******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241017_203923 produced at 2024-10-17 21:37:55.473685 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.09 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -3.77 11.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.11 0.0 0.74 -0.74 -0.05 -0.08 -4.22 29.0 -2 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -1.38 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.87 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.07 0.0 999.00 -999.00 -0.03 -0.04 -9.99 999999999.0 -5 -6 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -8.96 12.0 -6 -6 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.07 0.0 0.00 -0.04 -0.04 -0.04 -29.81 26.0 -17 -17 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.07 0.0 0.67 -0.67 -0.05 -0.05 -1.39 14.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 -0.05 -0.07 0.0 0.67 -0.67 -0.05 -0.05 -1.43 13.0 -1 -1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.17 -0.07 0.0 0.54 -0.54 0.17 0.07 -2.06 16.0 5 2 caleb_strategy_v3 MXP False False 0.01 -0.04 -0.07 0.0 0.53 -0.53 -0.04 -0.04 -8.09 60.0 -4 -5 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -0.95 3.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.96 -0.96 -0.04 -0.04 -0.84 25.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.14 -0.14 -0.05 -0.05 -2.72 11.0 -4 -4 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.50 -0.50 -0.06 -0.03 -1.07 17.0 -2 -1 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -3.10 4.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.97 12.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.13 -0.13 -0.05 -0.05 -1.25 7.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.77 4.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.50 9.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -7.15 51.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.44 8.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.67 -0.67 0.00 0.00 -0.56 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.02 0.0 0.53 -0.53 0.00 0.00 -0.44 13.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -0.33 20.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.28 9.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.21 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 -0.01 -0.46 23.0 -1 -1 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.27 -0.27 0.00 -0.05 -0.20 6.0 0 -1 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.51 -0.51 -0.05 -0.05 -0.20 10.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.43 21.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -4.23 59.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.60 3.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.43 10.0 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 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.02 6.0 0 0 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 BOBL False False 0.05 0.00 0.00 0.0 0.87 -0.87 0.00 0.00 0.08 19.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.22 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 0.09 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.15 -0.15 0.02 0.02 0.81 18.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.00 0.01 0.0 0.45 -0.45 0.00 0.00 0.39 19.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 2.07 2.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.36 5.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.01 0.0 0.63 -0.63 0.00 0.00 0.24 22.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.02 0.02 0.0 0.63 -0.63 0.02 0.02 0.68 26.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.08 0.02 0.0 999.00 -999.00 0.08 0.08 0.42 999999999.0 2 2 caleb_strategy_v3 MILK False False 0.02 0.02 0.02 0.0 0.08 -0.08 0.02 0.02 1.42 5.0 1 1 caleb_strategy_v3 DX False False 0.04 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.65 999999999.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.84 3.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 2.54 48.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.09 0.03 0.0 0.34 -0.34 0.09 0.09 0.59 8.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.03 0.0 0.28 -0.28 0.00 0.00 6.64 68.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.23 0.04 0.0 0.23 -0.23 0.23 0.23 0.39 2.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.51 -0.51 0.00 0.00 6.69 66.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.06 0.0 0.33 -0.33 0.04 0.04 6.09 36.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.05 0.06 0.0 0.49 -0.49 0.05 0.10 1.15 10.0 1 2 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.25 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.03 0.09 0.0 0.54 -0.54 0.03 0.04 9.24 56.0 3 4 caleb_strategy_v3 BTP False False 0.05 0.00 0.09 0.0 0.47 -0.47 0.00 0.00 1.89 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.04 0.10 0.0 0.44 -0.44 0.04 0.05 13.61 58.0 5 7 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.10 0.0 0.45 -0.45 0.08 0.08 3.72 17.