******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241028_203910 produced at 2024-10-28 21:37:19.077057 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.92 0.0 0.00 0.00 0.00 0.00 -10.82 11.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.16 0.0 0.74 -0.74 -0.08 -0.08 -6.22 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -2.01 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.10 0.0 0.53 -0.53 -0.03 -0.03 -2.96 16.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.05 -0.09 0.0 999.00 -999.00 -0.05 -0.05 -13.77 999999999.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.09 0.0 0.67 -0.67 -0.15 -0.15 -1.68 13.0 -3 -3 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.08 0.0 0.53 -0.53 -0.05 -0.05 -9.34 60.0 -6 -6 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.08 0.0 0.67 -0.67 -0.14 -0.14 -1.77 14.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -8.83 12.0 -7 -7 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.06 0.0 0.07 -0.07 -0.04 -0.04 -21.56 26.0 -16 -16 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.06 0.0 0.95 -0.95 -0.04 -0.04 -1.45 25.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.38 24.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.67 -0.67 0.00 0.00 -0.98 17.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.04 0.0 0.49 -0.49 -0.03 -0.03 -1.40 17.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.04 0.0 0.14 -0.14 -0.05 -0.05 -3.08 11.0 -4 -4 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -4.21 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -1.31 21.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.84 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.94 3.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -1.50 7.0 -3 -3 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.00 12.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.52 -0.52 0.00 0.00 -0.82 13.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.86 9.0 -2 -2 caleb_strategy_v3 US20 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.38 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.92 8.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.44 -0.44 0.00 -0.02 -1.03 19.0 0 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -2.06 9.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -1.02 4.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -5.07 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 -0.35 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.01 0.0 0.27 -0.27 -0.13 -0.13 -0.30 6.0 -3 -3 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.01 0.0 0.63 -0.63 -0.03 -0.03 -0.39 22.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.14 4.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -3.29 59.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.02 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.09 6.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.07 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 0.44 18.0 2 2 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.27 3.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.06 20.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.15 999999999.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 0.00 0.0 0.33 -0.33 0.00 0.00 0.25 23.0 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 COCOA False False 0.02 0.02 0.01 0.0 0.60 -0.60 0.02 0.02 0.52 26.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.19 -0.19 0.02 0.02 0.55 10.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.09 -0.09 0.00 0.00 0.32 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 1.72 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 0.55 5.