5 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.0 -0.4 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.8 -0.2 0.1 0.3 0.3 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.6 -0.2 -0.6 -0.0 0.0 -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 0.0 -0.1 0.1 -0.1 0.0 0.6 -0.3 -0.1 0.2 0.1 -0.0 0.4 0.0 0.5 DAX 0.4 0.4 -0.2 0.0 0.0 0.1 0.0 0.3 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 0.1 1.3 0.0 0.0 0.1 0.0 0.2 0.1 -0.3 0.3 0.3 0.4 -0.2 0.5 0.2 0.1 0.0 DOW 0.3 0.4 0.2 0.0 0.0 0.1 0.0 0.3 0.0 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 -1.8 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 0.1 0.3 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 -0.1 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.3 0.2 0.1 0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 0.2 -0.1 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.7 0.5 0.5 -0.6 -0.6 -0.0 0.2 -0.1 0.3 EUR -0.4 -0.0 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.3 -0.2 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 2.7 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.5 -0.3 -0.4 -0.4 0.2 -0.0 -0.7 -0.3 -0.7 EURIBOR-ICE -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 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.0 1.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.3 0.1 0.2 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 0.1 0.2 0.1 -0.3 0.0 0.0 0.0 0.0 0.2 0.0 0.2 0.2 0.2 0.0 -0.5 0.2 0.0 -0.7 -0.2 FEEDCOW 0.6 0.2 -0.6 0.0 0.0 -0.1 0.0 -0.2 0.1 0.1 -0.3 0.2 -0.5 0.2 -0.0 0.4 -0.2 0.4 0.1 0.0 -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 0.1 -0.6 0.3 0.7 0.6 0.7 GASOIL 0.6 -0.3 -0.6 -0.0 0.0 -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 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.3 -0.2 -0.2 -0.4 -0.1 -0.6 GASOLINE 0.6 -0.1 -0.5 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.1 0.0 0.0 -0.1 0.2 0.4 0.4 0.4 -0.0 -0.1 0.1 -0.0 0.1 -2.7 0.0 0.0 -0.0 0.1 -0.0 0.1 1.1 -0.1 0.1 0.3 0.3 0.2 0.5 0.4 0.7 GAS_US_mini 0.5 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.2 -0.5 0.0 -0.7 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 -0.0 -0.5 0.1 2.7 0.0 -0.1 -0.1 -0.0 -0.3 0.0 -1.1 -0.5 -0.5 0.4 0.0 -0.2 -0.7 -0.1 -0.6 GBP -0.2 0.2 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.1 0.5 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 0.2 -0.2 0.3 -0.0 -0.2 0.1 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.2 0.1 0.3 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.3 0.5 0.6 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 0.5 0.1 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.0 0.5 0.2 -1.7 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.7 -0.1 0.5 0.6 0.6 0.6 -0.0 0.4 0.1 HEATOIL 0.6 -0.1 -0.5 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.4 0.1 -0.2 0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.1 -2.7 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.5 0.0 -0.0 0.1 0.0 -0.3 0.1 -0.3 0.1 JGB-SGX-mini -0.1 0.3 0.5 0.0 -0.0 0.1 -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 0.1 0.1 -0.1 0.1 -0.0 -1.