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.06 0.11 0.0 0.15 -0.15 0.06 0.07 9.48 13.0 5 6 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.82 0.0 0.94 -0.94 0.00 0.00 8.78 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.2 Shocked risk 22.1 Sum abs risk 33.1 Leverage 3.36 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2830767.74, 'annual_cash_vol_target': 707691.935, 'daily_cash_vol_target': 44230.7459375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6699 0.5970 9.5520 BITCOIN 1576.1354 67700.0000 2.3281 37.2499 BOBL 0.2464 119.4200 0.2064 3.3018 BTP 0.4957 121.8500 0.4068 6.5092 BUND 0.4737 133.9300 0.3537 5.6592 BUXL 1.1910 134.4800 0.8856 14.1696 CAC 65.6307 7585.0000 0.8653 13.8443 CAD 0.0026 0.7260 0.3592 5.7468 CANOLA 8.3134 622.1000 1.3363 21.3814 CHF 0.0053 1.1611 0.4539 7.2623 COCOA 151.5990 6887.0000 2.2012 35.2197 COFFEE 4.8922 252.5000 1.9375 31.0001 COPPER 0.0589 4.3285 1.3613 21.7804 CORN 4.3760 437.7500 0.9997 15.9946 COTTON2 0.9722 70.8600 1.3720 21.9516 CRUDE_W 1.2094 67.3900 1.7946 28.7140 DAX 136.2713 19684.0000 0.6923 11.0767 DOW 256.6400 43502.0000 0.5899 9.4392 DX 0.3459 103.6300 0.3337 5.3399 EUR 0.0042 1.0853 0.3882 6.2108 EURIBOR-ICE 0.0455 97.9950 0.0464 0.7427 EUROSTX 45.1495 4962.0000 0.9099 14.5585 FEEDCOW 1.6400 243.1000 0.6746 10.7938 GASOIL 12.6556 662.0000 1.9117 30.5876 GASOLINE 0.0412 1.9901 2.0703 33.1241 GAS_US_mini 0.0848 2.8250 3.0001 48.0012 GBP 0.0063 1.3009 0.4834 7.7346 GOLD_micro 16.4943 2705.0000 0.6098 9.7563 HEATOIL 0.0440 2.2112 1.9890 31.8248 JGB-SGX-mini 0.2372 143.7700 0.1650 2.6393 JPY 0.0001 0.0067 0.7574 12.1182 LEANHOG 1.0309 81.3500 1.2672 20.2753 LIVECOW 1.0647 186.1250 0.5720 9.1523 LUMBER-new 7.6413 552.5000 1.3830 22.1287 MILK 0.2710 21.5000 1.2605 20.1683 MXP 0.0004 0.0497 0.8685 13.8952 NASDAQ_micro 170.4055 20432.0000 0.8340 13.3442 NIKKEI 565.8268 39190.0000 1.4438 23.1009 NZD 0.0041 0.6062 0.6779 10.8467 OAT 0.4660 126.5600 0.3682 5.8913 OATIES 5.5164 383.5000 1.4384 23.0150 OJ 8.1610 482.6000 1.6910 27.0568 PALLAD 24.3391 1045.5000 2.3280 37.2478 PLAT 15.0225 1003.9000 1.4964 23.9427 REDWHEAT 9.4957 610.2500 1.5560 24.8965 RICE 0.1359 15.1500 0.8969 14.3498 ROBUSTA 90.8872 4579.0000 1.9849 31.7579 RUSSELL 21.9687 2296.5000 0.9566 15.3059 SHATZ 0.0875 106.9450 0.0818 1.3087 SILVER-mini 0.4727 32.3500 1.4611 23.3771 SMI 78.8904 12326.0000 0.6400 10.2405 SOFR 0.0571 96.6000 0.0591 0.9451 SOYBEAN 10.2856 1031.7500 0.9969 15.9505 SOYMEAL 4.5159 315.2000 1.4327 22.9235 SOYOIL 0.7328 42.4700 1.7254 27.6057 SP400 23.1025 3220.0000 0.7175 11.4795 SP500_micro 35.9157 5892.7500 0.6095 9.7518 SUGAR11 0.3328 20.4600 1.6264 26.0221 US10 0.3791 112.0781 0.3383 5.4125 US10U 0.5064 115.5469 0.4382 7.0116 US2 0.1159 103.3906 0.1121 1.7936 US20 0.7541 120.0625 0.6281 10.0500 US30 1.1574 127.5312 0.9076 14.5208 US5 0.2563 108.3516 0.2366 3.7849 VIX 0.6152 18.6500 3.2988 52.7812 WHEAT 8.7558 641.0000 1.3660 21.8553 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.90 0.60 399.93 1.00 399.93 44230.75 110.60 1.37 15.19 BITCOIN 67.70 2.33 157.61 1.00 157.61 44230.75 280.63 -1.39 -39.06 BOBL 1194.20 0.21 246.43 1.09 268.16 44230.75 164.94 0.45 7.48 BTP 1218.50 0.41 495.71 1.09 539.41 44230.75 82.00 6.76 55.46 BUND 1339.30 0.35 473.71 1.09 515.47 44230.75 85.81 -2.35 -20.19 BUXL 1344.80 0.89 1190.96 1.09 1295.94 44230.75 34.13 -2.43 -8.30 CAC 758.50 0.87 656.31 1.09 714.16 44230.75 61.93 -4.57 -28.33 CAD 726.00 0.36 260.76 1.00 260.76 44230.75 169.62 -9.58 -162.55 CANOLA 124.42 1.34 166.27 0.73 120.66 44230.75 366.56 -8.01 -293.77 CHF 1451.44 0.45 658.80 1.00 658.80 44230.75 67.14 -8.24 -55.30 COCOA 688.70 2.20 1515.99 1.00 1515.99 44230.75 29.18 10.90 31.79 COFFEE 946.88 1.94 1834.58 1.00 1834.58 44230.75 24.11 -0.58 -1.39 COPPER 1082.12 1.36 1473.07 1.00 1473.07 44230.75 30.03 1.29 3.88 CORN 218.88 1.00 218.80 1.00 218.80 44230.75 202.15 -18.22 -368.24 COTTON2 354.30 1.37 486.09 1.00 486.09 44230.75 90.99 -13.97 -127.15 CRUDE_W 673.90 1.79 1209.40 1.00 1209.40 44230.75 36.57 0.91 3.33 DAX 196.84 0.69 136.27 1.09 148.28 44230.75 298.28 13.38 399.15 DOW 217.51 0.59 128.32 1.00 128.32 44230.75 344.69 8.35 287.87 DX 1036.30 0.33 345.86 1.00 345.86 44230.75 127.89 1.96 25.03 EUR 1356.62 0.39 526.61 1.00 526.61 44230.75 83.99 -6.40 -53.74 EURIBOR-ICE 2449.88 0.05 113.72 1.09 123.74 44230.75 357.45 7.20 257.41 EUROSTX 496.20 0.91 451.49 1.09 491.29 44230.75 90.03 -1.09 -9.81 FEEDCOW 1215.50 0.67 819.99 1.00 819.99 44230.75 53.94 3.32 17.89 GASOIL 662.00 1.91 1265.56 1.00 1265.56 44230.75 34.95 -5.11 -17.85 GASOLINE 835.84 2.07 1730.41 1.00 1730.41 44230.75 25.56 3.23 8.25 GAS_US_mini 70.62 3.00 211.88 1.00 211.88 44230.75 208.75 -13.19 -275.28 GBP 813.06 0.48 393.04 1.00 393.04 44230.75 112.53 0.81 9.06 GOLD_micro 270.50 0.61 164.94 1.00 164.94 44230.75 268.16 10.10 270.88 HEATOIL 928.70 1.99 1847.24 1.00 1847.24 44230.75 23.94 -9.18 -21.98 JGB-SGX-mini 143770.00 0.16 23715.92 0.01 158.82 44230.75 278.50 -0.68 -19.00 JPY 838.25 0.76 634.88 1.00 634.88 44230.75 69.67 -5.95 -41.42 LEANHOG 325.40 1.27 412.35 1.00 412.35 44230.75 107.27 14.54 155.94 LIVECOW 744.50 0.57 425.87 1.00 425.87 44230.75 103.86 10.80 112.21 LUMBER-new 151.94 1.38 210.14 1.00 210.14 44230.75 210.49 -1.34 -28.19 MILK 430.00 1.26 542.02 1.00 542.02 44230.75 81.60 8.15 66.51 MXP 248.70 0.87 215.98 1.00 215.98 44230.75 204.79 -2.69 -55.14 NASDAQ_micro 408.64 0.83 340.81 1.00 340.81 44230.75 129.78 -1.54 -19.92 NIKKEI 39190.00 1.44 56582.68 0.01 378.92 44230.75 116.73 4.82 56.21 NZD 