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.27 -0.27 0.00 0.00 4.11 68.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.03 0.02 0.0 999.00 -999.00 0.03 0.03 0.82 999999999.0 1 1 caleb_strategy_v3 SP400 False False 0.11 0.22 0.02 0.0 0.22 -0.22 0.22 0.22 0.15 2.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 2.37 66.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.15 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 2.90 48.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.03 0.0 0.35 -0.35 0.13 0.13 0.80 8.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.14 0.05 0.0 0.48 -0.48 0.14 0.14 0.94 10.0 3 3 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.05 0.0 0.32 -0.32 0.04 0.04 5.20 36.0 4 4 caleb_strategy_v3 BTP False False 0.05 0.00 0.05 0.0 0.46 -0.46 0.00 0.00 1.06 10.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.58 999999999.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.48 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.03 0.09 0.0 0.55 -0.55 0.03 0.03 9.41 56.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.10 0.12 0.0 0.15 -0.15 0.10 0.10 10.41 13.0 8 8 caleb_strategy_v3 DAX False False 0.01 0.07 0.12 0.0 0.44 -0.44 0.07 0.07 15.60 58.0 9 9 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.12 0.0 0.46 -0.46 0.03 0.03 4.54 17.0 1 1 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.92 0.0 0.94 -0.94 0.00 0.00 9.80 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.1 Shocked risk 23.9 Sum abs risk 35.3 Leverage 4.36 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2822287.63, 'annual_cash_vol_target': 705571.9075, 'daily_cash_vol_target': 44098.24421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6587 0.5907 9.4505 BITCOIN 1570.9228 70295.0000 2.2348 35.7561 BOBL 0.2550 119.1000 0.2141 3.4260 BTP 0.5611 121.1400 0.4632 7.4115 BUND 0.4973 133.1100 0.3736 5.9774 BUXL 1.2591 132.5400 0.9500 15.2002 CAC 61.7571 7590.5000 0.8136 13.0178 CAD 0.0024 0.7210 0.3352 5.3629 CANOLA 8.2111 639.9000 1.2832 20.5310 CHF 0.0047 1.1625 0.4083 6.5322 COCOA 144.1546 6468.0000 2.2287 35.6598 COFFEE 4.5380 251.8000 1.8022 28.8355 COPPER 0.0533 4.3680 1.2212 19.5396 CORN 4.1945 439.0000 0.9555 15.2873 COTTON2 0.9349 72.5800 1.2880 20.6087 CRUDE_W 1.2551 65.8100 1.9072 30.5146 DAX 127.9300 19637.0000 0.6515 10.4236 DOW 258.9297 42609.0000 0.6077 9.7230 DX 0.3559 104.1450 0.3418 5.4683 EUR 0.0042 1.0840 0.3896 6.2344 EURIBOR-ICE 0.0454 97.9650 0.0463 0.7411 EUROSTX 41.3623 4990.0000 0.8289 13.2625 FEEDCOW 1.5661 245.4250 0.6381 10.2102 GASOIL 12.2480 646.2500 1.8952 30.3239 GASOLINE 0.0432 1.9182 2.2514 36.0232 GAS_US_mini 0.0930 3.1100 2.9909 47.8541 GBP 0.0061 1.2973 0.4679 7.4861 GOLD_micro 17.1067 2755.2000 0.6209 9.9342 HEATOIL 0.0441 2.1674 2.0329 32.5269 JGB-SGX-mini 0.2287 143.7600 0.1591 2.5454 JPY 0.0000 0.0066 0.7378 11.8052 LEANHOG 0.9451 84.0500 1.1244 17.9904 LIVECOW 0.9910 190.0000 0.5216 8.3451 LUMBER-new 6.9681 558.5000 1.2476 19.9624 MILK 0.2628 20.0000 1.3138 21.0200 MXP 0.0004 0.0495 0.8026 12.8424 NASDAQ_micro 153.9411 20500.0000 0.7509 12.0149 NIKKEI 515.3901 38620.0000 1.3345 21.3523 NZD 0.0039 0.5983 0.6464 10.3425 OAT 0.5112 125.9000 0.4060 6.4962 OATIES 5.1369 378.5000 1.3572 21.7146 OJ 7.5626 491.4000 1.5390 24.6240 PALLAD 29.3523 1225.0000 2.3961 38.3377 PLAT 14.7243 1044.9000 1.4092 22.5466 REDWHEAT 9.6191 575.5000 1.6714 26.7431 RICE 0.1227 15.0350 0.8162 13.0585 ROBUSTA 82.2008 4499.0000 1.8271 29.2334 RUSSELL 22.1294 2258.1000 0.9800 15.6800 SHATZ 0.0870 106.9100 0.0814 1.3027 SILVER-mini 0.5491 33.9500 1.6174 25.8789 SMI 75.2348 12277.0000 0.6128 9.8050 SOFR 0.0558 96.3700 0.0579 0.9264 SOYBEAN 9.8187 