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.1 0.3 0.1 -0.1 -0.4 -0.2 -0.4 0.0 JPY -0.6 0.1 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.3 -0.2 -0.3 0.0 0.0 -0.1 -0.0 -0.1 2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.5 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 0.2 0.0 0.0 -0.1 0.0 -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 0.0 0.0 0.1 -0.1 0.1 1.1 0.3 0.3 0.6 0.6 0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.4 0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 0.4 0.2 0.4 0.2 0.1 -0.0 0.2 0.1 0.2 0.2 0.2 0.2 0.3 0.2 -2.5 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.3 0.6 -0.1 0.7 0.3 0.7 LUMBER-new 0.4 0.2 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.2 -0.4 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.3 0.1 NaN 0.0 0.1 -0.1 0.1 -0.2 0.1 -1.2 0.2 -0.1 -0.0 0.5 0.1 -0.0 0.3 0.1 MILK -0.5 0.3 0.6 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 0.0 0.1 0.4 -0.1 0.4 0.3 0.1 0.2 -0.1 0.3 -0.0 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 -0.6 0.4 0.6 0.0 -0.7 0.3 -0.7 MXP 0.3 -0.2 -0.6 0.0 -0.1 0.1 -0.0 0.0 -0.0 0.0 -0.3 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 0.5 0.3 -0.5 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.5 0.1 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.3 0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.1 0.2 0.2 -0.0 0.1 0.1 -0.3 -0.0 NIKKEI 0.5 0.1 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.2 0.1 0.1 0.0 0.0 0.1 0.1 0.0 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.2 0.1 -0.1 -0.4 0.4 0.1 0.4 0.1 NZD -0.2 0.3 0.1 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.1 0.0 0.1 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.2 -0.2 -0.1 0.1 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.5 0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.0 0.5 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.7 0.4 0.1 -0.0 -0.3 -0.5 -0.5 0.1 0.1 OATIES 0.5 0.6 0.3 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.1 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 -0.2 0.2 -2.7 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 0.5 0.2 0.6 0.4 0.6 0.1 0.7 0.4 OJ -0.3 0.1 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.4 -0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.4 0.0 0.8 -0.2 -0.6 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD -0.1 0.5 0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 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 2.