606.15 0.68 410.92 1.00 410.92 44230.75 107.64 -1.54 -16.53 OAT 1265.60 0.37 466.01 1.09 507.08 44230.75 87.23 3.87 33.75 OATIES 191.75 1.44 275.82 1.00 275.82 44230.75 160.36 5.32 85.26 OJ 723.90 1.69 1224.15 1.00 1224.15 44230.75 36.13 10.89 39.35 PALLAD 1045.50 2.33 2433.91 1.00 2433.91 44230.75 18.17 1.48 2.68 PLAT 501.95 1.50 751.13 1.00 751.13 44230.75 58.89 -0.42 -2.49 REDWHEAT 305.12 1.56 474.78 1.00 474.78 44230.75 93.16 -11.63 -108.30 RICE 303.00 0.90 271.75 1.00 271.75 44230.75 162.76 -7.82 -127.35 ROBUSTA 457.90 1.98 908.87 1.00 908.87 44230.75 48.67 3.90 18.97 RUSSELL 114.82 0.96 109.84 1.00 109.84 44230.75 402.67 4.98 200.35 SHATZ 1069.45 0.08 87.48 1.09 95.19 44230.75 464.67 -3.96 -184.16 SILVER-mini 808.75 1.46 1181.64 1.00 1181.64 44230.75 37.43 5.50 20.58 SMI 1232.60 0.64 788.90 1.16 914.42 44230.75 48.37 7.59 36.70 SOFR 2415.00 0.06 142.65 1.00 142.65 44230.75 310.07 -2.00 -61.96 SOYBEAN 515.88 1.00 514.28 1.00 514.28 44230.75 86.01 -15.62 -134.36 SOYMEAL 315.20 1.43 451.59 1.00 451.59 44230.75 97.94 -14.10 -138.14 SOYOIL 254.82 1.73 439.66 1.00 439.66 44230.75 100.60 -4.62 -46.47 SP400 3220.00 0.72 2310.25 1.00 2310.25 44230.75 19.15 6.16 11.80 SP500_micro 294.64 0.61 179.58 1.00 179.58 44230.75 246.30 4.44 109.46 SUGAR11 229.15 1.63 372.69 1.00 372.69 44230.75 118.68 3.22 38.20 US10 1120.78 0.34 379.14 1.00 379.14 44230.75 116.66 -3.76 -43.81 US10U 1155.47 0.44 506.36 1.00 506.36 44230.75 87.35 -4.00 -34.94 US2 2067.81 0.11 231.81 1.00 231.81 44230.75 190.81 -5.70 -108.71 US20 1200.62 0.63 754.14 1.00 754.14 44230.75 58.65 -2.79 -16.37 US30 1275.31 0.91 1157.41 1.00 1157.41 44230.75 38.22 -4.16 -15.90 US5 1083.52 0.24 256.31 1.00 256.31 44230.75 172.57 -3.83 -66.14 VIX 186.50 3.30 615.23 1.00 615.23 44230.75 71.89 -5.63 -40.49 WHEAT 320.50 1.37 437.79 1.00 437.79 44230.75 101.03 -11.19 -113.04 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 15.192 0.010 2.5 0.394 BITCOIN -39.064 0.043 2.5 -4.230 BOBL 7.484 0.004 2.5 0.076 BTP 55.460 0.014 2.5 1.892 BUND -20.187 0.004 2.5 -0.205 BUXL -8.298 0.004 2.5 -0.084 CAC -28.331 0.014 2.5 -0.966 CAD -162.551 0.010 2.5 -4.218 CANOLA -293.766 0.010 2.5 -7.147 CHF -55.302 0.010 2.5 -1.435 COCOA 31.793 0.009 2.5 0.681 COFFEE -1.395 0.005 2.5 -0.016 COPPER 3.878 0.043 2.5 0.420 CORN -368.239 0.010 2.5 -8.959 COTTON2 -127.147 0.009 2.5 -2.723 CRUDE_W 3.328 0.043 2.5 0.360 DAX 399.146 0.014 2.5 13.614 DOW 287.874 0.009 2.5 6.690 DX 25.033 0.010 2.5 0.649 EUR -53.739 0.010 2.5 -1.394 EURIBOR-ICE 257.410 0.014 2.5 8.780 EUROSTX -9.811 0.014 2.5 -0.335 FEEDCOW 17.893 0.013 2.5 0.593 GASOIL -17.853 0.017 2.5 -0.774 GASOLINE 8.251 0.017 2.5 0.358 GAS_US_mini -275.283 0.043 2.5 -29.809 GBP 9.063 0.010 2.5 0.235 GOLD_micro 270.883 0.014 2.5 9.239 HEATOIL -21.984 0.017 2.5 -0.953 JGB-SGX-mini -18.998 0.043 2.5 -2.057 JPY -41.420 0.010 2.5 -1.075 LEANHOG 155.940 0.024 2.5 9.477 LIVECOW 112.210 0.013 2.5 3.718 LUMBER-new -28.187 0.009 2.5 -0.604 MILK 66.508 0.009 2.5 1.424 MXP -55.144 0.059 2.5 -8.094 NASDAQ_micro -19.922 0.009 2.5 -0.463 NIKKEI 56.205 0.043 2.5 6.086 NZD -16.532 0.010 2.5 -0.429 OAT 33.752 0.014 2.5 1.151 OATIES 85.257 0.010 2.5 2.074 OJ 39.352 0.009 2.5 0.843 PALLAD 2.682 0.014 2.5 0.091 PLAT -2.489 0.014 2.5 -0.085 REDWHEAT -108.303 0.005 2.5 -1.437 RICE -127.349 0.010 2.5 -3.098 ROBUSTA 18.969 0.005 2.5 0.222 RUSSELL 200.354 0.013 2.5 6.639 SHATZ -184.155 0.004 2.5 -1.867 SILVER-mini 20.578 0.014 2.5 0.702 SMI 36.699 0.014 2.5 1.252 SOFR -61.955 0.024 2.5 -3.765 SOYBEAN -134.362 0.004 2.5 -1.250 SOYMEAL -138.142 0.004 2.5 -1.285 SOYOIL -46.472 0.004 2.5 -0.433 SP400 11.801 0.013 2.5 0.391 SP500_micro 109.455 0.009 2.5 2.544 SUGAR11 38.201 0.009 2.5 0.812 US10 -43.815 0.005 2.5 -0.555 US10U -34.941 0.005 2.5 -0.443 US2 -108.712 0.005 2.5 -1.378 US20 -16.374 0.005 2.5 -0.207 US30 -15.903 0.005 2.5 -0.202 US5 -66.135 0.005 2.5 -0.838 VIX -40.490 0.099 2.5 -9.995 WHEAT -113.042 0.005 2.5 -1.500 ===================== Position diags ===================== AUD 2.87 BITCOIN 30.39 BOBL 1.67 BTP 2.80 BUND 0.87 BUXL 0.35 CAC 2.11 CAD 4.40 CANOLA 8.92 CHF 1.74 COCOA 0.62 COFFEE 0.28 COPPER 3.25 CORN 4.92 COTTON2 1.95 CRUDE_W 3.96 DAX 10.17 DOW 8.01 DX 3.32 EUR 2.18 EURIBOR-ICE 12.19 EUROSTX 3.07 FEEDCOW 1.79 GASOIL 1.52 GASOLINE 1.11 GAS_US_mini 22.61 GBP 2.92 GOLD_micro 9.15 HEATOIL 1.04 JGB-SGX-mini 30.16 JPY 1.81 LEANHOG 6.52 LIVECOW 3.44 LUMBER-new 4.51 MILK 1.75 MXP 30.06 NASDAQ_micro 3.02 NIKKEI 12.64 NZD 2.79 OAT 2.98 OATIES 3.90 OJ 0.77 PALLAD 0.62 PLAT 2.01 REDWHEAT 1.24 RICE 3.96 ROBUSTA 0.57 RUSSELL 13.34 SHATZ 4.71 SILVER-mini 1.28 SMI 1.65 SOFR 18.84 SOYBEAN 0.80 SOYMEAL 0.91 SOYOIL 0.94 SP400 0.63 SP500_micro 5.72 SUGAR11 2.52 US10 1.48 US10U 1.11 US2 2.42 US20 0.74 US30 0.48 US5 2.19 VIX 17.75 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.1 0.7 0.0 0 BITCOIN -4.2 -7.3 -1.2 0.0 0 BOBL 0.1 -0.1 0.2 0.0 0 BTP 1.9 1.6 2.2 0.0 0 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -1.0 -1.2 -0.8 0.0 0 CAD -4.2 -4.7 -3.8 -2.0 -2 CANOLA -7.1 -8.0 -6.3 -2.0 -2 CHF -1.4 -1.6 -1.3 -1.0 -1 COCOA 0.7 0.6 0.7 1.0 1 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER 0.4 0.1 0.7 2.0 2 CORN -9.0 -9.5 -8.5 -6.0 -6 COTTON2 -2.7 -2.9 -2.5 -4.0 -4 CRUDE_W 0.4 -0.0 0.8 0.0 0 DAX 13.6 12.6 14.6 