******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241023_203928 produced at 2024-10-23 21:38:22.947972 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.66 0.0 0.00 0.00 0.00 0.00 -7.72 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.17 0.0 0.54 -0.54 -0.03 -0.03 -5.05 16.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.14 0.0 0.75 -0.75 -0.08 -0.08 -5.49 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.65 13.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.10 -0.09 0.0 0.67 -0.67 -0.10 -0.14 -1.84 14.0 -2 -3 caleb_strategy_v3 VIX False False 0.01 -0.05 -0.09 0.0 999.00 -999.00 -0.05 -0.05 -12.90 999999999.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.08 0.0 0.67 -0.67 -0.10 -0.15 -1.63 13.0 -2 -3 caleb_strategy_v3 MXP False False 0.01 -0.04 -0.07 0.0 0.53 -0.53 -0.04 -0.05 -7.85 60.0 -5 -6 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -8.69 12.0 -7 -7 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.79 24.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.07 0.0 0.00 -0.04 -0.04 -0.04 -26.77 26.0 -16 -16 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -3.35 4.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.04 0.0 0.50 -0.50 -0.03 -0.03 -1.23 17.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.04 0.0 0.96 -0.96 -0.04 -0.04 -1.14 25.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.14 12.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.53 -0.53 0.00 0.00 -0.67 13.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.67 -0.67 0.00 0.00 -0.80 17.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.15 -0.15 -0.05 -0.05 -2.53 11.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -1.37 7.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.92 3.0 -1 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.70 4.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.82 21.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.73 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -5.64 51.0 -2 -2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.02 0.0 0.51 -0.51 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -6.71 59.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.64 8.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.54 9.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 0.00 -0.44 23.0 -1 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.34 9.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -0.99 3.0 -2 -2 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.27 -0.27 -0.04 -0.13 -0.28 6.0 -1 -3 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.25 19.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.04 -0.01 0.0 999.00 -999.00 0.04 0.00 -0.29 999999999.0 1 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.01 0.0 0.63 -0.63 0.00 -0.03 -0.50 22.0 0 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.17 4.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -0.45 20.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.36 -0.36 0.00 0.00 0.14 23.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.54 18.0 3 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 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.05 6.0 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 CRUDE_W False False 0.02 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.34 5.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.02 0.01 0.0 0.59 -0.59 0.02 0.02 0.56 26.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.14 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.86 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.01 0.0 0.07 -0.07 0.01 0.01 0.91 5.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.18 -0.18 0.00 0.02 0.40 10.0 0 1 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.81 3.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.27 -0.27 0.00 0.00 3.83 68.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.02 0.0 0.22 -0.22 0.22 0.22 0.21 2.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 2.51 48.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.03 0.03 0.0 999.00 -999.00 0.03 0.03 0.89 999999999.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.03 0.0 0.35 -0.35 0.13 0.13 0.59 8.0 3 3 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.04 0.0 0.32 -0.32 0.05 0.04 4.67 36.0 6 4 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 4.77 66.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.14 0.04 0.0 0.48 -0.48 0.14 0.14 0.78 10.0 3 3 caleb_strategy_v3 BTP False False 0.05 0.05 0.05 0.0 0.46 -0.46 0.05 0.00 1.01 10.0 1 0 caleb_strategy_v3 DX False False 0.04 0.00 0.05 0.0 999.00 -999.00 0.00 0.00 1.31 999999999.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.20 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.05 0.08 0.0 0.54 -0.54 0.05 0.03 8.55 56.0 5 3 caleb_strategy_v3 DAX False False 0.01 0.08 0.10 0.0 0.43 -0.43 0.08 0.07 13.68 58.0 11 9 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.11 0.0 0.45 -0.45 0.03 0.03 4.22 17.