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.2 -0.1 0.0 0.3 -0.5 -0.7 -0.7 -0.7 PLAT 0.2 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.0 0.0 0.7 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.1 0.0 -0.3 -0.2 -0.1 -0.0 -0.2 -0.4 0.0 REDWHEAT 0.4 0.6 -0.2 0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.4 0.1 -0.7 0.2 -0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.2 -0.5 0.2 -0.7 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.9 0.5 -0.1 0.2 -0.4 -0.7 -0.7 -0.7 -0.7 RICE -0.0 0.0 -0.3 0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 0.3 -0.1 0.5 0.0 -0.0 -0.2 0.4 0.0 0.4 0.0 0.0 -0.0 0.2 -0.0 -1.8 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.1 -0.6 -0.4 0.2 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 0.1 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.5 -0.2 0.6 0.6 0.4 -0.1 0.7 0.1 RUSSELL 0.2 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.2 0.0 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 0.2 -0.0 0.2 0.0 -0.0 -0.2 -0.0 0.1 0.4 0.0 -0.4 -0.4 -0.7 SHATZ -0.3 0.2 0.6 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.1 0.0 0.0 0.8 0.0 -0.0 0.1 -0.0 0.0 0.0 -1.1 0.0 0.2 0.2 0.2 -0.7 -0.6 -0.3 -0.3 SILVER-mini 0.4 0.3 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 0.0 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.1 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.0 0.3 0.2 0.1 0.2 -0.1 -0.0 0.3 SMI -0.0 -0.3 -0.3 0.0 0.0 0.1 0.0 0.3 0.0 -0.0 0.3 -0.0 0.5 -0.1 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 0.4 -0.0 0.5 -0.1 -0.5 -0.4 0.0 -0.1 0.1 -0.6 -0.2 SOFR -0.6 -0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.3 -0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.1 -0.2 0.3 -0.2 -0.9 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.4 -0.3 -0.6 -0.2 -0.0 0.3 -0.4 0.7 0.4 SOYBEAN 0.5 0.5 -0.5 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.0 -0.4 0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.5 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.3 -0.3 -0.2 -0.0 -0.5 0.1 -0.5 0.3 -0.3 SOYMEAL 0.2 0.6 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 0.0 -2.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.5 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.3 0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 0.1 -2.6 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.2 0.3 0.1 -0.0 -0.3 0.3 -0.1 SP400 0.4 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 -1.7 0.1 0.0 0.2 0.0 0.2 0.0 0.0 -0.0 0.3 0.3 0.4 0.2 -0.2 -0.3 -0.7 SP500_micro 0.4 0.3 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 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 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.5 0.1 0.3 0.5 0.3 0.3 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 -0.1 0.1 0.1 -0.3 0.1 0.1 0.4 0.2 0.3 0.2 0.2 0.1 0.0 -0.0 0.2 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.7 -0.5 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 