5.0 5 DOW 6.7 5.9 7.5 0.0 0 DX 0.6 0.3 1.0 0.0 0 EUR -1.4 -1.6 -1.2 -1.0 -1 EURIBOR-ICE 8.8 7.6 10.0 0.0 0 EUROSTX -0.3 -0.6 -0.0 0.0 0 FEEDCOW 0.6 0.4 0.8 2.0 2 GASOIL -0.8 -0.9 -0.6 0.0 0 GASOLINE 0.4 0.2 0.5 0.0 0 GAS_US_mini -29.8 -32.1 -27.5 -17.0 -17 GBP 0.2 -0.1 0.5 0.0 0 GOLD_micro 9.2 8.3 10.2 3.0 3 HEATOIL -1.0 -1.1 -0.8 0.0 0 JGB-SGX-mini -2.1 -5.1 1.0 5.0 5 JPY -1.1 -1.3 -0.9 -2.0 -2 LEANHOG 9.5 8.8 10.1 5.0 5 LIVECOW 3.7 3.4 4.1 3.0 3 LUMBER-new -0.6 -1.1 -0.2 -2.0 -2 MILK 1.4 1.2 1.6 1.0 1 MXP -8.1 -11.1 -5.1 -4.0 -4 NASDAQ_micro -0.5 -0.8 -0.2 -1.0 -1 NIKKEI 6.1 4.8 7.4 4.0 4 NZD -0.4 -0.7 -0.1 0.0 0 OAT 1.2 0.9 1.4 1.0 1 OATIES 2.1 1.7 2.5 NaN 0 OJ 0.8 0.8 0.9 1.0 1 PALLAD 0.1 0.0 0.2 0.0 0 PLAT -0.1 -0.3 0.1 0.0 0 REDWHEAT -1.4 -1.6 -1.3 0.0 0 RICE -3.1 -3.5 -2.7 NaN 0 ROBUSTA 0.2 0.2 0.3 0.0 0 RUSSELL 6.6 5.3 8.0 0.0 0 SHATZ -1.9 -2.3 -1.4 NaN 0 SILVER-mini 0.7 0.6 0.8 0.0 0 SMI 1.3 1.1 1.4 0.0 0 SOFR -3.8 -5.6 -1.9 NaN 0 SOYBEAN -1.2 -1.3 -1.2 -3.0 -3 SOYMEAL -1.3 -1.4 -1.2 -1.0 -1 SOYOIL -0.4 -0.5 -0.3 0.0 0 SP400 0.4 0.3 0.5 2.0 2 SP500_micro 2.5 2.0 3.1 0.0 0 SUGAR11 0.8 0.6 1.1 3.0 3 US10 -0.6 -0.7 -0.4 0.0 0 US10U -0.4 -0.6 -0.3 0.0 0 US2 -1.4 -1.6 -1.1 NaN 0 US20 -0.2 -0.3 -0.1 0.0 0 US30 -0.2 -0.2 -0.2 0.0 0 US5 -0.8 -1.1 -0.6 -1.0 -1 VIX -10.0 -11.8 -8.2 -5.0 -5 WHEAT -1.5 -1.6 -1.4 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.1 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 -0.1 0.3 0.1 -0.0 0.3 -0.2 0.5 -0.0 BITCOIN 0.3 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 -0.1 0.2 0.3 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.2 0.2 -2.7 0.0 0.1 0.0 0.1 0.3 0.1 -0.1 0.5 0.5 -0.5 -0.3 0.1 -0.1 -0.0 0.1 BOBL -0.4 0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 -0.0 -0.0 0.1 0.3 -0.2 0.1 -0.1 0.0 0.1 -0.0 0.0 -0.0 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.3 0.0 0.3 0.2 0.0 -0.7 -0.6 -0.1 -0.1 BTP -0.1 0.2 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.4 0.0 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.1 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.8 0.5 0.6 0.6 0.2 -0.7 -0.4 0.1 0.3 BUND -0.4 -0.0 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.1 -0.0 0.1 -0.4 -0.1 -0.3 -0.2 0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.3 0.1 0.4 0.1 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.3 -0.1 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.0 -0.1 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 0.2 0.5 -0.0 -0.3 -0.7 -0.7 -0.2 -0.2 CAC 0.1 0.2 -0.4 0.0 0.0 0.1 0.0 0.2 0.1 -0.0 -0.2 -0.1 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 -0.4 -0.3 -0.3 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.6 -0.1 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 -0.5 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.5 -0.2 -0.3 -0.2 0.2 -0.3 0.0 -0.1 CANOLA 0.4 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 -0.0 -0.2 0.0 -2.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.2 0.3 0.1 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.2 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.2 -0.0 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 -0.0 0.1 -0.2 0.1 -0.1 0.6 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -1.1 -0.1 -0.3 -0.3 0.4 -0.3 -0.4 -0.6 -0.4 COCOA 0.3 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.3 0.2 0.3 0.7 0.5 0.7 0.7 COFFEE -0.3 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.4 -0.0 0.5 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.4 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 0.3 0.2 -0.4 0.2 0.6 -0.2 -0.2 0.1 -0.0 COPPER 0.2 0.4 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 0.0 -1.8 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 -0.5 0.2 0.2 0.0 0.7 0.3 0.6 0.7 CORN 0.1 0.4 -0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 -0.4 -0.2 -0.7 0.1 -0.1 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 -0.2 -0.5 -0.1 -1.7 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -1.1 -0.5 -0.6 -0.2 -0.6 0.1 -0.1 0.2 0.0 COTTON2 -0.0 0.6 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.5 0.1 0.0 -0.3 -0.1 -0.2 -0.2 0.0 -0.1 -0.1 -0.4 -0.0 -2.7 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.8 -0.2 -0.3 0.1 0.2 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.4 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.0 0.0 -0.1 0.1 0.2 0.2 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.5 -0.1 -0.3 0.2 0.1 -0.1 0.3 -0.0 0.5 DAX 0.4 0.4 -0.1 0.1 0.0 0.2 0.1 0.3 0.1 0.2 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.4 0.2 1.3 0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.2 0.4 0.4 -0.1 0.5 0.2 0.1 0.1 DOW 0.2 0.4 0.3 0.0 0.0 0.1 0.0 0.3 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 -0.4 0.4 0.4 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 0.2 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.2 -0.2 0.2 0.1 0.2 -0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 -0.1 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 0.7 0.5 0.6 0.3 -0.6 0.0 0.3 -0.0 0.4 EUR -0.6 -0.2 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.2 0.2 -0.2 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.5 -0.3 -0.6 -0.6 0.2 -0.1 -0.7 -0.3 -0.7 EURIBOR-ICE -0.4 0.1 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 -0.0 0.2 0.0 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.0 1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.3 0.2 0.4 0.3 0.2 -0.4 -0.6 0.2 0.1 EUROSTX 0.2 0.1 -0.4 0.0 0.0 0.1 0.0 0.2 0.1 -0.1 0.1 -0.0 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 0.2 -0.4 -0.1 -0.1 -0.5 0.2 0.1 -0.7 -0.3 FEEDCOW 0.6 0.5 -0.6 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 -0.2 0.1 -0.5 0.2 -0.0 0.4 -0.2 0.4 0.1 0.1 -0.1 0.1 -0.5 0.2 -1.3 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.3 0.4 0.6 0.6 -0.6 0.3 0.7 0.7 0.7 GASOIL 0.6 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.1 0.0 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.3 -0.2 -0.1 -0.3 -0.0 -0.5 GASOLINE 0.5 0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.0 0.0 0.1 -0.0 0.2 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -2.7 0.0 -0.0 -0.0 0.0 -0.0 0.0 1.1 0.1 -0.0 0.4 0.3 0.1 0.4 0.3 0.7 GAS_US_mini -0.1 0.3 0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.2 2.7 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -1.1 -0.5 -0.6 -0.2 -0.1 -0.3 -0.7 -0.1 -0.6 GBP -0.6 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.4 -0.2 0.5 -0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.1 -0.2 0.3 -0.1 -0.3 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 0.2 0.1 0.2 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.1 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 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 -1.9 0.1 0.1 0.2 0.1 0.3 0.1 -0.7 0.3 0.6 0.6 0.6 0.7 -0.0 0.4 0.2 HEATOIL 0.6 -0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -2.4 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.5 -0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.2 0.2 JGB-SGX-mini -0.6 0.1 0.5 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.1 0.2 0.3 0.2 0.3 0.0 0.0 -0.1 0.1 -0.0 -1.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 0.1 0.0 -0.1 -0.5 -0.2 -0.5 -0.0 JPY -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 -0.0 0.0 -0.1 -0.1 -0.1 2.7 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 0.0 -0.4 -0.2 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.2 0.6 0.3 0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.2 -0.0 0.2 -0.2 0.2 0.2 0.3 0.4 0.4 0.4 0.2 0.1 0.1 -0.2 0.2 0.5 0.1 0.1 0.1 0.1 -0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.0 -0.2 0.2 0.0 LIVECOW 0.6 0.5 0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 0.5 0.1 0.5 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 0.7 0.1 0.6 0.6 0.6 -0.1 0.7 0.2 0.7 LUMBER-new 0.4 0.3 0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.3 0.2 -0.4 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.3 0.1 NaN 0.0 -0.0 -0.0 0.0 -0.2 0.1 -1.2 0.2 0.4 0.0 0.6 0.1 0.0 0.3 0.2 MILK -0.6 0.1 0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.3 -0.0 0.3 0.0 0.1 0.4 -0.1 0.4 0.3 0.1 0.2 0.0 0.3 0.0 1.9 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.2 -0.5 0.2 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.1 0.0 -0.6 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.2 -0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 1.1 0.1 0.1 -0.3 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.3 0.3 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.0 0.1 0.2 -0.1 0.2 0.1 -0.3 -0.1 NIKKEI 0.5 0.2 -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 0.0 0.1 0.1 -0.8 -0.0 -0.0 -0.0 0.0 0.0 0.0 1.1 -0.1 0.2 -0.0 -0.4 0.5 0.1 0.5 0.1 NZD -0.5 0.0 0.1 0.0 -0.0 0.0 -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 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.3 0.0 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 0.5 0.0 0.0 0.0 0.0 0.0 -0.0 0.7 0.3 0.4 0.1 -0.2 -0.4 -0.5 0.2 0.1 OATIES 0.2 0.6 0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.0 0.1 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 -0.1 0.2 -2.7 0.1 0.0 0.1 0.0 -0.0 0.0 0.1 0.0 0.5 0.6 0.6 0.6 0.1 0.7 0.4 OJ -0.2 0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.4 0.0 0.8 0.5 -0.1 0.3 0.6 0.5 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 0.1 -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 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 -0.2 0.0 0.3 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.2 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.0 0.0 0.7 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.2 -0.4 -0.0 REDWHEAT 0.4 0.6 -0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 0.0 -0.6 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.4 0.1 -0.7 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.9 -0.3 0.2 0.3 -0.3 -0.7 -0.7 -0.7 -0.7 RICE -0.2 0.0 -0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 0.3 -0.1 0.5 -0.1 -0.0 -0.2 0.4 -0.0 0.3 -0.0 0.0 -0.1 0.2 -0.0 -2.