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.12 0.0 0.15 -0.15 0.08 0.09 10.35 13.0 7 8 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.81 0.0 0.94 -0.94 0.00 0.00 8.60 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.3 Shocked risk 21.9 Sum abs risk 34.1 Leverage 3.88 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2816178.58, 'annual_cash_vol_target': 704044.645, 'daily_cash_vol_target': 44002.7903125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6630 0.6116 9.7863 BITCOIN 1535.4643 66395.0000 2.3126 37.0019 BOBL 0.2533 118.9500 0.2130 3.4076 BTP 0.5646 120.8300 0.4673 7.4763 BUND 0.4910 132.7500 0.3698 5.9174 BUXL 1.2264 131.0800 0.9356 14.9700 CAC 63.8228 7502.0000 0.8507 13.6119 CAD 0.0025 0.7240 0.3431 5.4897 CANOLA 7.9425 645.5000 1.2304 19.6871 CHF 0.0049 1.1604 0.4258 6.8127 COCOA 149.8555 6387.0000 2.3463 37.5401 COFFEE 4.5795 250.5500 1.8278 29.2444 COPPER 0.0564 4.3325 1.3020 20.8323 CORN 4.3160 442.0000 0.9765 15.6237 COTTON2 0.9434 74.4500 1.2672 20.2752 CRUDE_W 1.1579 67.9500 1.7040 27.2638 DAX 135.0790 19464.0000 0.6940 11.1039 DOW 257.4808 42720.0000 0.6027 9.6435 DX 0.3549 104.2550 0.3404 5.4462 EUR 0.0042 1.0806 0.3859 6.1749 EURIBOR-ICE 0.0458 97.9150 0.0468 0.7489 EUROSTX 43.3721 4928.0000 0.8801 14.0818 FEEDCOW 1.6355 244.1500 0.6699 10.7182 GASOIL 12.6331 668.7500 1.8891 30.2249 GASOLINE 0.0400 1.9899 2.0119 32.1898 GAS_US_mini 0.0861 2.9600 2.9077 46.5225 GBP 0.0062 1.2922 0.4794 7.6700 GOLD_micro 17.9645 2727.9000 0.6585 10.5367 HEATOIL 0.0424 2.2438 1.8883 30.2121 JGB-SGX-mini 0.2186 143.7000 0.1522 2.4345 JPY 0.0000 0.0066 0.7549 12.0781 LEANHOG 0.9709 83.2250 1.1666 18.6651 LIVECOW 1.0269 187.9500 0.5464 8.7423 LUMBER-new 7.2225 550.5000 1.3120 20.9918 MILK 0.2776 20.6000 1.3476 21.5621 MXP 0.0004 0.0499 0.8204 13.1256 NASDAQ_micro 168.9335 20173.5000 0.8374 13.3984 NIKKEI 537.2853 37740.0000 1.4236 22.7784 NZD 0.0040 0.6000 0.6692 10.7080 OAT 0.5018 125.5500 0.3996 6.3943 OATIES 5.3326 379.0000 1.4070 22.5123 OJ 7.8790 478.5500 1.6464 26.3428 PALLAD 25.0214 1061.0000 2.3583 37.7326 PLAT 15.4521 1029.1000 1.5015 24.0242 REDWHEAT 9.3246 600.5000 1.5528 24.8450 RICE 0.1279 15.1700 0.8430 13.4877 ROBUSTA 83.8736 4445.0000 1.8869 30.1907 RUSSELL 22.1599 2219.1000 0.9986 15.9776 SHATZ 0.0886 106.9100 0.0829 1.3266 SILVER-mini 0.5764 34.1250 1.6891 27.0263 SMI 78.2234 12152.0000 0.6437 10.2993 SOFR 0.0577 96.4100 0.0598 0.9574 SOYBEAN 10.1706 1036.5000 0.9812 15.6999 SOYMEAL 4.2150 313.0000 1.3466 21.5463 SOYOIL 0.7301 43.4200 1.6815 26.9037 SP400 23.5545 3134.7000 0.7514 12.0226 SP500_micro 35.4257 5828.7500 0.6078 9.7244 SUGAR11 0.3230 20.6100 1.5671 25.0744 US10 0.3768 111.0312 0.3394 5.4297 US10U 0.5056 114.1875 0.4428 7.0848 US2 0.1112 103.1484 0.1078 1.7253 US20 0.7554 118.0312 0.6400 10.2404 US30 1.1483 124.8750 0.9196 14.7130 US5 0.2508 107.6719 0.2329 3.7268 VIX 0.5871 18.8000 3.1227 49.9626 WHEAT 8.5324 635.5000 1.3426 21.4821 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.00 0.61 405.52 1.00 405.52 44002.79 108.51 -0.89 -9.63 BITCOIN 66.40 2.31 153.55 1.00 153.55 44002.79 286.58 -2.16 -61.95 BOBL 1189.50 0.21 253.33 1.08 274.14 44002.79 160.51 -0.46 -7.46 BTP 1208.30 0.47 564.60 1.08 610.99 44002.79 72.02 4.10 29.55 BUND 1327.50 0.37 490.96 1.08 531.29 44002.79 82.82 -4.59 -37.99 BUXL 1310.80 0.94 1226.41 1.08 1327.16 44002.79 33.16 -5.13 -17.01 CAC 750.20 0.85 638.23 1.08 690.66 44002.79 63.71 -5.23 -33.31 CAD 723.95 0.34 248.39 1.00 248.39 44002.79 177.15 -11.95 -211.63 CANOLA 129.10 1.23 158.85 0.72 114.88 44002.79 383.02 -6.06 -231.99 CHF 1450.50 0.43 617.61 1.00 617.61 44002.79 71.25 -8.84 -63.02 COCOA 638.70 2.35 1498.56 1.00 1498.56 44002.79 29.36 8.90 26.12 COFFEE 939.56 1.83 1717.31 1.00 1717.31 44002.79 25.62 -1.73 -4.44 COPPER 1083.12 1.30 1410.25 1.00 1410.25 44002.79 31.20 -0.86 -2.68 CORN 221.00 0.98 215.80 1.00 215.80 44002.79 203.90 -17.52 -357.28 COTTON2 372.25 1.27 471.72 1.00 471.72 44002.79 93.28 -12.66 -118.06 CRUDE_W 679.50 1.70 1157.86 1.00 1157.86 44002.79 38.00 0.83 3.15 DAX 194.64 0.69 135.08 1.08 146.18 44002.79 301.03 13.32 401.04 DOW 213.60 0.60 128.74 1.00 128.74 44002.79 341.79 6.01 205.36 DX 1042.55 0.34 354.87 1.00 354.87 44002.79 124.00 4.09 50.67 EUR 1350.75 0.39 521.29 1.00 521.29 44002.79 84.41 -8.39 -70.82 EURIBOR-ICE 2447.88 0.05 114.57 1.08 123.98 44002.79 354.91 7.11 252.17 EUROSTX 492.80 0.88 433.72 1.08 469.35 44002.79 93.75 -1.40 -13.15 FEEDCOW 1220.75 0.67 817.76 1.00 817.76 44002.79 53.81 3.33 17.90 GASOIL 668.75 1.89 1263.31 1.00 1263.31 44002.79 34.83 -4.65 -16.21 GASOLINE 835.76 2.01 1681.43 1.00 1681.43 44002.79 26.17 2.71 7.08 GAS_US_mini 74.00 2.91 215.17 1.00 215.17 44002.79 204.51 -12.09 -247.22 GBP 807.62 0.48 387.15 1.00 387.15 44002.79 113.66 -1.71 -19.38 GOLD_micro 272.79 0.66 179.64 1.00 179.64 44002.79 244.94 10.23 250.65 HEATOIL 942.40 1.89 1779.49 1.00 1779.49 44002.79 24.73 -8.59 -21.24 JGB-SGX-mini 143700.00 0.15 21864.98 0.01 144.95 44002.79 303.57 -1.54 -46.67 JPY 824.62 0.75 622.50 1.00 622.50 44002.79 70.69 -6.70 -47.39 LEANHOG 332.90 1.17 388.35 1.00 388.35 44002.79 113.31 15.04 170.37 LIVECOW 751.80 0.55 410.78 1.00 410.78 44002.79 107.12 11.90 127.42 LUMBER-new 151.39 1.31 198.62 1.00 198.62 44002.79 221.54 -2.09 -46.41 MILK 412.00 1.35 555.22 1.00 555.22 44002.79 79.25 5.38 42.62 MXP 249.50 0.82 204.68 1.00 204.68 44002.79 214.99 -2.49 -53.50 NASDAQ_micro 403.47 0.84 337.87 1.00 337.87 44002.79 130.24 -1.45 -18.86 NIKKEI 37740.00 1.42 53728.53 0.01 356.18 44002.79 123.54 3.49 43.10 NZD 600.05 0.67 401.58 1.00 401.58 44002.79 109.57 -2.89 -31.68 OAT 1255.50 0.40 501.76 1.08 542.98 44002.79 81.04 2.81 22.78 OATIES 189.50 1.41 266.63 