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.3 -0.3 -0.3 -0.2 -0.1 0.1 -0.7 0.7 0.3 US10U -0.6 -0.0 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.1 -0.2 -0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.4 -0.3 -0.2 0.1 -0.6 0.7 0.6 US2 -0.6 0.1 0.6 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.1 -0.2 0.0 -0.1 1.5 0.0 -0.0 0.1 -0.1 0.0 -0.0 -1.1 -0.4 -0.3 -0.1 0.2 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 -0.5 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.2 -0.1 -0.3 -0.3 -0.2 0.1 -0.4 0.7 0.7 US30 -0.6 -0.0 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.2 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 -0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.1 -0.3 -0.3 -0.4 0.0 -0.3 0.7 0.7 US5 -0.6 -0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.1 -0.1 0.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.6 -0.4 -0.4 -0.2 0.0 0.2 -0.7 0.7 0.0 VIX 0.1 0.2 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.5 0.0 -0.1 0.3 -0.6 -0.2 -0.6 0.1 0.0 0.1 -0.2 0.1 NaN 0.0 0.0 0.1 0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT 0.5 0.6 -0.3 0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.3 0.1 -0.6 0.2 0.0 -0.2 -0.3 -0.3 -0.3 0.1 -0.1 0.1 -0.4 0.2 0.5 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.4 0.1 0.2 -0.4 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 4.2 7.7 4.7 3.0 -9.4 2.8 -6.3 1.8 -0.6 -16.1 11.1 -5.3 3.5 5.7 10.9 0.1 -2.0 -0.7 -1.3 7.8 7.1 -12.5 3.4 1.6 2.2 3.6 -10.3 3.2 -5.3 1.8 0.9 -0.0 2.4 9.3 5.7 1.3 11.8 -6.0 17.7 -0.2 BITCOIN 10.7 -1.1 -14.3 3.3 -7.3 0.2 -1.8 -1.1 3.4 -13.7 -4.3 1.5 8.3 8.5 -1.8 -6.4 -6.8 -6.1 -6.4 -0.9 -1.4 -1.4 8.2 2.3 -20.0 -1.5 -4.2 -0.3 -1.3 8.4 0.5 -2.2 8.0 -9.4 -20.0 -11.4 0.2 -2.6 -1.6 1.9 BOBL -11.0 3.5 19.2 1.2 -6.1 2.4 -5.0 1.4 -1.9 -9.3 5.3 -7.5 -1.1 -0.2 6.9 15.5 -9.5 0.8 -6.4 4.8 5.5 -10.2 1.3 -1.6 4.0 2.2 -6.3 2.7 -4.1 1.3 -0.5 -8.3 4.8 6.6 2.1 0.5 -20.0 -18.4 -3.9 -4.1 BTP -4.0 5.4 12.3 2.2 -11.3 4.4 -9.3 2.7 -3.6 -17.0 16.4 -10.8 17.2 8.1 16.5 7.1 4.6 5.2 4.2 14.4 15.3 -6.2 13.6 6.5 -20.0 6.2 -5.9 6.4 -2.3 5.7 3.0 13.7 20.0 20.0 16.4 -0.6 -20.0 -12.8 1.1 8.7 BUND -10.7 1.1 14.8 1.4 -7.2 2.8 -6.0 1.7 -2.3 -11.3 6.7 -9.5 1.6 -1.0 8.0 -20.0 -3.8 -12.6 -7.6 4.3 5.8 -10.5 2.2 -2.2 1.2 2.4 -7.7 3.4 -5.1 2.2 -0.9 -2.9 11.8 8.8 0.5 -3.4 -20.0 -17.6 -3.7 -2.7 BUXL -11.3 -1.7 10.2 1.6 -8.4 3.3 -6.9 2.0 -2.7 -13.2 5.4 -11.6 1.1 -4.3 7.1 0.0 -1.8 -0.6 -1.4 1.3 3.0 -9.9 -0.2 -4.0 -2.3 1.2 -8.5 2.8 -5.6 2.0 -2.0 3.4 20.0 8.7 -3.6 -10.8 -20.0 -20.0 -6.0 -5.9 CAC 11.3 9.0 -13.3 3.5 1.8 4.7 1.9 6.6 3.1 -7.7 -6.3 -4.3 0.6 1.4 -0.0 -5.8 -3.0 -5.7 -4.3 -1.4 -4.7 -1.4 -1.4 1.0 -6.5 -0.4 -0.5 -2.2 0.0 0.3 1.4 4.4 -2.8 -4.5 -4.3 -20.0 8.9 5.2 -2.9 -0.3 CAD -5.8 7.0 6.8 4.0 -12.8 3.8 -8.5 2.4 -0.8 -20.0 3.5 -19.5 -11.8 -3.2 8.6 -4.3 -3.7 -4.4 -4.2 2.4 2.3 -20.0 -3.2 -7.4 -1.3 2.3 -19.2 2.0 -11.8 -0.8 -3.0 -3.8 -12.8 -13.5 -2.9 -1.6 8.1 -8.0 3.2 -3.9 CANOLA 20.0 9.3 -0.6 0.2 0.7 -1.4 1.6 -1.7 1.7 1.0 -3.1 6.6 -6.6 6.1 -0.7 -13.4 -11.1 -13.0 -12.9 1.1 -3.5 5.8 -6.3 6.2 -14.1 1.2 -0.6 -1.0 1.7 -3.0 2.5 -20.0 -0.6 0.8 5.1 0.7 -4.9 -11.5 3.3 -7.1 CHF -17.0 3.8 20.0 2.5 -8.0 2.4 -5.3 1.5 -0.5 -13.1 8.1 -12.9 -0.4 -0.7 9.0 -13.8 -16.0 -14.7 -15.3 5.5 8.9 -15.4 4.1 -6.0 3.9 2.4 -7.1 4.0 -5.9 2.3 -2.3 -20.0 -0.6 -15.5 -9.2 14.0 -6.1 -11.1 -14.9 -11.7 COCOA 1.0 -0.4 6.1 0.1 0.6 -1.2 1.4 -1.5 1.5 0.6 1.6 -1.5 3.2 0.4 -0.4 20.0 20.0 20.0 20.0 1.5 4.3 1.5 9.6 0.8 -20.0 1.7 3.5 4.2 0.9 9.4 0.9 20.0 -0.3 -4.0 4.0 5.1 20.0 13.7 20.0 19.4 COFFEE -5.8 -0.8 4.5 0.3 1.5 -2.9 3.2 -3.5 3.5 -10.5 13.8 -8.2 14.4 2.6 8.8 2.9 5.6 3.6 4.6 9.3 14.2 -11.2 15.3 0.1 -20.0 3.6 -6.0 5.8 -5.0 7.2 -0.2 5.2 -20.0 -8.8 11.1 20.0 -5.3 -8.0 5.4 -1.6 COPPER 20.0 13.5 -12.4 1.8 -3.9 0.1 -1.0 -0.6 1.8 -9.6 -1.6 3.8 -0.0 7.3 3.4 -3.2 -3.0 -3.1 -2.8 6.8 2.8 1.1 3.2 9.2 -14.2 2.8 -2.7 1.5 0.8 1.3 3.3 4.3 9.9 15.2 12.1 0.5 20.0 9.3 20.0 20.0 CORN 12.9 13.9 -16.1 0.4 2.0 -3.8 4.3 -4.7 4.7 -1.8 -14.7 11.7 -20.0 17.8 -9.5 -10.7 -15.3 -16.1 -17.2 -2.0 -20.0 5.8 -20.0 8.9 -13.1 -1.8 -1.3 -9.4 2.7 -13.8 3.6 -20.0 4.6 -8.7 -0.6 -20.0 1.9 -4.2 6.2 0.1 COTTON2 12.2 20.0 0.8 0.3 1.4 -2.8 3.1 -3.4 3.4 -12.6 -13.0 6.9 -13.4 11.1 4.1 -12.1 -4.6 -10.8 -8.1 4.0 -6.6 0.7 -13.0 6.7 -20.0 2.4 -3.2 -1.3 0.1 -2.4 3.2 -14.5 -8.5 3.6 10.0 8.8 -13.7 -12.0 -5.5 -6.5 CRUDE_W 17.2 -6.5 -17.4 -1.4 4.3 -3.0 6.5 -1.6 3.2 6.7 -6.9 10.3 1.9 2.3 -6.3 7.6 12.1 10.6 11.7 -4.8 -7.0 11.1 -2.4 4.6 -1.5 -0.8 3.3 -3.4 6.4 -1.8 4.0 10.5 -11.2 -2.7 6.5 3.7 -0.3 11.1 0.7 16.2 DAX 11.5 11.8 -5.8 3.9 2.0 5.1 2.0 7.2 3.4 -2.2 10.9 7.1 14.5 11.6 13.1 -7.8 -10.0 -8.3 -9.1 12.2 9.5 8.2 11.5 13.0 9.5 4.5 3.0 3.9 3.5 5.8 5.1 -6.2 12.0 9.6 11.2 -7.1 14.6 6.2 3.2 1.4 DOW 8.1 13.1 4.8 3.9 2.0 5.1 2.0 7.2 3.4 8.4 15.6 14.7 16.8 16.8 17.2 -9.3 -10.6 -9.5 -10.0 18.3 18.0 8.2 17.9 14.5 -13.5 6.2 2.6 6.3 2.4 6.6 4.6 -7.5 5.0 8.2 18.5 18.9 11.5 3.1 -5.7 -5.7 DX 18.3 -4.3 -20.0 3.1 -9.9 2.9 -6.6 1.8 -0.6 17.1 -10.6 16.7 2.5 5.8 -11.4 5.1 6.6 5.7 6.2 -5.7 -11.0 20.0 -5.2 12.2 -20.0 -2.1 10.5 -4.0 9.7 -1.9 4.1 14.0 20.0 16.2 -20.0 -20.0 -1.0 7.1 -1.9 10.0 EUR -11.5 -0.3 12.2 3.6 -11.3 3.4 -7.5 2.1 -0.7 -19.4 9.6 -19.0 -1.5 -10.2 8.7 -5.9 -7.0 -6.4 -6.7 2.5 7.5 -20.0 4.3 -11.3 20.0 1.7 -12.4 4.4 -11.2 3.3 -5.1 -8.8 -12.5 -13.5 -12.3 7.6 -1.2 -20.0 -7.8 -20.0 EURIBOR-ICE -15.5 4.9 20.0 1.0 -5.3 2.1 -4.4 1.2 -1.7 -8.0 6.4 -6.1 4.9 0.9 7.2 5.1 -1.8 2.7 0.3 7.1 8.4 -9.0 5.6 0.0 11.4 2.4 -4.3 2.8 -2.8 1.9 0.1 4.9 2.3 6.3 7.3 6.2 -17.2 -20.0 3.5 3.7 EUROSTX 12.7 6.0 -13.9 3.6 1.9 4.7 1.9 6.6 3.1 -3.1 4.1 4.9 10.8 7.7 6.4 -3.5 -3.1 -4.1 -4.0 4.2 2.2 5.6 6.8 7.2 -2.3 2.0 2.6 1.5 3.1 5.0 3.8 4.2 7.4 4.6 0.3 -16.6 5.6 1.3 -20.0 -7.1 FEEDCOW 20.0 7.0 -20.0 0.4 2.0 -4.0 4.4 -4.8 4.8 15.7 -11.1 20.0 -13.7 18.7 -4.3 20.0 -9.5 18.2 5.6 