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 1.1 -0.0 -0.6 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 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 -0.1 -0.5 0.3 0.6 0.4 -0.1 0.7 0.2 RUSSELL 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.3 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 0.4 -0.1 0.3 0.6 0.0 -0.4 -0.4 -0.7 SHATZ -0.4 0.1 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.1 -0.0 0.0 -0.0 0.8 0.0 0.0 0.1 -0.0 0.0 -0.0 -1.1 0.0 0.3 0.3 0.2 -0.7 -0.6 -0.2 -0.3 SILVER-mini 0.1 0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.1 0.1 0.2 0.2 0.3 -0.1 -0.1 0.4 SMI 0.2 -0.3 -0.3 0.1 0.0 0.2 0.1 0.3 0.1 0.1 0.3 0.1 0.6 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.4 0.1 1.6 0.0 0.1 0.2 0.1 0.4 0.0 0.5 0.2 -0.0 -0.5 0.1 -0.1 0.1 -0.7 -0.2 SOFR -0.6 -0.4 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.4 -0.4 -0.5 -0.4 -0.1 0.2 -0.4 0.7 0.4 SOYBEAN -0.1 0.4 -0.4 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.4 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.5 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.3 -0.5 -0.5 -0.1 -0.6 0.1 -0.4 0.3 -0.2 SOYMEAL -0.2 0.4 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.0 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.2 0.0 -2.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 0.2 0.3 0.1 0.0 -0.3 0.3 -0.1 SP400 0.3 0.3 0.2 0.1 0.0 0.1 0.1 0.3 0.1 0.2 0.4 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.4 0.2 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.4 0.2 0.5 0.5 0.2 -0.2 -0.3 -0.7 SP500_micro 0.3 0.4 -0.3 0.1 0.0 0.1 0.1 0.3 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.5 0.3 0.3 0.6 0.3 0.3 0.1 -0.3 -0.1 SUGAR11 0.0 0.6 0.5 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.1 -0.0 -0.0 0.1 -2.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 1.0 -0.3 0.3 0.6 0.6 -0.5 0.3 -0.5 0.4 US10 -0.6 -0.3 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.3 -0.3 -0.5 -0.3 -0.1 0.0 -0.7 0.7 0.3 US10U -0.6 -0.3 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.2 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.4 -0.6 -0.5 -0.3 0.1 -0.6 0.7 0.6 US2 -0.6 -0.2 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 1.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.3 -0.4 -0.1 0.1 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.3 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 -0.3 -0.5 -0.4 -0.3 0.1 -0.4 0.7 0.7 US30 -0.6 -0.3 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.4 -0.4 -0.5 -0.0 -0.3 0.7 0.7 US5 -0.6 -0.3 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.1 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.3 -0.5 -0.3 -0.0 0.1 -0.7 0.7 0.1 VIX 0.2 0.2 1.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.3 -0.0 -0.5 0.0 -0.1 0.0 -0.6 -0.2 -0.5 0.1 0.0 -0.0 -0.2 0.0 NaN 0.0 -0.0 0.1 -0.0 -0.2 0.0 NaN NaN NaN NaN NaN -0.9 -1.1 NaN NaN WHEAT 0.3 0.6 -0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.0 -0.6 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.0 -0.1 -0.1 -0.4 0.1 0.5 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.1 -0.5 -0.1 0.2 -0.3 -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 -9.5 2.1 3.2 0.3 -7.1 1.9 -7.8 1.6 -4.4 -12.1 9.4 -15.6 4.0 -6.9 6.2 -0.1 -1.9 -0.6 -1.2 2.2 5.6 -16.3 3.3 -7.7 2.4 1.2 -6.7 2.7 -7.5 1.9 -3.4 -0.0 -6.1 8.2 2.0 -0.5 8.9 -6.5 13.7 -1.0 BITCOIN 9.1 3.7 -9.6 4.0 3.5 0.8 2.7 -0.9 4.1 18.1 -3.7 17.1 9.0 16.5 4.0 -6.2 -6.8 -6.1 -6.4 5.1 1.1 20.0 8.8 14.8 -20.0 1.8 13.2 0.9 11.8 7.6 6.9 -2.1 20.0 14.4 -15.5 -7.8 1.8 -2.3 -0.4 2.3 BOBL -13.2 1.6 19.1 0.2 0.2 2.0 -1.8 1.4 -2.1 4.9 5.1 -5.8 -1.0 -3.0 5.3 16.6 -8.1 3.9 -4.1 2.8 4.9 -1.8 1.4 -2.2 4.1 1.5 2.2 2.6 -0.6 1.5 -0.8 -5.2 2.1 9.8 5.2 0.5 -20.0 -17.3 -1.6 -3.0 BTP -3.5 6.3 11.6 0.4 0.4 3.6 -3.3 2.6 -3.8 16.0 16.4 2.7 17.7 9.9 16.2 7.3 4.7 5.7 4.6 14.1 15.6 12.0 14.2 10.1 -20.0 6.4 9.3 6.8 5.6 6.2 4.7 14.2 20.0 20.0 20.0 6.0 -20.0 -12.5 2.8 9.4 BUND -11.9 -0.1 14.4 0.3 0.3 2.4 -2.2 1.7 -2.5 3.8 6.3 -7.3 1.7 -4.2 6.2 -20.0 -4.7 -14.4 -9.0 2.2 5.0 -2.0 2.2 -2.8 1.3 1.5 2.5 3.2 -0.7 2.5 -1.2 -4.8 5.4 12.0 3.6 -3.1 -20.0 -17.4 -2.0 -1.9 BUXL -8.3 -2.0 9.9 0.3 0.3 2.8 -2.5 2.0 -2.9 1.5 4.9 -8.5 1.1 -7.5 5.4 0.2 -1.7 -0.4 -1.3 -0.4 2.1 -2.1 -0.4 -3.8 -2.3 0.3 2.1 2.4 -0.7 2.0 -1.9 3.8 10.4 13.9 -0.3 -9.7 -20.0 -20.0 -5.5 -6.0 CAC 4.0 6.1 -12.0 4.5 3.7 5.2 4.6 6.9 4.8 -0.2 -6.8 -10.0 0.3 -2.4 1.5 -5.5 -3.1 -5.6 -4.4 -2.0 -5.1 -2.4 -1.8 -0.7 -6.7 -0.7 -0.7 -2.4 -1.0 0.3 0.4 4.3 -14.6 -9.8 -8.9 -20.0 7.6 5.3 -4.3 -1.1 CAD -18.3 -3.6 5.2 0.4 -9.3 2.5 -10.1 2.1 -5.7 -20.0 -2.2 -20.0 -13.4 -18.0 -3.3 -4.9 -3.8 -4.7 -4.3 -9.3 -2.7 -20.0 -4.8 -20.0 -0.9 -3.0 -9.2 -0.4 -12.3 -1.2 -9.1 -4.1 -19.3 -5.6 -10.0 -7.6 4.9 -8.2 0.5 -4.3 CANOLA 13.5 7.7 -1.3 0.1 -2.0 -1.5 -0.8 -2.0 0.7 -3.3 -2.9 0.7 -6.9 5.0 -0.5 -13.8 -11.3 -13.3 -13.1 0.8 -3.5 -0.8 -6.8 2.5 -14.7 1.5 2.1 -0.8 2.0 -3.1 2.4 -20.0 3.8 6.7 8.2 2.7 -5.4 -12.0 2.0 -7.8 CHF -20.0 -5.5 20.0 0.2 -5.9 1.6 -6.4 1.4 -3.6 -14.1 7.0 -15.0 -0.6 -11.0 5.5 -14.1 -16.0 -14.7 -15.3 -0.7 6.4 -19.5 3.7 -13.5 4.2 -0.0 -6.8 2.8 -7.1 2.0 -4.9 -20.0 -4.7 -9.7 -9.6 12.1 -7.9 -11.7 -17.3 -12.0 COCOA 9.4 2.9 9.2 0.1 -1.8 -1.3 -0.7 -1.8 0.6 4.4 1.9 5.1 3.6 4.7 3.0 20.0 20.0 20.0 20.0 5.1 6.1 9.7 11.2 7.6 -20.0 2.3 2.4 3.4 3.4 6.9 2.9 20.0 20.0 8.1 6.5 7.9 20.0 15.6 20.0 20.0 COFFEE -10.2 -2.1 1.4 0.2 -3.9 -2.8 -1.6 -3.8 1.3 3.1 13.4 -3.6 14.4 2.0 7.7 2.4 5.5 3.3 4.3 8.2 13.8 -0.5 15.7 2.0 -20.0 3.5 -0.8 6.4 -0.5 8.3 0.6 5.0 6.4 -11.7 6.1 20.0 -6.5 -7.5 3.5 -1.1 COPPER 5.4 13.4 -10.6 2.0 1.7 0.4 1.3 -0.4 2.0 -9.9 -1.9 -7.0 -0.0 2.6 2.6 -3.4 -3.1 -3.2 -2.8 3.8 2.6 -7.7 3.3 0.8 -13.7 2.2 -3.1 1.6 -1.8 1.6 1.1 4.3 -20.0 6.1 6.8 0.0 20.0 9.6 17.3 20.0 CORN 1.8 12.3 -12.1 0.2 -5.1 -3.7 -2.1 -5.0 1.7 -17.7 -15.0 -15.1 -20.0 4.7 -9.2 -10.6 -15.1 -15.1 -16.5 -7.4 -19.3 -20.0 -20.0 -8.4 -12.7 -4.7 -14.2 -8.6 -12.2 -12.0 -5.9 -20.0 -20.0 -19.4 -7.4 -20.0 3.2 -3.8 7.5 0.2 COTTON2 -1.3 17.2 2.0 0.2 -4.0 -2.9 -1.6 -4.0 1.3 -12.1 -13.7 -11.0 -14.1 5.0 3.1 -13.3 -5.1 -11.6 -8.7 1.2 -7.0 -8.5 -13.8 -1.0 -20.0 0.9 -5.9 -1.7 -5.3 -2.9 -1.0 -15.3 -9.7 -9.6 4.1 5.5 -14.4 -12.2 -7.0 -7.1 CRUDE_W 11.9 -4.2 -16.6 -0.9 -4.2 -2.8 -0.6 -1.7 1.4 -14.4 -6.2 -0.3 0.8 1.8 -5.6 4.4 11.6 8.7 10.6 -4.1 -6.4 -4.7 -2.6 -0.3 -1.4 -0.7 -6.8 -3.1 -2.4 -1.8 1.0 9.9 -3.2 -8.1 5.2 3.2 -1.8 9.9 -1.0 14.9 DAX 13.0 11.4 -1.9 5.1 4.1 5.8 5.1 7.7 5.3 16.9 14.1 17.0 16.6 16.9 16.9 -8.1 -10.0 -8.4 -9.0 18.1 13.8 19.5 14.7 20.0 10.1 5.8 6.0 4.7 6.9 6.0 7.1 -6.0 9.4 12.2 13.3 -2.1 16.0 7.0 3.5 1.6 DOW 5.9 12.2 9.6 4.6 3.8 5.3 4.6 7.0 4.8 15.0 16.5 15.8 17.1 17.4 17.9 -9.7 -10.6 -9.7 -10.1 20.0 19.8 20.0 18.8 20.0 -13.7 6.5 5.8 6.2 6.0 6.2 6.2 -7.4 17.1 11.3 20.0 20.0 12.7 3.7 -6.6 -6.4 DX 20.0 5.8 -17.4 0.3 -7.9 2.1 -8.6 1.8 -4.9 19.1 -7.8 20.0 3.4 17.5 -5.0 5.7 6.6 5.9 6.2 6.0 -7.0 20.0 -4.6 20.0 -20.0 1.6 9.5 -2.2 10.5 -1.4 7.8 13.9 20.0 20.0 9.0 -20.0 0.2 8.0 -0.5 11.1 EUR -20.0 -7.5 9.2 0.4 -8.6 2.3 -9.4 2.0 -5.3 -20.0 5.6 -20.0 -2.2 -20.0 0.4 -6.5 -7.0 -6.6 -6.7 -7.9 3.2 -20.0 3.2 -20.0 20.0 -2.5 -12.6 1.9 -12.7 2.2 -9.2 -9.0 -13.6 -20.0 -20.0 6.4 -3.0 -20.0 -9.8 -20.0 EURIBOR-ICE -13.6 2.5 20.0 0.2 0.2 1.7 -1.5 1.2 -1.8 6.4 6.4 -1.4 5.2 0.6 6.6 5.1 -1.5 3.1 0.8 6.2 8.3 3.0 6.1 1.7 11.4 2.3 3.3 3.0 1.0 2.3 0.7 5.7 7.2 11.7 10.4 7.4 -13.4 -19.0 5.7 4.3 EUROSTX 7.2 3.9 -11.6 4.4 3.6 5.1 4.5 6.7 4.7 -8.8 4.9 -3.0 11.5 6.2 7.8 -3.6 -3.2 -4.1 -4.0 4.2 2.9 -1.7 7.1 4.2 -2.4 2.2 -4.4 2.0 -0.9 5.6 2.4 4.3 -16.4 -4.1 -4.4 -15.4 5.5 1.7 -20.0 -8.0 FEEDCOW 20.0 16.8 -18.8 0.2 -5.5 -4.0 -2.2 -5.4 1.8 -16.7 -8.9 11.4 -13.5 18.9 -0.7 20.0 -8.2 17.7 6.6 7.9 -13.1 9.6 -16.9 20.0 -9.8 1.7 -4.0 -3.2 2.0 -3.6 5.4 -6.3 15.7 20.0 20.0 -19.7 9.7 20.0 20.0 20.0 GASOIL 17.6 -2.3 -18.1 -0.9 -4.1 -2.7 -0.6 -1.7 1.3 -11.2 -10.8 -3.4 -1.6 0.5 -8.9 1.6 7.8 2.1 3.3 -6.7 -9.9 -6.4 -5.3 -1.9 3.6 -3.1 -6.5 -4.6 -2.9 -2.8 -0.9 0.1 -5.6 -5.9 -9.1 -6.6 -3.4 -10.2 -1.4 -16.0 GASOLINE 16.8 0.5 -14.6 -0.8 -4.0 -2.6 -0.6 -1.6 1.3 -13.2 -6.2 1.2 0.4 4.9 -2.5 9.0 20.0 20.0 20.0 -0.8 -4.0 -0.7 -1.1 3.4 -20.0 1.6 -3.7 -0.8 0.5 -0.1 3.3 20.0 2.9 -0.1 10.9 9.0 4.1 13.1 9.6 20.0 GAS_US_mini -3.4 9.1 0.7 -1.2 -5.6 -3.7 -0.8 -2.3 1.8 -19.9 -17.6 -19.3 -20.0 -11.5 -16.7 -20.0 -20.0 -20.0 -20.0 -8.2 -12.0 -20.0 -20.0 -14.7 20.0 -3.5 -16.3 -4.0 -14.3 -6.8 -7.4 -20.0 -20.0 -20.0 -6.3 -2.6 -9.6 -20.0 -3.8 -18.1 GBP -19.7 -1.2 7.8 0.3 -8.2 2.2 -8.9 1.9 -5.0 -15.5 14.1 -20.0 14.0 -12.2 7.4 0.7 -0.3 0.4 0.0 4.6 13.1 -18.7 12.8 -10.5 -2.1 2.4 -6.3 6.0 -7.4 6.0 -3.9 2.5 7.6 1.6 5.6 15.9 5.5 -20.0 9.9 -20.0 GOLD_micro 1.7 18.1 20.0 3.7 3.2 0.8 2.5 -0.8 3.8 19.0 20.0 16.5 20.0 17.9 20.0 -13.6 -13.4 -13.0 -12.8 20.0 20.0 19.8 20.0 20.0 -14.1 7.2 6.3 7.4 4.8 7.4 5.7 -13.1 11.3 20.0 18.5 20.0 20.0 -0.7 13.3 5.1 HEATOIL 19.5 -0.7 -14.4 -0.8 -3.9 -2.6 -0.6 -1.6 1.3 -13.2 -10.7 -5.7 -5.8 -0.7 -8.4 -4.9 3.4 -5.3 -3.1 -5.3 -9.0 -6.4 -6.4 -1.3 -18.2 -0.9 -5.9 -3.6 -2.0 -2.9 1.0 -9.4 -3.6 -1.1 3.1 -0.2 -7.2 3.8 -6.8 4.5 JGB-SGX-mini -18.1 3.6 16.7 0.2 0.2 1.7 -1.6 1.3 -1.8 -7.6 4.7 -8.0 2.9 -5.6 4.9 9.7 16.0 12.2 14.0 1.6 4.0 -7.6 2.6 -4.6 -9.7 0.5 -2.6 1.3 -3.3 0.3 -2.1 20.0 -5.8 2.0 0.6 -1.8 -14.3 -7.0 -15.6 -0.4 JPY -20.0 -5.0 20.0 0.1 -3.1 0.8 -3.4 0.7 -1.9 -7.2 2.6 -8.0 -3.0 -7.2 2.0 -10.1 -14.3 -11.2 -12.5 -2.2 1.3 -9.9 -2.1 -8.9 20.0 -0.4 -2.0 0.6 -2.8 -0.7 -2.4 -20.0 0.4 -11.0 -6.7 7.9 -20.0 -20.0 -20.0 -20.0 LEANHOG 5.8 20.0 10.5 0.2 -5.8 -4.2 -2.3 -5.7 1.9 18.1 -1.8 19.3 -5.2 20.0 20.0 16.5 20.0 20.0 20.0 19.9 5.8 15.6 -8.3 20.0 4.0 6.7 6.2 2.2 6.1 -1.7 7.6 20.0 20.0 18.8 20.0 20.0 -0.3 -5.2 5.4 1.5 LIVECOW 19.5 17.0 2.7 0.2 -6.0 -4.4 -2.4 -5.9 2.0 -20.0 16.9 13.5 12.9 20.0 18.2 1.9 8.7 5.3 8.7 20.0 18.4 9.2 14.6 20.0 -20.0 6.2 -3.5 4.2 2.2 4.4 6.8 12.3 5.7 20.0 20.0 20.0 -3.3 20.0 5.7 20.0 LUMBER-new 9.8 9.2 4.5 0.2 -4.0 -2.9 -1.6 -3.8 1.3 2.7 -8.8 12.1 -10.7 12.6 11.9 -17.7 -17.9 -18.0 -17.9 4.7 -3.6 5.1 -10.1 7.8 NaN 3.8 -0.4 -1.1 3.0 -5.2 4.9 -20.0 8.0 10.7 0.5 17.3 3.5 0.2 8.6 4.0 MILK -18.5 1.6 19.8 0.1 -3.4 -2.4 -1.4 -3.3 1.1 11.3 12.0 -0.5 9.1 0.5 7.3 20.0 -2.5 20.0 14.8 8.6 15.1 3.5 10.8 0.9 14.4 2.9 5.9 5.3 1.6 3.6 0.2 4.1 8.3 -14.3 5.9 20.0 -1.1 -20.0 6.5 -20.0 MXP 4.5 1.3 -20.0 0.2 -4.9 1.3 -5.3 1.1 -3.0 -11.1 -9.9 -7.6 -7.1 -1.2 -7.7 11.0 13.5 10.7 11.5 -7.2 -11.5 -9.0 -7.5 -4.2 -20.0 -3.1 -7.6 -5.0 -4.3 -3.1 -1.9 20.0 3.7 4.1 -8.8 -19.3 13.1 14.8 18.1 20.0 NASDAQ_micro 10.1 7.9 -10.8 3.5 2.9 4.0 3.5 5.3 3.7 3.6 6.0 6.7 9.9 12.0 6.1 -8.1 -9.6 -8.1 -8.8 9.6 9.2 7.5 13.4 10.7 -20.0 4.1 1.0 4.5 2.6 6.6 3.9 -5.4 1.3 2.9 5.9 -3.0 5.0 3.6 -9.6 -2.1 NIKKEI 16.9 5.1 -20.0 2.0 1.6 2.3 2.0 3.1 2.1 0.4 2.7 5.0 3.6 6.1 3.3 1.4 7.8 3.7 5.7 3.4 1.6 3.7 3.2 5.3 -6.2 -0.0 -0.2 -0.6 1.1 1.2 1.4 20.0 -3.2 5.5 -1.0 -11.5 14.8 3.8 15.0 3.9 NZD -16.9 0.1 4.1 0.2 -4.8 1.3 -5.3 1.1 -3.0 -11.1 4.3 -11.7 2.2 -7.7 3.0 -0.3 0.0 -0.2 -0.1 -0.8 2.5 -12.9 1.6 -8.6 0.4 -0.0 -4.1 1.2 -5.1 0.8 -3.2 2.7 -4.1 0.4 0.4 -3.5 3.4 -7.4 4.1 -1.4 OAT -10.2 0.7 10.6 0.3 0.3 2.4 -2.2 1.8 -2.6 7.2 2.5 -4.3 -0.8 -6.2 6.0 7.7 4.5 5.6 4.4 0.6 2.0 1.2 -0.4 -2.1 3.7 0.7 5.3 1.8 1.3 1.1 -0.8 13.9 