1.00 266.63 44002.79 165.03 4.63 76.37 OJ 717.82 1.65 1181.85 1.00 1181.85 44002.79 37.23 10.12 37.68 PALLAD 1061.00 2.36 2502.14 1.00 2502.14 44002.79 17.59 2.28 4.01 PLAT 514.55 1.50 772.60 1.00 772.60 44002.79 56.95 2.05 11.69 REDWHEAT 300.25 1.55 466.23 1.00 466.23 44002.79 94.38 -13.07 -123.37 RICE 303.40 0.84 255.76 1.00 255.76 44002.79 172.05 -8.00 -137.61 ROBUSTA 444.50 1.89 838.74 1.00 838.74 44002.79 52.46 2.36 12.36 RUSSELL 110.96 1.00 110.80 1.00 110.80 44002.79 397.14 2.91 115.54 SHATZ 1069.10 0.08 88.64 1.08 95.92 44002.79 458.74 -3.85 -176.39 SILVER-mini 853.12 1.69 1441.05 1.00 1441.05 44002.79 30.54 8.57 26.16 SMI 1215.20 0.64 782.23 1.16 903.83 44002.79 48.68 7.24 35.27 SOFR 2410.25 0.06 144.22 1.00 144.22 44002.79 305.12 -4.16 -126.98 SOYBEAN 518.25 0.98 508.53 1.00 508.53 44002.79 86.53 -17.08 -147.81 SOYMEAL 313.00 1.35 421.50 1.00 421.50 44002.79 104.40 -15.88 -165.76 SOYOIL 260.52 1.68 438.06 1.00 438.06 44002.79 100.45 -4.60 -46.18 SP400 3134.70 0.75 2355.45 1.00 2355.45 44002.79 18.68 3.39 6.34 SP500_micro 291.44 0.61 177.13 1.00 177.13 44002.79 248.42 4.34 107.81 SUGAR11 230.83 1.57 361.75 1.00 361.75 44002.79 121.64 2.09 25.46 US10 1110.31 0.34 376.79 1.00 376.79 44002.79 116.78 -5.39 -62.98 US10U 1141.88 0.44 505.62 1.00 505.62 44002.79 87.03 -6.12 -53.26 US2 2062.97 0.11 222.45 1.00 222.45 44002.79 197.81 -6.59 -130.31 US20 1180.31 0.64 755.43 1.00 755.43 44002.79 58.25 -4.58 -26.70 US30 1248.75 0.92 1148.30 1.00 1148.30 44002.79 38.32 -5.83 -22.33 US5 1076.72 0.23 250.80 1.00 250.80 44002.79 175.45 -5.12 -89.84 VIX 188.00 3.12 587.06 1.00 587.06 44002.79 74.95 -6.97 -52.28 WHEAT 317.75 1.34 426.62 1.00 426.62 44002.79 103.14 -12.66 -130.56 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -9.634 0.010 2.5 -0.250 BITCOIN -61.949 0.043 2.5 -6.708 BOBL -7.461 0.004 2.5 -0.076 BTP 29.547 0.014 2.5 1.008 BUND -37.986 0.004 2.5 -0.385 BUXL -17.015 0.004 2.5 -0.173 CAC -33.309 0.014 2.5 -1.136 CAD -211.634 0.010 2.5 -5.491 CANOLA -231.994 0.010 2.5 -5.644 CHF -63.015 0.010 2.5 -1.635 COCOA 26.119 0.009 2.5 0.559 COFFEE -4.442 0.005 2.5 -0.052 COPPER -2.677 0.043 2.5 -0.290 CORN -357.281 0.010 2.5 -8.692 COTTON2 -118.058 0.009 2.5 -2.528 CRUDE_W 3.154 0.043 2.5 0.342 DAX 401.041 0.014 2.5 13.679 DOW 205.360 0.009 2.5 4.773 DX 50.668 0.010 2.5 1.315 EUR -70.816 0.010 2.5 -1.837 EURIBOR-ICE 252.175 0.014 2.5 8.601 EUROSTX -13.145 0.014 2.5 -0.448 FEEDCOW 17.904 0.013 2.5 0.593 GASOIL -16.211 0.017 2.5 -0.703 GASOLINE 7.080 0.017 2.5 0.307 GAS_US_mini -247.218 0.043 2.5 -26.770 GBP -19.383 0.010 2.5 -0.503 GOLD_micro 250.649 0.014 2.5 8.549 HEATOIL -21.241 0.017 2.5 -0.921 JGB-SGX-mini -46.672 0.043 2.5 -5.054 JPY -47.394 0.010 2.5 -1.230 LEANHOG 170.369 0.024 2.5 10.354 LIVECOW 127.424 0.013 2.5 4.222 LUMBER-new -46.408 0.009 2.5 -0.994 MILK 42.616 0.009 2.5 0.913 MXP -53.500 0.059 2.5 -7.852 NASDAQ_micro -18.856 0.009 2.5 -0.438 NIKKEI 43.097 0.043 2.5 4.667 NZD -31.685 0.010 2.5 -0.822 OAT 22.779 0.014 2.5 0.777 OATIES 76.371 0.010 2.5 1.858 OJ 37.679 0.009 2.5 0.807 PALLAD 4.007 0.014 2.5 0.137 PLAT 11.693 0.014 2.5 0.399 REDWHEAT -123.368 0.005 2.5 -1.637 RICE -137.614 0.010 2.5 -3.348 ROBUSTA 12.361 0.005 2.5 0.144 RUSSELL 115.544 0.013 2.5 3.829 SHATZ -176.390 0.004 2.5 -1.789 SILVER-mini 26.156 0.014 2.5 0.892 SMI 35.272 0.014 2.5 1.203 SOFR -126.977 0.024 2.5 -7.717 SOYBEAN -147.806 0.004 2.5 -1.375 SOYMEAL -165.756 0.004 2.5 -1.542 SOYOIL -46.181 0.004 2.5 -0.430 SP400 6.341 0.013 2.5 0.210 SP500_micro 107.809 0.009 2.5 2.505 SUGAR11 25.461 0.009 2.5 0.541 US10 -62.984 0.005 2.5 -0.798 US10U -53.264 0.005 2.5 -0.675 US2 -130.308 0.005 2.5 -1.651 US20 -26.701 0.005 2.5 -0.338 US30 -22.327 0.005 2.5 -0.283 US5 -89.840 0.005 2.5 -1.138 VIX -52.277 0.099 2.5 -12.904 WHEAT -130.561 0.005 2.5 -1.732 ===================== Position diags ===================== AUD 2.82 BITCOIN 31.03 BOBL 1.63 BTP 2.46 BUND 0.84 BUXL 0.34 CAC 2.17 CAD 4.60 CANOLA 9.32 CHF 1.85 COCOA 0.63 COFFEE 0.30 COPPER 3.38 CORN 4.96 COTTON2 2.00 CRUDE_W 4.12 DAX 10.27 DOW 7.94 DX 3.22 EUR 2.19 EURIBOR-ICE 12.11 EUROSTX 3.20 FEEDCOW 1.78 GASOIL 1.51 GASOLINE 1.13 GAS_US_mini 22.15 GBP 2.95 GOLD_micro 8.35 HEATOIL 1.07 JGB-SGX-mini 32.87 JPY 1.83 LEANHOG 6.89 LIVECOW 3.55 LUMBER-new 4.74 MILK 1.70 MXP 31.55 NASDAQ_micro 3.03 NIKKEI 13.38 NZD 2.84 OAT 2.76 OATIES 4.02 OJ 0.80 PALLAD 0.60 PLAT 1.94 REDWHEAT 1.25 RICE 4.19 ROBUSTA 0.61 RUSSELL 13.16 SHATZ 4.65 SILVER-mini 1.04 SMI 1.66 SOFR 18.54 SOYBEAN 0.80 SOYMEAL 0.97 SOYOIL 0.94 SP400 0.62 SP500_micro 5.77 SUGAR11 2.59 US10 1.48 US10U 1.10 US2 2.51 US20 0.74 US30 0.49 US5 2.22 VIX 18.50 WHEAT 1.37 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.2 -0.5 0.0 0.0 0 BITCOIN -6.7 -9.8 -3.6 0.0 0 BOBL -0.1 -0.2 0.1 0.0 0 BTP 1.0 0.8 1.3 1.0 1 BUND -0.4 -0.5 -0.3 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC -1.1 -1.4 -0.9 0.0 0 CAD -5.5 -6.0 -5.0 -3.0 -3 CANOLA -5.6 -6.6 -4.7 -2.0 -2 CHF -1.6 -1.8 -1.5 -2.0 -2 COCOA 0.6 0.5 0.6 1.0 1 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -0.3 -0.6 0.0 1.0 1 CORN -8.7 -9.2 -8.2 -7.0 -7 COTTON2 -2.5 -2.7 -2.3 -4.0 -4 CRUDE_W 0.3 -0.1 0.8 0.0 0 DAX 13.7 12.7 14.7 11.0 11 DOW 4.8 4.0 5.6 0.0 0 DX 1.3 1.0 1.6 0.0 0 EUR -1.8 -2.1 -1.6 -2.0 -2 EURIBOR-ICE 8.6 7.4 9.8 0.0 0 EUROSTX -0.4 -0.8 -0.1 0.0 0 FEEDCOW 0.6 0.4 0.8 3.0 3 GASOIL -0.7 -0.9 -0.6 -1.0 -1 GASOLINE 0.3 0.2 0.4 0.0 0 GAS_US_mini -26.8 -29.0 -24.6 -16.0 -16 GBP -0.5 -0.8 -0.2 0.0 0 GOLD_micro 8.5 7.7 9.4 5.0 5 HEATOIL -0.9 -1.0 -0.8 -1.0 -1 JGB-SGX-mini -5.1 -8.3 -1.8 -1.0 -1 JPY -1.2 -1.4 -1.0 -1.0 -1 LEANHOG 10.4 9.7 11.0 7.0 7 LIVECOW 4.2 3.9 4.6 1.0 1 LUMBER-new -1.0 -1.5 -0.5 -2.0 -2 MILK 0.9 0.7 1.1 1.0 1 MXP -7.9 -11.0 -4.7 -5.0 -5 NASDAQ_micro -0.4 -0.7 -0.1 -1.0 -1 NIKKEI 4.7 3.3 6.0 6.0 6 NZD -0.8 -1.1 -0.5 0.0 0 OAT 0.8 0.5 1.1 3.0 3 OATIES 1.9 1.5 2.3 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD 0.1 0.1 0.2 0.0 0 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -1.6 -1.8 -1.5 0.0 0 RICE -3.3 -3.8 -2.9 NaN 0 ROBUSTA 0.1 0.1 0.2 0.0 0 RUSSELL 3.8 2.5 5.1 0.0 0 SHATZ -1.8 -2.3 -1.3 NaN 0 SILVER-mini 0.9 0.8 1.0 1.0 1 SMI 1.2 1.0 1.4 0.0 0 SOFR -7.7 -9.6 -5.9 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.5 -1.6 -1.4 -2.0 -2 SOYOIL -0.4 -0.5 -0.3 0.0 0 SP400 0.2 0.1 0.3 2.0 2 SP500_micro 2.5 1.9 3.1 0.0 0 SUGAR11 0.5 0.3 0.8 3.0 3 US10 -0.8 -0.9 -0.7 0.0 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -1.7 -1.9 -1.4 NaN 0 US20 -0.3 -0.4 -0.3 0.0 0 US30 -0.3 -0.3 -0.2 -1.0 -1 US5 -1.1 -1.4 -0.9 -1.0 -1 VIX -12.9 -14.8 -11.1 -7.0 -7 WHEAT -1.7 -1.9 -1.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.6 -0.0 0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.1 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.1 0.1 0.0 -0.1 0.2 -0.2 0.4 -0.0 BITCOIN 0.3 0.3 -0.3 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 -0.1 0.2 0.4 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.3 0.2 -2.7 0.0 -0.0 0.0 0.1 0.3 0.1 -0.1 -0.1 0.2 -0.5 -0.2 0.1 -0.1 0.0 0.1 BOBL -0.6 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.3 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 0.2 0.2 0.0 -0.7 -0.6 -0.0 -0.1 BTP -0.3 0.1 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.4 -0.1 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.3 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 0.8 0.5 0.6 0.6 0.3 -0.7 -0.4 0.1 0.3 BUND -0.6 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.4 -0.1 -0.3 -0.2 0.0 0.0 -0.1 0.1 -0.1 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.3 0.0 0.3 0.2 -0.1 -0.7 -0.6 -0.0 -0.0 BUXL -0.4 -0.2 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.1 0.4 0.1 -0.3 -0.7 -0.7 -0.2 -0.2 CAC -0.1 0.2 -0.3 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.1 -0.2 -0.3 -0.6 0.2 0.2 -0.2 -0.1 CAD -0.6 -0.3 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.3 -0.4 -0.5 -0.3 0.1 -0.3 -0.0 -0.2 CANOLA 0.5 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.1 -0.2 0.1 -2.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.4 0.4 0.4 0.1 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.3 0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 -0.0 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.1 0.1 -0.2 0.1 -0.2 0.6 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.0 -0.1 -0.4 0.4 -0.3 -0.4 -0.6 -0.4 COCOA 0.2 0.1 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 0.0 0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.3 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 0.1 0.1 0.1 0.3 0.7 0.6 0.7 0.7 COFFEE -0.5 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.4 -0.1 0.5 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 -0.0 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.3 0.2 -0.5 0.0 0.6 -0.2 -0.2 0.1 -0.0 COPPER -0.2 0.5 -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 -1.9 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 -0.5 -0.2 0.1 -0.1 0.6 0.3 0.5 0.7 CORN -0.2 0.3 -0.4 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.4 -0.1 -0.7 -0.0 -0.1 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.1 -1.7 -0.1 0.0 -0.2 -0.1 -0.4 -0.1 -1.1 -0.5 -0.5 -0.2 -0.6 0.1 -0.1 0.3 0.0 COTTON2 -0.1 0.6 0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.4 -0.0 -0.6 0.1 0.1 -0.3 -0.1 -0.2 -0.2 0.0 -0.1 0.0 -0.4 0.0 -2.7 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 0.1 -0.3 0.1 0.2 -0.5 -0.4 -0.3 -0.2 CRUDE_W 0.3 0.0 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 -0.0 0.0 -0.1 0.1 0.2 0.2 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.5 0.0 -0.3 0.1 0.1 -0.1 0.3 -0.1 0.5 DAX 0.2 0.4 0.0 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.0 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.4 0.2 1.4 0.1 -0.0 0.1 0.0 0.2 0.1 -0.3 0.4 0.6 0.4 0.0 0.6 0.2 0.1 0.1 DOW 0.0 0.5 0.3 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.1 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -1.8 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 0.2 0.3 0.6 0.6 0.4 0.1 -0.3 -0.2 DX 0.6 0.4 -0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.1 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 -0.0 0.1 -0.0 0.1 0.7 0.5 0.6 0.6 -0.6 0.0 0.3 0.0 0.4 EUR -0.6 -0.4 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 0.0 -0.2 2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.5 -0.5 -0.6 -0.6 0.1 -0.1 -0.7 -0.4 -0.7 EURIBOR-ICE -0.6 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 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 0.3 0.4 0.4 0.3 -0.4 -0.6 0.2 0.2 EUROSTX -0.0 0.2 -0.3 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.4 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.2 0.0 -0.3 0.0 -0.1 0.1 -0.0 0.2 0.0 0.2 -0.2 -0.0 -0.1 -0.5 0.2 0.1 -0.7 -0.3 FEEDCOW 0.6 0.6 -0.5 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.2 0.1 -0.5 0.2 0.0 0.4 -0.1 0.4 0.1 0.1 -0.1 0.1 -0.4 0.2 -1.4 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.3 -0.2 0.6 0.6 -0.6 0.4 0.7 0.7 0.7 GASOIL 0.4 0.1 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.5 -0.0 0.0 -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 0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.1 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -2.6 0.0 -0.0 -0.0 -0.0 -0.0 0.0 1.1 0.1 -0.0 0.3 0.3 0.1 0.4 0.3 0.7 GAS_US_mini -0.4 0.2 0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.5 -0.1 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.2 2.7 -0.0 0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.2 -0.6 -0.1 -0.0 -0.4 -0.7 -0.2 -0.6 GBP -0.6 -0.2 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.2 0.5 -0.2 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.2 0.3 -0.2 -0.3 0.0 -0.1 0.1 -0.1 0.2 -0.1 0.1 -0.1 -0.2 0.1 0.5 0.2 -0.7 0.4 -0.7 GOLD_micro 0.0 0.5 0.6 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 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 -2.0 0.1 0.0 0.2 0.1 0.3 0.1 -0.7 0.5 0.6 0.6 0.6 0.7 -0.0 0.5 0.2 HEATOIL 0.5 0.1 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -2.3 -0.0 0.0 -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 0.0 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 -1.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 0.0 0.1 -0.0 -0.5 -0.3 -0.6 -0.0 JPY -0.6 -0.4 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.3 -0.2 -0.2 -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 -0.1 -0.2 -0.2 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 0.4 0.0 0.0 -0.1 0.0 -0.2 0.0 0.2 -0.0 0.2 -0.1 0.2 0.2 -0.0 0.4 0.4 0.4 0.2 0.1 0.2 -0.2 0.2 0.5 0.1 0.1 0.1 0.1 -0.0 0.1 1.1 0.5 0.6 0.6 0.6 -0.0 -0.2 0.2 0.0 LIVECOW 0.4 0.6 0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.5 0.2 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 0.6 0.2 0.6 0.6 0.5 -0.1 0.7 0.1 0.7 LUMBER-new 0.3 0.3 0.2 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.3 0.1 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.0 -0.3 0.1 NaN 0.0 -0.0 -0.0 0.0 -0.2 0.0 -1.2 -0.1 0.2 0.2 0.7 0.2 0.0 0.4 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 -0.1 0.3 -0.1 0.1 0.4 -0.1 0.4 0.3 0.1 0.1 -0.1 0.3 -0.0 1.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 0.1 -0.4 0.0 0.6 -0.1 -0.7 0.2 -0.7 MXP 0.1 0.1 -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 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.1 0.3 -0.0 -0.6 0.5 0.5 0.6 0.7 NASDAQ_micro 0.2 0.4 -0.1 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.2 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 -0.3 -0.0 0.1 0.3 -0.1 0.2 0.1 -0.3 -0.1 NIKKEI 0.2 0.2 -0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 0.0 0.0 -0.0 0.1 0.0 -0.9 -0.0 -0.0 -0.0 -0.0 0.0 0.0 1.1 -0.2 0.1 -0.0 -0.4 0.5 0.1 0.6 0.2 NZD -0.6 -0.1 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 0.0 -0.1 -0.1 -0.1 0.1 -0.3 0.2 -0.1 OAT -0.4 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.2 0.1 0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.0 0.5 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.8 0.2 0.5 0.2 -0.1 -0.4 -0.5 0.2 0.2 OATIES -0.1 0.6 0.5 0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.0 -0.0 -0.5 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.0 -0.1 0.1 -2.7 0.1 0.0 0.1 0.0 -0.0 0.0 0.1 -0.1 0.5 0.6 0.6 0.6 0.1 0.7 0.4 OJ -0.1 -0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 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 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.0 0.8 0.3 -0.0 0.3 0.6 0.5 0.5 0.7 0.7 PALLAD 0.0 0.5 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 -0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.1 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 -0.3 -0.1 0.0 0.2 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.3 -0.1 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 0.1 0.0 0.1 0.0 0.1 0.7 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 -0.1 -0.2 0.0 -0.3 -0.3 -0.0 REDWHEAT 0.2 0.5 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.3 -0.1 -0.6 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 -0.1 -0.4 0.0 -0.7 0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -1.0 -0.5 0.3 0.4 -0.3 -0.7 -0.7 -0.7 -0.7 RICE -0.2 -0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.3 -0.2 0.5 -0.1 -0.0 -0.2 0.4 -0.0 0.3 -0.0 0.0 -0.1 0.2 -0.1 -2.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 1.1 -0.1 -0.5 -0.4 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 -0.1 0.0 0.4 0.4 0.4 0.4 0.1 0.1 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 -0.6 0.0 0.6 0.4 -0.0 0.7 0.2 RUSSELL 0.0 0.2 0.2 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.2 -0.0 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.3 0.1 -0.0 0.1 -0.1 0.2 -0.0 0.2 0.0 0.0 0.2 -0.0 0.2 0.6 0.0 -0.4 -0.5 -0.7 SHATZ -0.6 0.0 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 0.3 0.3 0.3 0.2 -0.6 -0.6 -0.2 -0.3 SILVER-mini 0.2 0.4 -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 0.2 0.2 0.2 0.2 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.4 0.3 0.2 0.2 -0.1 -0.1 0.3 SMI 0.1 -0.2 -0.2 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.3 0.0 