1.9 -18.3 20.0 -18.3 20.0 -9.2 0.3 7.7 -4.3 9.8 -3.8 6.9 -8.5 20.0 20.0 3.4 -20.0 8.2 20.0 19.1 20.0 GASOIL 18.1 -8.2 -19.2 -1.4 4.3 -3.1 6.6 -1.7 3.2 8.9 -12.1 12.5 -0.2 -0.6 -10.2 3.1 8.2 2.7 3.7 -8.9 -12.5 13.5 -6.0 3.9 3.8 -3.4 3.3 -4.8 4.9 -2.6 1.3 0.1 -7.2 -4.5 -8.5 -5.6 -4.6 -10.9 -3.6 -17.5 GASOLINE 20.0 -4.1 -16.0 -1.4 4.4 -3.2 6.8 -1.7 3.3 5.0 -8.0 10.0 0.8 4.2 -5.0 8.9 20.0 20.0 20.0 -2.8 -6.1 14.1 -1.5 7.6 -20.0 1.0 4.3 -1.8 8.2 -0.3 5.8 20.0 -4.3 3.6 9.5 9.2 6.0 14.6 12.2 20.0 GAS_US_mini 14.5 9.5 -0.4 -1.9 5.9 -4.2 9.0 -2.3 4.4 -19.6 -16.7 1.1 -20.0 9.2 -13.2 -20.0 -20.0 -20.0 -20.0 0.0 -10.4 -5.0 -20.0 4.6 20.0 1.1 -13.6 -3.6 -3.2 -8.7 2.9 -20.0 -20.0 -16.9 13.5 1.4 -7.4 -20.0 -3.1 -19.1 GBP -5.7 5.9 9.8 3.4 -10.8 3.2 -7.2 2.0 -0.7 -18.2 15.8 -13.5 13.9 4.9 12.3 1.0 -0.4 0.4 -0.0 11.4 14.9 -17.5 12.2 -1.7 -1.9 4.8 -8.1 6.3 -6.4 5.4 -0.3 2.6 -10.0 1.6 10.1 15.5 6.7 -20.0 10.0 -19.6 GOLD_micro 10.8 16.8 17.2 3.1 -6.7 0.2 -1.7 -1.0 3.1 -17.4 20.0 6.0 19.7 14.8 18.7 -13.0 -13.3 -12.7 -12.6 20.0 20.0 -1.2 20.0 20.0 -12.6 6.6 -5.8 6.5 -0.6 6.4 4.6 -13.0 -4.1 15.6 18.1 20.0 18.0 -1.5 12.7 4.1 HEATOIL 20.0 -4.4 -15.6 -1.5 4.6 -3.3 7.0 -1.8 3.4 3.7 -13.3 9.8 -5.9 1.2 -10.3 -5.5 3.8 -5.5 -3.0 -7.1 -12.1 15.4 -7.9 6.3 -20.0 -1.3 4.1 -4.6 8.0 -3.3 4.5 -9.5 0.4 -0.8 3.1 0.1 -8.4 4.2 -9.9 4.1 JGB-SGX-mini -4.6 8.6 16.8 1.0 -5.2 2.0 -4.3 1.2 -1.7 -7.7 5.0 -5.4 2.8 0.7 6.2 8.4 16.0 12.2 14.1 4.8 5.0 -6.7 2.6 -0.4 -9.1 1.8 -4.2 1.7 -2.9 0.4 -0.3 20.0 2.5 9.7 1.7 -2.2 -12.1 -6.4 -13.0 1.1 JPY -20.0 3.5 20.0 1.3 -4.2 1.2 -2.8 0.8 -0.3 -7.0 3.5 -7.3 -2.9 -4.5 3.9 -9.9 -14.4 -11.4 -12.7 1.2 2.9 -11.3 -1.6 -6.1 20.0 0.6 -3.3 1.1 -3.4 -0.6 -1.8 -20.0 -4.0 -14.3 -7.6 7.2 -20.0 -20.0 -20.0 -20.0 LEANHOG 12.7 20.0 5.6 0.4 2.1 -4.1 4.6 -5.1 5.0 12.0 -3.6 19.1 -6.4 20.0 19.9 20.0 20.0 20.0 20.0 18.5 2.6 17.7 -10.6 20.0 4.6 6.0 2.2 1.1 6.9 -2.4 8.2 20.0 12.9 9.6 20.0 20.0 0.3 -5.3 6.4 2.1 LIVECOW 20.0 11.4 1.6 0.5 2.2 -4.3 4.8 -5.3 5.2 16.5 13.6 20.0 11.1 20.0 13.7 -0.4 8.9 5.3 9.1 20.0 14.0 20.0 11.7 20.0 -19.0 5.4 5.2 3.1 9.2 3.8 9.2 12.6 20.0 20.0 10.8 20.0 -1.6 20.0 8.3 20.0 LUMBER-new 11.2 6.2 5.2 0.3 1.3 -2.6 2.9 -3.1 3.2 10.7 -8.5 12.4 -10.1 8.2 7.5 -16.9 -17.9 -17.9 -17.8 2.3 -4.4 7.9 -9.0 6.4 NaN 2.6 6.0 -1.9 5.2 -5.2 4.7 -20.0 7.1 -1.7 -1.1 12.7 2.3 -0.3 7.4 3.1 MILK -16.1 10.0 20.0 0.3 1.2 -2.4 2.7 -2.9 2.9 -10.1 12.0 -10.8 8.5 1.8 7.9 20.0 -3.5 20.0 14.6 10.5 16.3 -12.7 10.6 -2.3 14.0 3.0 -4.4 5.0 -4.3 3.0 -1.0 2.4 -17.7 -20.0 13.1 20.0 0.3 -20.0 8.6 -20.0 MXP 9.8 -5.2 -20.0 2.1 -6.6 1.9 -4.4 1.2 -0.4 3.5 -9.4 3.8 -6.3 -0.3 -7.0 10.3 13.5 10.4 11.4 -6.7 -11.6 3.1 -7.0 0.7 -20.0 -2.6 -0.3 -4.6 1.3 -2.7 0.4 20.0 20.0 10.5 -15.5 -20.0 12.7 13.7 17.1 20.0 NASDAQ_micro 15.2 4.4 -16.3 2.8 1.5 3.7 1.5 5.2 2.4 9.2 4.6 10.8 9.1 11.2 4.0 -7.5 -9.6 -7.8 -8.7 7.0 7.2 9.3 11.8 9.2 -20.0 3.5 4.3 4.0 3.4 6.3 3.7 -5.5 2.8 7.2 7.0 -0.9 3.4 3.7 -9.7 -1.3 NIKKEI 16.7 3.2 -20.0 1.6 0.8 2.1 0.8 2.9 1.4 4.2 1.9 4.9 3.2 4.9 2.3 1.5 8.1 4.3 6.2 1.8 0.6 5.9 2.4 4.6 -5.9 -0.5 1.9 -0.8 1.8 1.0 1.1 20.0 8.2 4.6 -3.7 -10.9 13.0 2.9 12.8 2.7 NZD -4.8 8.7 4.4 2.1 -6.7 2.0 -4.4 1.2 -0.4 -11.2 6.3 -9.1 2.4 1.9 6.8 -0.2 0.0 -0.2 -0.1 3.6 4.1 -14.3 1.9 -3.1 0.3 1.8 -9.1 1.9 -5.8 1.0 -0.9 2.9 -9.0 -2.6 2.5 -2.6 3.9 -6.6 3.1 -1.0 OAT -15.4 2.1 10.7 1.5 -7.6 3.0 -6.3 1.8 -2.4 -11.8 2.6 -10.9 -0.7 -6.2 7.1 7.1 4.3 5.0 4.0 1.6 2.7 -10.9 -0.3 -4.4 3.5 1.2 -7.5 2.1 -5.7 1.1 -2.2 13.3 16.8 4.0 -0.4 -8.5 -14.0 -14.2 3.9 3.1 OATIES 15.7 20.0 8.8 0.4 1.8 -3.4 3.8 -4.2 4.2 -6.4 -1.8 13.4 -13.8 17.8 12.8 3.2 2.6 3.9 3.9 20.0 8.6 14.8 -6.4 20.0 -20.0 5.3 -0.8 2.0 3.3 -0.7 6.0 1.8 20.0 6.5 20.0 13.8 18.1 1.7 20.0 11.4 OJ -10.3 3.2 6.5 0.3 1.5 -2.9 3.2 -3.5 3.5 4.3 13.6 -5.4 15.1 5.6 9.3 11.1 12.1 11.5 10.9 11.6 18.2 0.7 20.0 3.7 -20.0 4.4 1.6 7.4 0.4 11.8 1.4 15.6 -9.1 -20.0 17.2 20.0 13.5 14.4 20.0 20.0 PALLAD -2.3 15.4 11.8 1.4 -3.2 0.1 -0.8 -0.5 1.5 3.0 1.2 -3.0 -5.6 1.8 3.4 -1.9 -2.0 -1.8 -1.9 4.2 1.6 0.9 -4.1 2.7 15.0 2.0 1.3 0.7 0.5 -1.3 1.4 5.9 7.6 -2.9 0.3 8.6 -15.4 -20.0 -20.0 -20.0 PLAT 4.8 4.4 -5.0 2.0 -4.4 0.1 -1.1 -0.7 2.0 -11.6 -4.5 -5.5 -3.6 4.6 -0.4 -4.0 -4.4 -4.4 -4.5 1.3 -0.0 -7.4 -0.5 0.2 5.0 1.1 -8.2 -0.3 -3.8 -0.6 0.6 1.5 0.5 -8.0 -6.6 -1.6 -1.4 -7.1 -11.5 0.4 REDWHEAT 12.5 20.0 -7.6 0.4 1.9 -3.6 4.0 -4.5 4.4 10.2 -13.6 12.3 -18.1 14.7 -1.1 -10.6 -6.8 -10.4 -9.2 3.9 -8.3 16.7 -17.2 14.7 -5.2 1.5 6.1 -3.4 8.1 -6.1 6.6 -17.5 20.0 -1.9 5.2 -13.4 -20.0 -20.0 -20.0 -20.0 RICE -0.4 1.0 -10.0 0.4 1.9 -3.7 4.1 -4.5 4.5 0.5 11.5 -6.3 14.0 1.3 -0.3 -10.8 20.0 1.6 20.0 0.1 2.4 -4.0 8.6 -1.6 -13.8 -0.9 -1.3 1.2 -3.3 3.5 -2.6 20.0 -2.2 -19.6 -10.9 7.5 -20.0 -20.0 -20.0 -20.0 ROBUSTA -19.1 1.8 5.1 0.2 0.9 -1.7 1.9 -2.1 2.1 -7.4 9.4 -5.8 9.8 4.3 7.5 20.0 20.0 20.0 20.0 11.9 16.2 -8.2 17.2 2.5 -20.0 2.9 -2.7 4.6 -2.3 6.1 0.4 20.0 -20.0 -5.6 17.4 20.0 10.7 -2.4 20.0 4.3 RUSSELL 5.2 3.7 7.2 3.2 1.7 4.2 1.7 6.0 2.8 -4.0 6.2 2.5 10.6 5.7 4.9 -5.4 -6.3 -5.5 -5.9 5.8 7.4 -1.0 8.0 2.9 -0.6 4.4 -0.8 5.6 -0.3 5.7 2.1 -0.1 -6.7 -0.7 2.1 13.8 0.8 -13.3 -11.4 -20.0 SHATZ -10.4 7.2 20.0 0.9 -4.8 1.9 -4.0 1.1 -1.5 -7.3 4.6 -5.4 -0.8 0.9 6.2 -20.0 -20.0 -20.0 -20.0 6.0 5.9 -8.1 0.6 0.2 6.2 2.2 -4.3 2.2 -2.6 0.7 0.2 -20.0 0.6 6.0 5.2 5.8 -20.0 -17.8 -10.2 -9.1 SILVER-mini 11.7 8.2 -3.7 2.2 -4.7 0.1 -1.2 -0.7 2.2 -11.1 8.5 3.9 8.0 9.2 8.4 -5.8 -6.4 -6.1 -6.1 8.7 7.8 -3.2 8.3 7.2 2.0 3.3 -5.8 2.4 -1.1 2.5 2.8 -1.5 -2.1 7.9 7.2 3.7 7.2 -2.3 -0.4 10.2 SMI -0.9 -8.3 -7.8 3.8 2.0 5.0 2.0 7.0 3.3 -2.9 9.9 -3.1 14.0 -5.3 3.5 0.4 0.1 -1.0 -1.1 -0.6 6.1 -0.6 12.2 -2.2 11.2 2.1 3.5 7.1 -0.3 10.4 -0.6 9.5 -3.4 -15.0 -13.2 0.9 -1.6 1.5 -17.0 -4.7 SOFR -20.0 -2.4 20.0 1.8 -9.3 3.6 -7.7 2.2 -3.0 -14.5 11.9 -15.3 9.3 -8.7 8.6 2.7 0.0 1.9 0.8 3.8 13.1 -20.0 9.4 -14.3 -6.5 -0.0 -10.7 3.5 -9.9 3.3 -5.6 6.9 -10.6 -17.2 -7.7 -0.7 8.1 -12.5 20.0 11.5 SOYBEAN 15.9 14.1 -16.4 0.3 1.3 -2.5 2.8 -3.1 3.1 -10.2 -9.0 0.0 -11.2 8.6 -4.6 -1.7 1.0 -4.6 -3.6 -2.9 -13.7 -2.7 -17.6 3.1 -20.0 -1.7 -4.6 -5.5 -1.6 -6.4 0.6 -6.4 -12.6 -6.5 -0.2 -16.3 2.5 -13.6 10.4 -8.6 SOYMEAL 7.3 17.0 -0.2 0.2 1.0 -1.9 2.1 -2.3 2.3 -9.6 -5.4 -6.3 -8.4 3.4 -0.2 -1.0 2.9 -1.8 -0.3 1.1 -3.6 -5.7 -6.9 1.1 -18.6 0.4 -5.3 -1.5 -2.2 -2.3 0.8 -1.8 -4.3 -6.2 1.7 -4.