13.8 10.8 3.0 -5.3 -13.1 -14.0 5.8 3.8 OATIES 6.7 20.0 13.8 0.2 -4.7 -3.4 -1.9 -4.6 1.5 1.0 -0.2 6.2 -13.2 15.2 13.6 3.6 2.7 4.0 3.9 20.0 10.2 4.4 -4.7 16.4 -20.0 5.0 1.9 2.5 1.0 -0.4 3.7 2.1 0.3 15.0 20.0 19.8 18.7 2.3 20.0 12.1 OJ -6.2 2.0 2.3 0.2 -4.0 -2.9 -1.6 -3.9 1.3 13.9 14.2 11.2 15.4 8.7 10.9 10.5 12.0 11.2 10.8 12.2 17.6 12.2 20.0 9.3 -20.0 4.9 5.7 7.6 4.9 12.1 3.6 15.6 20.0 -2.1 10.4 20.0 14.1 14.1 20.0 20.0 PALLAD -4.5 14.4 13.7 1.7 1.5 0.4 1.2 -0.4 1.8 -0.9 2.2 -1.6 -5.4 2.3 4.0 -2.0 -2.0 -1.9 -1.9 4.4 2.2 0.9 -3.7 2.9 15.7 2.2 0.5 1.1 0.5 -1.2 1.5 5.9 5.1 -7.5 1.3 7.8 -13.0 -20.0 -20.0 -20.0 PLAT 2.5 7.2 -4.5 2.4 2.1 0.5 1.6 -0.6 2.5 10.6 -4.3 3.5 -3.4 7.2 1.1 -4.0 -4.4 -4.4 -4.5 2.4 0.6 4.1 -0.3 3.4 5.3 1.7 3.3 0.0 2.4 -0.5 2.3 1.6 -2.1 -2.8 -5.4 -3.9 0.1 -7.4 -11.5 -0.4 REDWHEAT 11.8 20.0 -4.1 0.2 -5.0 -3.6 -2.0 -4.9 1.6 -8.4 -12.9 2.6 -17.9 11.2 4.2 -11.0 -7.0 -10.6 -9.4 3.4 -6.8 -1.8 -16.6 6.3 -5.3 1.4 -2.9 -3.0 -0.8 -6.4 3.0 -17.8 -11.2 7.0 9.5 -7.7 -20.0 -20.0 -20.0 -20.0 RICE -6.1 0.7 -6.9 0.2 -5.2 -3.8 -2.1 -5.2 1.7 -9.1 11.5 -12.8 14.0 -4.9 -0.1 -11.7 20.0 -1.1 16.8 -1.9 1.4 -6.3 8.2 -4.4 -14.7 -2.4 -5.2 0.3 -4.8 3.3 -4.2 20.0 -1.6 -20.0 -9.5 3.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -3.0 -1.0 0.1 -2.3 -1.6 -0.9 -2.2 0.7 -6.0 8.4 -7.3 9.2 0.1 5.7 20.0 20.0 20.0 20.0 8.2 14.5 -6.6 16.9 -0.9 -20.0 2.2 -2.5 4.6 -1.9 6.6 -0.5 20.0 -4.9 -14.1 8.2 20.0 12.1 -1.7 20.0 4.7 RUSSELL 4.1 4.4 6.7 4.2 3.4 4.8 4.2 6.3 4.4 13.2 8.6 11.6 12.2 12.0 8.7 -5.9 -6.3 -5.7 -6.0 9.8 9.5 17.6 9.5 12.2 -0.4 5.4 8.2 6.0 6.9 5.9 5.3 -0.1 15.1 -2.6 8.0 18.0 0.5 -13.2 -13.2 -20.0 SHATZ -13.4 4.3 20.0 0.2 0.2 1.6 -1.4 1.1 -1.6 4.3 4.6 -4.3 -0.6 -1.2 5.1 -20.0 -20.0 -20.0 -20.0 4.3 5.7 -0.9 0.8 -0.7 6.2 1.7 1.8 2.3 -0.3 0.9 -0.1 -20.0 0.4 9.1 7.8 5.2 -20.0 -17.1 -6.9 -8.3 SILVER-mini 2.9 10.5 -2.1 2.6 2.3 0.5 1.8 -0.6 2.7 8.1 9.8 5.2 9.3 10.7 10.5 -6.6 -6.4 -6.3 -6.3 9.9 9.5 6.3 10.0 8.4 2.0 3.7 3.3 3.0 2.1 3.1 3.1 -1.6 -3.9 4.2 5.1 4.6 7.8 -2.0 -1.6 10.5 SMI 6.1 -9.6 -8.1 4.9 4.0 5.6 4.9 7.4 5.1 15.0 11.2 13.4 15.3 -0.1 6.4 1.0 0.2 -0.5 -0.8 3.3 7.6 13.8 13.6 6.9 11.8 4.1 9.9 7.9 7.9 11.3 4.4 9.9 7.6 -1.3 -15.3 2.0 -2.5 2.1 -19.9 -5.0 SOFR -20.0 -11.8 18.9 0.3 0.3 2.8 -2.6 2.0 -3.0 -9.5 9.4 -13.0 8.5 -12.4 4.2 2.4 0.1 1.9 0.9 -3.1 8.7 -16.5 8.1 -16.7 -6.3 -1.9 -2.4 1.8 -5.0 2.4 -5.4 7.2 -15.3 -16.9 -11.4 -4.2 5.6 -12.4 20.0 12.9 SOYBEAN -1.8 10.9 -13.9 0.1 -3.5 -2.6 -1.4 -3.5 1.2 -12.0 -10.0 -12.8 -11.8 -1.6 -6.8 -2.1 0.8 -4.3 -3.5 -8.3 -15.5 -19.7 -19.3 -10.1 -20.0 -3.6 -8.5 -5.5 -8.0 -6.1 -4.5 -6.4 -20.0 -15.6 -3.2 -19.1 2.9 -12.1 10.5 -7.3 SOYMEAL -5.1 13.2 2.2 0.1 -2.6 -1.9 -1.1 -2.6 0.9 -7.6 -6.2 -9.9 -8.7 -3.4 -2.1 -1.5 2.7 -1.9 -0.5 -2.7 -4.9 -10.0 -7.8 -5.9 -18.6 -1.3 -3.1 -2.0 -4.4 -2.5 -2.5 -2.1 -16.6 -7.0 -1.1 -6.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 9.8 14.8 -1.0 0.1 -2.2 -1.6 -0.9 -2.2 0.7 -5.8 -4.4 -1.7 -8.0 3.3 -2.4 -1.2 1.1 0.5 0.6 1.3 -3.0 -3.0 -6.8 1.6 -18.7 1.1 -2.1 -0.7 -1.3 -2.2 0.9 -2.6 -8.4 5.5 9.1 2.7 0.3 -7.9 10.0 -2.6 SP400 10.1 9.0 5.0 4.8 3.9 5.5 4.8 7.2 5.0 16.7 13.4 17.5 16.0 17.7 15.2 -6.7 -6.1 -6.3 -6.1 15.7 13.0 20.0 13.8 19.6 -13.4 6.4 7.8 6.2 7.5 6.4 6.7 0.1 18.2 7.1 14.7 16.4 6.8 -6.0 -9.0 -20.0 SP500_micro 9.2 11.3 -8.1 4.7 3.8 5.4 4.7 7.1 4.9 11.7 17.0 14.1 17.9 17.5 17.7 -10.2 -11.6 -10.2 -10.9 20.0 20.0 18.7 20.0 20.0 -20.0 6.4 4.2 6.9 5.5 8.6 6.2 -9.0 13.5 9.8 17.5 9.5 9.6 3.4 -9.1 -4.0 SUGAR11 0.2 20.0 15.0 0.1 -3.6 -2.6 -1.4 -3.5 1.2 -10.6 4.4 -6.1 -6.6 9.3 9.8 20.0 12.4 20.0 14.5 15.6 8.4 -2.6 -0.3 9.6 -20.0 3.6 -1.9 1.9 -0.7 -0.2 2.2 17.8 -14.3 8.2 20.0 20.0 -16.4 7.7 -14.3 10.9 US10 -20.0 -10.5 19.0 0.2 0.3 2.1 -1.9 1.5 -2.2 -7.5 6.2 -9.9 4.1 -9.3 2.3 -6.0 -7.3 -6.6 -6.9 -3.4 4.7 -13.6 3.1 -13.4 1.7 -1.5 -2.0 1.1 -4.0 1.4 -4.2 -5.7 -12.9 -14.0 -9.9 -4.3 1.1 -20.0 20.0 8.2 US10U -20.0 -8.9 17.5 0.4 0.4 3.1 -2.8 2.2 -3.2 -10.6 8.5 -14.0 4.6 -13.5 2.9 -4.5 -3.4 -4.4 -4.2 -5.0 5.9 -18.7 3.4 -18.5 -1.3 -2.5 -3.1 1.3 -5.9 1.7 -6.2 -0.2 -15.3 -18.2 -14.7 -9.7 1.8 -18.4 20.0 19.4 US2 -20.0 -6.9 20.0 0.2 0.2 1.5 -1.4 1.1 -1.6 -3.9 4.0 -7.0 1.3 -6.0 2.3 -20.0 -20.0 -20.0 -20.0 -1.5 4.0 -10.3 1.2 -9.7 11.3 -0.4 -1.3 1.2 -2.7 0.9 -2.6 -20.0 -11.1 -11.4 -3.6 4.0 -1.1 -20.0 5.9 -11.4 US20 -20.0 -10.1 14.4 0.3 0.3 2.4 -2.1 1.7 -2.5 -8.8 6.0 -10.8 5.1 -10.6 1.1 -2.7 -1.3 -2.1 -1.6 -4.5 3.9 -14.4 2.9 -14.4 -3.4 -2.1 -2.7 0.9 -4.6 1.6 -4.9 4.2 -10.9 -14.3 -12.7 -10.1 2.5 -11.3 20.0 20.0 US30 -20.0 -9.0 12.1 0.3 0.3 2.7 -2.4 1.9 -2.8 -7.7 5.5 -11.2 2.9 -11.8 -0.1 -2.6 -5.0 -4.3 -4.7 -5.4 2.6 -14.2 1.1 -14.6 -2.3 -2.7 -2.8 0.6 -5.0 1.3 -5.5 -1.8 -7.8 -13.3 -13.3 -14.2 -0.7 -10.0 20.0 20.0 US5 -20.0 -10.6 20.0 0.2 0.2 2.0 -1.8 1.4 -2.1 -7.5 5.7 -9.5 3.0 -8.7 2.3 -8.0 -10.6 -9.7 -10.2 -3.1 4.6 -13.0 2.8 -12.8 5.4 -1.2 -1.8 1.1 -3.6 1.3 -3.8 -11.4 -13.1 -14.3 -8.1 -1.2 3.4 -20.0 20.0 2.0 VIX 4.0 4.1 20.0 2.1 -2.2 1.4 -0.9 -2.3 0.7 -11.5 -6.4 -2.4 -9.4 2.0 -5.7 1.3 -20.0 -6.1 -17.1 2.9 1.0 -1.8 -5.7 1.6 NaN 2.3 -2.6 1.6 -1.1 -2.8 0.7 NaN NaN NaN NaN NaN -16.7 -20.0 NaN NaN WHEAT 9.7 20.0 -5.9 0.4 -5.0 -3.5 -1.2 -4.7 2.2 -15.6 -11.1 -3.6 -15.9 11.6 4.0 -11.0 -14.5 -13.4 -14.4 4.1 -6.1 -7.6 -15.4 5.2 4.1 1.3 -10.3 -2.6 -4.1 -5.3 1.8 -20.0 -19.3 -2.3 6.7 -8.3 -20.0 -18.1 -20.0 -15.8 End of report for caleb_strategy_v3