0.6 0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 0.4 0.1 1.6 0.0 -0.1 0.2 0.0 0.4 0.0 0.5 0.3 0.2 -0.4 0.1 -0.1 0.1 -0.7 -0.2 SOFR -0.6 -0.6 0.5 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.2 0.3 -0.2 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.2 -0.2 -0.8 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.4 -0.3 -0.6 -0.5 -0.2 0.1 -0.4 0.7 0.4 SOYBEAN -0.4 0.2 -0.5 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.3 -0.5 -0.6 -0.2 -0.6 0.1 -0.4 0.3 -0.2 SOYMEAL -0.5 0.2 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.3 -0.1 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -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 0.0 0.0 0.3 0.0 0.0 -0.2 0.3 -0.1 SP400 0.2 0.4 0.2 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.4 0.0 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.4 0.1 -1.8 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.0 0.2 0.2 0.5 0.6 0.2 -0.2 -0.3 -0.7 SP500_micro 0.2 0.5 0.0 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.5 0.1 0.7 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 0.3 0.4 0.6 0.3 0.4 0.1 -0.3 -0.2 SUGAR11 -0.4 0.6 0.5 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 -0.1 -0.2 0.1 0.1 0.4 0.3 0.4 0.3 0.1 0.1 -0.0 0.0 0.1 -2.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 1.1 -0.0 -0.4 0.6 0.6 -0.6 0.2 -0.5 0.3 US10 -0.6 -0.6 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.3 -0.2 -0.5 -0.4 -0.2 0.0 -0.7 0.7 0.3 US10U -0.6 -0.6 0.5 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 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 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.6 -0.6 -0.4 0.0 -0.6 0.7 0.6 US2 -0.6 -0.5 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.4 -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 -0.0 -0.5 -0.2 0.1 -0.1 -0.7 0.2 -0.4 US20 -0.6 -0.6 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 -0.3 -0.4 -0.5 -0.3 0.1 -0.4 0.7 0.7 US30 -0.6 -0.5 0.3 -0.0 -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 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.3 -0.3 -0.5 -0.5 -0.0 -0.3 0.7 0.7 US5 -0.6 -0.6 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 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.1 -0.2 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.1 -0.5 -0.3 -0.1 0.1 -0.7 0.7 0.1 VIX 0.0 0.1 1.0 0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.1 -0.3 -0.1 -0.6 -0.0 -0.1 -0.1 -0.6 -0.2 -0.5 0.0 0.0 -0.0 -0.3 -0.0 NaN 0.0 0.0 0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN -1.0 -1.1 NaN NaN WHEAT -0.0 0.6 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.3 -0.2 -0.6 0.0 0.0 -0.2 -0.3 -0.3 -0.3 -0.0 -0.1 -0.1 -0.4 -0.0 0.5 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.1 0.3 -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 -19.2 -0.3 3.2 -1.3 -6.3 1.1 -7.6 1.3 -5.6 -15.0 7.5 -17.3 3.8 -13.0 2.5 -0.2 -1.9 -0.6 -1.2 -1.6 3.7 -17.5 2.8 -11.6 2.5 -0.6 -8.6 1.9 -8.3 1.6 -5.4 -0.0 -2.6 3.0 1.2 -2.6 7.3 -6.7 11.4 -1.4 BITCOIN 9.9 8.3 -9.4 5.1 5.6 1.6 6.7 -0.5 6.5 10.4 -2.5 15.3 9.8 18.8 8.5 -6.1 -6.7 -6.1 -6.4 9.1 3.4 15.5 9.9 17.5 -20.0 3.5 -0.6 1.8 6.9 7.6 7.6 -2.1 -2.1 5.4 -16.7 -6.4 2.8 -2.0 0.4 2.5 BOBL -19.2 -2.4 18.4 -0.5 -4.0 1.5 -3.6 1.3 -2.9 -7.9 4.8 -8.5 -1.0 -4.8 4.3 17.0 -7.4 5.3 -3.0 1.2 3.9 -5.7 1.3 -3.7 4.0 0.9 -3.4 2.4 -2.8 1.5 -1.6 -3.6 4.8 7.6 7.3 1.2 -20.0 -16.5 -0.3 -2.3 BTP -10.0 2.4 8.7 -0.9 -6.9 2.5 -6.2 2.2 -4.9 -8.8 15.0 -5.1 16.5 7.8 14.4 7.2 4.8 5.9 4.7 10.4 12.5 -1.0 11.8 5.1 -20.0 5.6 -4.1 6.5 -0.2 6.1 3.0 14.6 19.1 20.0 20.0 8.7 -20.0 -12.3 4.1 10.1 BUND -17.1 -4.1 13.6 -0.6 -4.7 1.7 -4.3 1.5 -3.3 -10.7 5.5 -10.8 1.6 -7.6 4.3 -20.0 -5.3 -15.4 -9.9 0.0 3.7 -9.0 1.9 -5.7 1.2 0.3 -6.8 2.5 -5.0 2.2 -2.9 -5.8 0.7 9.6 5.6 -2.1 -20.0 -17.3 -1.2 -1.3 BUXL -12.9 -5.7 9.5 -0.7 -5.3 2.0 -4.8 1.7 -3.8 -12.5 3.4 -12.5 0.8 -10.7 2.2 0.1 -1.6 -0.3 -1.2 -3.0 0.7 -12.7 -0.7 -8.3 -2.1 -1.4 -10.7 1.2 -7.6 1.4 -4.7 4.0 -4.6 12.8 2.0 -8.1 -20.0 -20.0 -5.2 -6.0 CAC -2.7 6.5 -10.6 4.3 -7.6 5.6 -1.6 7.6 2.6 -12.4 -7.1 -13.4 0.2 -4.2 2.0 -5.5 -3.2 -5.6 -4.5 -2.4 -5.2 -5.4 -2.0 -2.0 -6.9 -1.0 -6.7 -2.6 -3.2 0.3 -0.6 4.3 -3.2 -5.8 -9.0 -20.0 6.8 5.4 -5.3 -1.6 CAD -20.0 -8.7 4.7 -1.7 -8.2 1.4 -9.9 1.7 -7.4 -20.0 -6.3 -20.0 -14.7 -20.0 -10.4 -5.4 -3.9 -4.9 -4.5 -15.4 -6.2 -20.0 -6.4 -20.0 -0.8 -4.8 -6.9 -1.5 -10.4 -1.5 -9.7 -4.4 -11.5 -13.3 -16.3 -10.8 3.1 -8.2 -1.0 -4.6 CANOLA 14.0 10.5 -3.7 0.1 0.7 -1.6 0.1 -2.3 0.6 8.0 -2.2 6.2 -7.1 7.2 0.6 -13.8 -11.4 -13.4 -13.1 2.8 -2.7 8.2 -7.1 6.4 -15.5 2.3 4.7 -0.1 4.2 -2.4 3.7 -20.0 18.7 11.4 10.8 4.2 -5.2 -12.2 1.6 -7.9 CHF -20.0 -10.7 19.2 -1.2 -5.6 1.0 -6.8 1.2 -5.1 -15.1 6.4 -16.9 -1.0 -15.2 3.2 -14.6 -16.0 -14.8 -15.3 -4.7 5.0 -18.0 3.6 -17.2 4.6 -1.4 -3.9 2.2 -6.1 1.9 -5.7 -20.0 -1.6 -3.9 -11.9 13.4 -9.1 -12.2 -19.1 -12.4 COCOA 6.2 4.4 9.8 0.1 0.5 -1.3 0.0 -1.9 0.5 -5.8 1.6 0.4 3.5 2.8 3.0 20.0 20.0 20.0 20.0 4.2 5.9 -0.9 11.0 3.5 -20.0 2.0 -3.0 3.5 -0.4 7.2 1.4 20.0 2.2 3.3 3.9 8.1 20.0 16.9 20.0 20.0 COFFEE -15.4 -0.4 2.3 0.2 1.2 -3.0 0.1 -4.3 1.2 -11.0 13.5 -7.4 14.9 -0.1 6.6 2.2 5.3 3.1 4.2 7.0 14.3 -5.4 17.2 -0.7 -20.0 3.0 -3.4 6.8 -2.9 9.5 -0.7 4.7 6.6 -14.1 1.1 20.0 -7.4 -7.4 2.1 -0.9 COPPER -7.2 14.3 -8.9 2.6 2.8 0.8 3.4 -0.2 3.2 -8.9 -2.4 -9.7 -0.0 1.3 2.1 -4.1 -3.2 -3.6 -3.1 2.6 2.4 -6.0 3.5 -1.0 -14.4 2.0 -1.8 1.8 -1.6 1.9 0.5 4.0 -20.0 -6.9 2.6 -1.7 19.1 9.8 15.7 20.0 CORN -4.9 10.0 -11.3 0.2 1.6 -3.8 0.1 -5.5 1.5 -4.5 -15.5 -12.8 -20.0 -2.5 -8.4 -10.6 -14.9 -14.6 -16.2 -9.7 -19.8 -11.0 -20.0 -10.0 -12.4 -5.7 0.4 -8.5 -6.1 -11.6 -6.3 -20.0 -20.0 -16.2 -5.6 -20.0 4.0 -3.6 8.2 0.4 COTTON2 -4.0 17.2 4.3 0.2 1.3 -3.2 0.1 -4.7 1.3 10.0 -14.6 -3.3 -15.3 6.1 4.9 -13.8 -5.5 -12.0 -9.2 1.3 -7.2 0.8 -15.0 0.8 -20.0 1.0 5.0 -1.9 0.6 -3.3 0.3 -16.0 2.8 -8.2 4.0 5.4 -15.0 -12.5 -7.9 -7.5 CRUDE_W 9.2 0.1 -16.6 -1.2 0.3 -3.0 -0.3 -2.0 0.5 -5.6 -6.7 -2.0 -0.1 1.4 -6.3 4.5 11.4 8.4 10.3 -5.0 -7.0 -2.9 -3.1 -2.2 -1.4 -1.2 0.2 -3.5 -1.5 -2.1 -0.2 10.0 1.0 -8.3 3.5 2.9 -2.7 9.2 -2.1 14.0 DAX 7.1 13.7 0.3 4.8 -8.4 6.2 -1.8 8.4 2.9 -4.5 15.4 8.5 17.5 16.0 17.8 -8.4 -10.0 -8.5 -9.0 19.0 15.5 7.4 16.0 17.6 10.2 6.1 -2.8 5.2 2.4 6.4 5.9 -5.8 15.0 18.5 13.8 1.2 17.5 7.5 4.5 1.9 DOW 0.9 14.4 9.3 4.2 -7.4 5.4 -1.6 7.3 2.5 -11.3 16.4 4.9 17.1 14.6 17.0 -10.0 -10.6 -9.8 -10.1 20.0 20.0 3.5 19.1 15.3 -13.8 6.3 -4.0 6.5 1.0 6.5 4.5 -7.3 9.9 10.8 20.0 20.0 13.2 4.3 -7.5 -6.8 DX 20.0 13.7 -15.2 -1.5 -7.1 1.2 -8.6 1.5 -6.4 18.6 -4.9 20.0 4.1 19.7 0.8 6.1 6.6 6.0 6.3 12.8 -2.8 20.0 -3.1 20.0 -20.0 3.3 9.2 -0.9 9.8 -1.0 8.5 13.8 20.0 20.0 20.0 -20.0 0.9 8.4 0.3 11.6 EUR -20.0 -12.4 7.2 -1.6 -7.6 1.3 -9.2 1.6 -6.9 -20.0 1.9 -20.0 -3.1 -20.0 -7.3 -6.9 -7.0 -6.7 -6.8 -14.6 -0.6 -20.0 1.8 -20.0 20.0 -4.4 -9.3 0.4 -11.2 1.5 -9.8 -9.2 -20.0 -20.0 -20.0 3.3 -4.0 -20.0 -10.6 -20.0 EURIBOR-ICE -18.1 -1.8 20.0 -0.5 -3.4 1.3 -3.1 1.1 -2.5 -1.0 6.4 -2.0 5.4 0.7 6.4 5.5 -1.2 3.5 1.1 5.6 8.0 -0.3 6.1 1.4 11.3 2.3 -1.0 3.2 -0.1 2.5 0.6 6.3 13.0 11.2 12.8 8.6 -10.9 -18.1 6.8 4.8 EUROSTX -0.3 5.5 -9.5 4.1 -7.3 5.4 -1.6 7.3 2.5 -13.6 5.0 -11.1 11.7 4.3 7.7 -3.7 -3.2 -4.0 -4.0 3.2 2.9 -4.9 7.4 1.3 -2.5 1.8 -5.9 2.2 -3.0 6.2 0.7 4.4 -6.8 -0.9 -4.4 -14.3 5.7 1.9 -20.0 -8.6 FEEDCOW 20.0 20.0 -16.8 0.2 1.7 -4.1 0.1 -5.9 1.6 -7.1 -7.8 9.9 -13.3 18.9 0.7 20.0 -7.4 17.7 7.3 9.1 -10.6 8.3 -16.0 19.0 -10.1 2.2 -0.4 -2.8 2.0 -3.6 4.8 -4.8 -6.9 20.0 20.0 -20.0 11.1 20.0 20.0 20.0 GASOIL 13.7 2.1 -17.7 -1.0 0.3 -2.7 -0.3 -1.8 0.4 -3.9 -10.5 -5.9 -2.5 -0.8 -9.0 0.7 7.6 1.7 3.1 -6.8 -9.4 -3.3 -5.3 -3.5 3.5 -3.4 0.2 -4.6 -1.7 -2.9 -1.7 0.1 -3.8 -6.6 -8.9 -7.4 -2.1 -9.4 0.3 -14.8 GASOLINE 14.1 4.9 -14.4 -1.0 0.3 -2.7 -0.3 -1.8 0.4 -7.1 -6.3 -2.2 -0.1 2.8 -3.0 5.8 20.0 18.4 20.0 -1.7 -4.1 -2.4 -1.2 0.2 -19.7 1.2 -1.0 -0.8 -0.6 -0.1 1.7 20.0 2.5 -1.0 10.3 8.7 2.9 12.2 7.9 20.0 GAS_US_mini -11.4 7.2 1.8 -1.5 0.4 -3.8 -0.4 -2.5 0.6 -1.4 -17.8 -13.7 -20.0 -12.8 -16.2 -20.0 -20.0 -20.0 -20.0 -10.8 -12.8 -14.0 -20.0 -14.9 20.0 -4.6 1.0 -4.3 -6.7 -6.4 -7.1 -20.0 -9.0 -20.0 -3.8 -0.0 -10.7 -20.0 -4.9 -17.8 GBP -20.0 -5.2 6.3 -1.5 -7.3 1.2 -8.8 1.6 -6.6 -19.6 12.6 -20.0 13.8 -17.9 3.5 0.5 -0.3 0.4 0.0 0.2 11.0 -20.0 12.6 -14.6 -2.2 0.6 -8.4 5.3 -8.4 6.0 -5.7 2.4 -2.6 -6.0 1.8 15.1 5.0 -20.0 10.7 -20.0 GOLD_micro 0.1 15.9 17.9 4.6 5.1 1.5 6.1 -0.4 5.9 11.8 20.0 17.3 20.0 19.7 20.0 -14.1 -13.5 -13.3 -13.0 20.0 20.0 20.0 20.0 20.0 -15.1 7.7 5.2 7.3 7.3 7.0 7.5 -13.3 20.0 20.0 20.0 20.0 20.0 -0.2 13.7 5.5 HEATOIL 16.2 3.1 -14.5 -1.0 0.3 -2.6 -0.3 -1.7 0.4 -4.8 -10.6 -7.5 -6.3 -2.7 -8.7 -4.0 3.2 -4.9 -3.1 -5.9 -9.0 -3.4 -6.6 -3.0 -17.6 -1.3 0.4 -3.7 -1.0 -3.1 -0.0 -9.1 -2.5 -1.4 2.7 -1.0 -6.0 3.7 -4.8 4.9 JGB-SGX-mini -20.0 0.8 17.5 -0.5 -3.8 1.4 -3.4 1.2 -2.7 -8.9 4.6 -9.7 3.0 -8.2 4.2 10.9 15.9 12.3 14.0 0.1 3.7 -7.9 2.8 -6.2 -10.4 -0.2 -2.8 1.1 -3.4 0.3 -2.7 20.0 -3.0 0.6 2.4 -0.3 -15.8 -7.6 -17.5 -1.4 JPY -20.0 -12.2 20.0 -0.6 -2.8 0.5 -3.4 0.6 -2.5 -7.6 1.8 -8.4 -3.2 -8.2 0.7 -10.3 -14.2 -11.2 -12.4 -4.5 0.1 -11.9 -2.6 -10.9 20.0 -1.0 -3.3 0.2 -3.3 -0.7 -2.9 -20.0 -4.0 -6.5 -6.9 8.7 -20.0 -20.0 -20.0 -20.0 LEANHOG 11.2 20.0 12.8 0.2 1.8 -4.3 0.1 -6.3 1.7 20.0 -0.2 20.0 -4.1 20.0 20.0 -1.1 20.0 20.0 20.0 20.0 9.5 20.0 -7.0 20.0 3.6 7.5 9.5 3.1 9.2 -1.0 9.1 20.0 20.0 20.0 20.0 20.0 -0.6 -5.2 4.6 1.2 LIVECOW 12.8 20.0 3.3 0.2 1.9 -4.5 0.1 -6.5 1.8 14.6 18.9 17.6 14.1 20.0 20.0 1.6 8.5 4.8 8.2 20.0 20.0 15.1 16.5 20.0 -20.0 6.7 4.2 4.9 4.5 4.9 6.9 11.7 10.0 20.0 20.0 16.9 -4.0 20.0 4.2 20.0 LUMBER-new 7.3 9.3 5.7 0.2 1.3 -3.2 0.1 -4.4 1.3 -10.1 -9.1 5.7 -11.1 13.0 13.7 -19.1 -18.1 -18.6 -18.2 5.1 -3.2 0.8 -10.8 6.0 NaN 4.0 -3.0 -0.8 0.2 -5.6 3.7 -20.0 -2.0 6.4 6.1 18.2 4.5 0.7 9.7 4.8 MILK -19.7 -2.7 17.6 0.1 1.0 -2.4 0.1 -3.4 1.0 -10.0 11.2 -7.9 8.8 -5.6 6.0 20.0 -2.7 20.0 13.3 5.7 12.9 -6.9 10.0 -2.6 13.7 2.1 -4.7 5.0 -2.9 3.6 -1.2 3.1 2.2 -11.8 0.7 19.4 -1.7 -20.0 5.1 -20.0 MXP 2.0 2.9 -20.0 -0.9 -4.4 0.7 -5.3 0.9 -4.0 -8.9 -10.7 -10.4 -7.8 -4.0 -9.1 11.4 13.4 11.0 11.6 -9.2 -12.8 -9.4 -8.5 -7.5 -20.0 -3.9 -2.5 -5.3 -4.2 -3.4 -3.3 20.0 -3.2 10.4 -0.8 -19.7 13.6 15.8 19.2 20.0 NASDAQ_micro 6.4 12.3 -4.1 3.3 -5.9 4.3 -1.3 5.8 2.0 -7.4 6.8 3.9 10.4 11.9 6.9 -8.6 -9.6 -8.3 -8.8 9.8 9.9 2.5 14.1 8.8 -20.0 4.2 -3.3 4.9 0.7 7.1 3.3 -5.3 -0.6 3.1 10.4 -4.2 6.0 3.8 -9.6 -2.6 NIKKEI 7.1 7.2 -17.4 1.9 -3.4 2.5 -0.7 3.4 1.2 -7.4 2.9 -2.0 3.8 4.5 3.3 1.3 7.6 3.4 5.5 2.6 1.7 -3.4 3.5 1.9 -6.4 -0.3 -4.0 -0.8 -1.6 1.3 0.2 20.0 -6.5 2.0 -0.7 -13.5 16.3 4.5 16.7 4.8 NZD -20.0 -4.1 4.6 -0.9 -4.5 0.8 -5.4 1.0 -4.0 -11.3 2.9 -13.1 1.9 -11.3 0.5 -0.6 -0.0 -0.3 -0.2 -3.8 1.2 -14.4 1.2 -11.6 0.6 -1.2 -5.2 0.7 -5.6 0.7 -4.3 2.5 0.4 -3.9 -1.9 -4.2 3.0 -7.9 4.5 -1.7 OAT -11.3 -2.9 10.8 -0.6 -4.7 1.7 -4.3 1.5 -3.4 -9.7 2.4 -8.9 -0.8 -8.0 4.4 7.8 4.7 5.9 4.6 -0.6 1.2 -5.8 -0.4 -3.8 