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 16.1 -3.1 0.2 0.9 -1.7 1.9 -2.1 2.1 -2.4 -4.9 6.2 -8.4 6.5 -2.3 -0.5 1.2 1.1 0.9 2.4 -3.5 5.0 -7.2 6.9 -19.5 1.5 -0.8 -0.8 1.9 -2.1 2.9 -2.5 -3.2 5.9 8.4 3.3 -1.2 -8.4 9.1 -3.0 SP400 11.8 6.6 2.5 3.7 1.9 4.8 1.9 6.8 3.2 1.5 10.3 11.6 14.1 13.1 10.8 -6.2 -6.0 -6.1 -6.0 9.6 9.3 4.1 11.3 8.6 -12.4 5.5 0.7 5.9 1.5 6.5 4.0 0.1 -1.4 7.9 7.8 11.3 5.6 -5.8 -8.2 -20.0 SP500_micro 12.2 9.1 -15.7 3.7 1.9 4.9 2.0 6.9 3.3 12.4 15.3 15.3 16.6 16.3 15.8 -9.4 -11.6 -10.0 -10.9 15.5 17.3 11.1 20.0 14.3 -20.0 5.7 4.2 6.6 3.5 8.7 4.9 -9.1 3.7 10.1 16.0 9.3 7.8 3.2 -8.9 -3.1 SUGAR11 20.0 20.0 13.4 0.3 1.3 -2.6 2.8 -3.1 3.1 -12.7 2.7 8.6 -7.2 11.4 10.1 20.0 10.2 16.7 10.3 18.5 7.4 3.9 -1.4 18.3 -20.0 3.9 -2.4 1.5 0.8 -0.4 3.8 12.6 -19.4 20.0 20.0 20.0 -15.0 8.9 -12.5 12.2 US10 -20.0 -1.8 20.0 1.4 -7.0 2.8 -5.8 1.7 -2.3 -10.9 8.5 -11.4 4.7 -6.4 6.2 -6.5 -7.3 -6.9 -7.0 2.2 8.2 -20.0 4.2 -11.1 1.9 -0.0 -8.5 2.4 -7.8 2.0 -4.3 -5.9 -11.4 -10.1 -6.5 -1.7 2.9 -20.0 20.0 7.8 US10U -20.0 -0.6 20.0 1.9 -10.0 3.9 -8.2 2.4 -3.2 -15.5 11.5 -16.3 4.8 -9.5 8.4 -4.5 -3.4 -4.4 -4.1 2.8 10.7 -20.0 4.8 -14.9 -1.3 -0.4 -11.9 3.2 -11.0 2.7 -6.3 -0.2 -9.0 -12.0 -9.1 -6.2 3.5 -17.9 20.0 19.4 US2 -20.0 1.8 20.0 1.0 -5.0 1.9 -4.1 1.2 -1.6 -7.6 5.3 -7.7 1.5 -3.2 4.8 -20.0 -20.0 -20.0 -20.0 2.5 6.0 -17.5 1.7 -7.8 11.5 0.6 -5.4 1.9 -5.0 1.1 -2.4 -20.0 -17.6 -7.8 -1.7 5.6 -0.3 -20.0 6.0 -12.8 US20 -20.0 -1.6 18.0 1.5 -7.7 3.0 -6.3 1.8 -2.5 -11.9 8.4 -12.8 5.4 -8.2 5.4 -2.7 -1.2 -1.9 -1.4 1.2 7.8 -20.0 4.2 -11.9 -3.4 -0.6 -8.8 2.4 -8.3 2.4 -5.1 4.3 -2.9 -9.6 -7.8 -7.2 4.5 -11.0 20.0 20.0 US30 -20.0 -1.3 15.2 1.7 -8.8 3.4 -7.2 2.1 -2.8 -13.5 8.4 -14.6 3.2 -10.1 5.0 -4.3 -5.2 -5.2 -5.1 0.2 6.6 -20.0 2.3 -12.8 -2.3 -1.1 -9.5 2.3 -9.2 2.2 -6.0 -2.5 2.3 -8.9 -8.7 -11.6 0.9 -9.8 20.0 20.0 US5 -20.0 -1.7 20.0 1.3 -6.6 2.6 -5.4 1.6 -2.1 -10.2 7.8 -10.6 3.5 -5.7 5.9 -9.2 -10.7 -10.4 -10.6 2.1 7.7 -20.0 3.7 -10.8 5.8 0.2 -7.7 2.3 -7.2 1.8 -3.9 -12.0 -15.9 -11.4 -5.6 1.2 4.9 -20.0 20.0 1.2 VIX 2.4 3.4 20.0 2.0 0.8 1.1 2.1 -1.9 1.8 2.9 -5.8 4.4 -8.5 2.4 -5.0 8.6 -20.0 -5.8 -18.1 3.0 0.7 5.1 -4.9 4.3 NaN 2.2 0.9 1.2 2.4 -2.3 2.1 NaN NaN NaN NaN NaN -14.6 -20.0 NaN NaN WHEAT 14.2 20.0 -9.4 0.4 1.8 -3.6 4.0 -4.4 4.3 6.2 -11.5 10.5 -16.0 15.8 0.5 -11.6 -14.7 -14.0 -14.8 5.9 -7.1 14.0 -16.0 15.4 4.1 2.0 3.9 -2.7 6.4 -5.1 6.3 -20.0 17.7 2.2 6.6 -13.1 -20.0 -19.0 -20.0 -16.2 End of report for caleb_strategy_v3