3.6 0.0 -5.6 1.4 -3.4 1.0 -2.1 14.3 6.4 14.3 5.7 -3.3 -11.6 -13.9 7.1 4.5 OATIES -4.6 20.0 15.1 0.2 1.5 -3.5 0.1 -5.1 1.4 5.7 0.7 -0.7 -13.2 14.2 14.4 3.6 2.8 3.9 3.9 20.0 11.3 1.8 -3.9 12.8 -20.0 5.0 0.1 2.9 0.3 -0.2 3.0 2.1 -2.6 14.0 20.0 20.0 19.2 2.7 20.0 12.6 OJ -3.2 -0.3 1.2 0.2 1.2 -3.0 0.1 -4.4 1.2 8.2 14.8 7.4 16.0 7.1 11.1 10.6 12.0 11.1 10.8 11.6 18.1 4.6 20.0 6.7 -20.0 4.9 2.3 8.2 1.8 13.6 2.7 15.6 11.0 -1.2 8.5 20.0 14.2 13.6 20.0 20.0 PALLAD 0.1 15.4 16.3 2.2 2.4 0.7 2.9 -0.2 2.8 4.6 3.2 5.3 -5.0 4.2 5.1 -2.1 -2.0 -2.0 -1.9 5.2 2.7 4.5 -3.2 4.9 16.0 2.6 1.4 1.4 2.1 -1.0 2.4 5.9 -10.5 -3.0 0.6 5.8 -11.6 -20.0 -20.0 -20.0 PLAT 3.7 10.7 -2.4 3.1 3.4 1.0 4.1 -0.3 4.0 9.5 -3.4 10.7 -2.8 11.2 4.1 -4.1 -4.4 -4.3 -4.5 4.9 1.9 11.3 0.2 8.4 5.5 2.9 6.2 0.7 6.1 -0.2 4.7 1.6 5.5 2.9 -3.4 -4.7 1.4 -7.7 -10.2 -0.9 REDWHEAT 5.6 16.4 -1.5 0.2 1.5 -3.6 0.1 -5.3 1.5 -13.3 -12.9 -8.9 -17.6 4.8 4.1 -10.8 -7.2 -10.6 -9.5 1.0 -6.9 -6.8 -16.5 0.2 -5.2 0.3 -3.5 -3.4 -3.8 -7.0 -0.1 -18.0 -19.1 7.9 11.0 -7.7 -20.0 -20.0 -20.0 -20.0 RICE -6.4 -0.4 -3.8 0.2 1.6 -3.9 0.1 -5.7 1.6 -9.1 11.4 -14.6 13.9 -8.9 -0.3 -10.1 20.0 -1.8 15.3 -3.6 0.6 -6.3 8.4 -6.2 -15.4 -3.4 -1.6 -0.3 -4.5 3.0 -5.1 20.0 -4.8 -14.5 -11.5 2.5 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -4.6 1.2 0.1 0.7 -1.7 0.1 -2.4 0.7 -8.0 7.7 -9.0 8.9 -4.7 4.1 19.8 20.0 20.0 20.0 4.9 13.7 -12.7 17.6 -6.1 -20.0 1.2 -3.5 4.2 -3.5 6.7 -1.8 20.0 -10.5 -19.4 0.7 20.0 12.3 -1.3 20.0 5.0 RUSSELL 1.4 6.4 5.4 3.9 -6.8 5.0 -1.5 6.8 2.3 -7.9 9.2 -0.2 12.6 9.4 9.2 -6.2 -6.3 -5.9 -6.0 8.8 9.5 -1.3 9.6 6.5 -0.2 5.1 -6.5 6.3 -0.5 6.4 3.1 0.0 9.4 -0.7 7.4 19.5 0.2 -13.4 -14.9 -20.0 SHATZ -19.6 0.4 20.0 -0.4 -3.2 1.2 -2.9 1.0 -2.3 1.4 4.8 -3.7 -0.4 -1.0 4.9 -20.0 -20.0 -20.0 -20.0 3.8 5.3 -0.3 1.0 -0.1 6.1 1.7 0.4 2.4 -0.1 1.0 0.0 -20.0 10.9 8.2 10.3 6.0 -18.7 -16.6 -5.1 -7.7 SILVER-mini 5.5 13.3 -2.9 3.1 3.4 1.0 4.1 -0.3 4.0 8.4 10.5 10.7 9.5 12.4 11.7 -6.3 -6.4 -6.3 -6.2 12.7 9.7 20.0 8.8 17.1 1.8 4.2 6.7 2.9 7.1 2.6 5.7 -1.6 20.0 13.8 9.5 6.9 6.5 -2.0 -3.3 9.9 SMI 4.3 -4.8 -7.5 4.5 -8.0 5.9 -1.7 8.0 2.7 -7.6 11.8 4.4 15.7 0.4 7.5 0.8 0.2 -0.4 -0.7 4.2 8.0 2.1 13.8 5.4 11.8 4.4 -6.1 8.2 1.2 11.7 3.5 10.2 12.7 6.1 -13.5 4.4 -3.4 1.8 -20.0 -5.7 SOFR -20.0 -20.0 16.0 -0.8 -5.7 2.1 -5.1 1.8 -4.0 -13.5 7.7 -14.7 7.9 -14.2 0.1 2.3 0.2 1.9 1.0 -7.9 5.4 -20.0 6.7 -20.0 -6.3 -2.8 -6.7 0.7 -6.6 1.8 -6.0 7.5 -12.1 -17.1 -15.6 -6.2 4.3 -12.7 20.0 13.5 SOYBEAN -12.6 6.4 -16.7 0.1 1.1 -2.6 0.1 -3.8 1.1 -5.3 -10.8 -11.3 -12.3 -7.3 -8.5 -2.1 0.7 -4.0 -3.4 -11.1 -16.7 -13.3 -20.0 -12.4 -20.0 -4.3 -1.1 -5.5 -4.9 -6.0 -4.9 -6.4 -20.0 -20.0 -5.8 -20.0 2.8 -11.3 9.6 -6.6 SOYMEAL -15.8 7.7 -2.1 0.1 0.9 -2.1 0.1 -3.1 0.9 -7.3 -7.3 -11.1 -9.8 -7.5 -3.3 -0.9 2.6 -1.6 -0.5 -4.6 -6.3 -8.3 -9.3 -7.4 -20.0 -2.1 -2.2 -2.5 -3.6 -3.0 -3.1 -2.1 -7.6 -8.2 -1.9 -6.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 3.8 13.7 -0.3 0.1 0.7 -1.6 0.1 -2.4 0.7 4.1 -4.2 -1.5 -8.0 3.3 -2.3 -1.2 1.0 0.3 0.5 1.3 -2.7 1.6 -6.6 1.9 -18.8 1.1 2.4 -0.7 0.7 -2.3 1.1 -2.8 1.1 0.4 8.1 0.5 1.0 -7.5 10.2 -2.2 SP400 5.3 11.5 5.0 4.4 -7.8 5.8 -1.7 7.8 2.7 -11.4 13.9 2.4 16.5 14.6 15.1 -7.4 -6.2 -6.7 -6.3 14.4 13.3 0.1 14.1 11.9 -13.5 6.2 -6.9 6.6 -0.2 7.0 4.3 -0.0 8.3 5.0 14.5 19.4 7.1 -6.2 -10.0 -20.0 SP500_micro 6.3 16.1 0.6 4.5 -7.9 5.8 -1.7 7.9 2.7 -8.8 18.1 9.9 18.8 17.4 18.5 -10.8 -11.6 -10.5 -11.0 20.0 20.0 7.8 20.0 18.2 -20.0 6.7 -3.0 7.4 2.1 9.2 5.4 -8.9 11.0 11.5 20.0 10.4 10.7 3.6 -9.1 -4.5 SUGAR11 -10.9 20.0 15.9 0.1 1.1 -2.7 0.1 -3.9 1.1 -3.4 5.1 -10.3 -6.4 7.4 9.3 20.0 13.8 20.0 17.2 13.4 8.6 -3.7 0.2 5.3 -20.0 3.3 -0.0 2.1 -1.0 -0.1 1.2 20.0 -1.1 -11.2 20.0 19.5 -17.6 6.9 -15.7 10.2 US10 -20.0 -19.0 16.9 -0.6 -4.2 1.5 -3.8 1.3 -3.0 -10.1 4.7 -11.0 3.7 -10.5 -1.1 -5.6 -7.2 -6.4 -6.7 -6.9 2.3 -18.2 2.3 -16.5 1.7 -2.2 -4.3 0.4 -4.7 1.0 -4.4 -5.3 -8.8 -14.9 -12.0 -5.6 0.3 -20.0 20.0 8.2 US10U -20.0 -17.3 15.5 -0.8 -6.1 2.2 -5.5 1.9 -4.3 -14.6 6.2 -15.8 4.0 -15.3 -2.1 -4.7 -3.5 -4.5 -4.2 -9.9 2.5 -20.0 2.2 -20.0 -1.3 -3.4 -6.3 0.2 -7.0 1.1 -6.5 -0.2 -13.9 -18.4 -17.2 -11.1 1.0 -18.8 20.0 18.9 US2 -20.0 -14.8 20.0 -0.4 -3.2 1.2 -2.9 1.0 -2.3 -7.5 3.3 -8.3 1.2 -7.6 0.5 -20.0 -20.0 -20.0 -20.0 -4.0 2.6 -12.4 0.8 -11.7 11.6 -1.0 -2.6 0.8 -3.0 0.8 -2.9 -20.0 -1.7 -14.0 -5.2 3.0 -1.6 -20.0 5.7 -10.7 US20 -20.0 -18.5 12.3 -0.6 -4.4 1.6 -4.0 1.4 -3.2 -10.8 3.9 -11.7 4.4 -11.4 -2.7 -2.5 -1.3 -2.1 -1.6 -8.1 1.2 -19.6 1.8 -17.5 -3.2 -2.7 -4.7 0.0 -5.2 1.0 -4.9 4.3 -13.0 -13.3 -14.3 -10.5 1.7 -11.3 20.0 20.0 US30 -20.0 -16.4 10.4 -0.7 -5.0 1.8 -4.5 1.6 -3.6 -12.1 3.1 -12.9 2.4 -12.7 -4.1 -2.1 -4.8 -3.9 -4.4 -8.9 -0.0 -19.6 0.1 -17.9 -2.2 -3.2 -5.0 -0.3 -5.7 0.7 -5.5 -1.4 -12.5 -10.7 -14.4 -14.0 -1.2 -10.0 20.0 20.0 US5 -20.0 -19.1 19.9 -0.5 -4.0 1.5 -3.7 1.3 -2.9 -9.6 4.5 -10.6 2.6 -10.1 -0.6 -7.8 -10.4 -9.4 -10.0 -6.4 2.5 -17.1 2.1 -15.8 5.5 -1.9 -3.9 0.5 -4.3 1.0 -4.1 -11.0 -6.2 -15.9 -10.4 -2.6 2.6 -20.0 20.0 2.3 VIX 0.8 1.9 20.0 1.7 0.2 1.5 -1.5 -2.7 -0.4 -4.5 -7.2 -6.8 -10.2 -0.4 -6.8 -2.7 -20.0 -6.8 -16.7 1.8 0.7 -3.0 -6.4 -0.8 NaN 1.8 0.3 1.6 -1.7 -3.3 -0.6 NaN NaN NaN NaN NaN -18.5 -20.0 NaN NaN WHEAT -0.5 17.4 -3.5 0.2 1.5 -3.5 0.1 -5.1 1.4 -14.2 -11.2 -15.0 -15.4 3.8 3.4 -10.8 -14.4 -13.0 -14.1 -0.1 -6.7 -12.2 -15.4 -3.7 4.0 -0.8 -5.5 -3.2 -6.8 -5.7 -2.7 -20.0 -20.0 -4.5 9.0 -9.3 -20.0 -17.8 -20.0 -15.7 End of report for caleb_strategy_v3