1022.7500 0.9600 15.3604 SOYMEAL 4.0271 307.6000 1.3092 20.9472 SOYOIL 0.7515 42.9000 1.7517 28.0270 SP400 23.2248 3158.5000 0.7353 11.7650 SP500_micro 32.9607 5864.2500 0.5621 8.9930 SUGAR11 0.3062 20.3500 1.5048 24.0761 US10 0.3634 110.7344 0.3281 5.2503 US10U 0.4905 113.8750 0.4307 6.8920 US2 0.1049 103.0586 0.1018 1.6293 US20 0.7359 117.7188 0.6252 10.0025 US30 1.1179 124.6562 0.8968 14.3488 US5 0.2398 107.4688 0.2231 3.5695 VIX 0.5788 18.5500 3.1202 49.9236 WHEAT 8.3363 623.2500 1.3376 21.4009 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.70 0.59 389.06 1.00 389.06 44098.24 113.34 -3.50 -39.72 BITCOIN 70.30 2.23 157.09 1.00 157.09 44098.24 280.72 -1.08 -30.37 BOBL 1191.00 0.21 255.02 1.08 275.96 44098.24 159.80 0.48 7.70 BTP 1211.40 0.46 561.14 1.08 607.21 44098.24 72.62 4.28 31.06 BUND 1331.10 0.37 497.29 1.08 538.11 44098.24 81.95 -4.23 -34.69 BUXL 1325.40 0.95 1259.15 1.08 1362.53 44098.24 32.37 -4.18 -13.52 CAC 759.05 0.81 617.57 1.08 668.27 44098.24 65.99 -4.46 -29.41 CAD 721.00 0.34 241.66 1.00 241.66 44098.24 182.48 -13.14 -239.78 CANOLA 127.98 1.28 164.22 0.72 118.56 44098.24 371.95 -5.61 -208.51 CHF 1453.12 0.41 593.26 1.00 593.26 44098.24 74.33 -8.71 -64.71 COCOA 646.80 2.23 1441.55 1.00 1441.55 44098.24 30.59 8.01 24.50 COFFEE 944.25 1.80 1701.74 1.00 1701.74 44098.24 25.91 -3.02 -7.83 COPPER 1092.00 1.22 1333.57 1.00 1333.57 44098.24 33.07 -2.34 -7.75 CORN 219.50 0.96 209.72 1.00 209.72 44098.24 210.27 -17.25 -362.76 COTTON2 362.90 1.29 467.43 1.00 467.43 44098.24 94.34 -15.25 -143.90 CRUDE_W 658.10 1.91 1255.11 1.00 1255.11 44098.24 35.14 0.05 0.17 DAX 196.37 0.65 127.93 1.08 138.43 44098.24 318.55 14.36 457.35 DOW 213.04 0.61 129.46 1.00 129.46 44098.24 340.62 3.00 102.03 DX 1041.45 0.34 355.93 1.00 355.93 44098.24 123.89 4.90 60.75 EUR 1355.00 0.39 527.98 1.00 527.98 44098.24 83.52 -8.15 -68.06 EURIBOR-ICE 2449.12 0.05 113.44 1.08 122.75 44098.24 359.25 8.00 287.35 EUROSTX 499.00 0.83 413.62 1.08 447.58 44098.24 98.53 -0.19 -1.83 FEEDCOW 1227.12 0.64 783.07 1.00 783.07 44098.24 56.31 4.29 24.15 GASOIL 646.25 1.90 1224.80 1.00 1224.80 44098.24 36.00 -6.57 -23.64 GASOLINE 805.64 2.25 1813.87 1.00 1813.87 44098.24 24.31 1.43 3.48 GAS_US_mini 77.75 2.99 232.54 1.00 232.54 44098.24 189.64 -10.50 -199.12 GBP 810.81 0.47 379.36 1.00 379.36 44098.24 116.24 -1.29 -15.05 GOLD_micro 275.52 0.62 171.07 1.00 171.07 44098.24 257.78 10.70 275.78 HEATOIL 910.31 2.03 1850.59 1.00 1850.59 44098.24 23.83 -9.09 -21.65 JGB-SGX-mini 143760.00 0.16 22870.00 0.01 150.75 44098.24 292.53 -0.93 -27.30 JPY 821.06 0.74 605.80 1.00 605.80 44098.24 72.79 -7.39 -53.77 LEANHOG 336.20 1.12 378.02 1.00 378.02 44098.24 116.65 14.69 171.32 LIVECOW 760.00 0.52 396.39 1.00 396.39 44098.24 111.25 12.32 137.01 LUMBER-new 153.59 1.25 191.62 1.00 191.62 44098.24 230.13 -0.54 -12.48 MILK 400.00 1.31 525.50 1.00 525.50 44098.24 83.92 3.05 25.63 MXP 247.55 0.80 198.70 1.00 198.70 44098.24 221.94 -2.87 -63.63 NASDAQ_micro 410.00 0.75 307.88 1.00 307.88 44098.24 143.23 0.75 10.80 NIKKEI 38620.00 1.33 51539.01 0.01 339.72 44098.24 129.81 3.70 48.06 NZD 598.30 0.65 386.75 1.00 386.75 44098.24 114.02 -4.44 -50.67 OAT 1259.00 0.41 511.17 1.08 553.14 44098.24 79.72 3.45 27.47 OATIES 189.25 1.36 256.84 1.00 256.84 44098.24 171.69 4.12 70.70 OJ 737.10 1.54 1134.39 1.00 1134.39 44098.24 38.87 13.83 53.75 PALLAD 1225.00 2.40 2935.23 1.00 2935.23 44098.24 15.02 6.20 9.31 PLAT 522.45 1.41 736.22 1.00 736.22 44098.24 59.90 2.68 16.05 REDWHEAT 287.75 1.67 480.96 1.00 480.96 44098.24 91.69 -15.76 -144.54 RICE 300.70 0.82 245.42 1.00 245.42 44098.24 179.69 -9.64 -173.20 ROBUSTA 449.90 1.83 822.01 1.00 822.01 44098.24 53.65 1.15 6.17 RUSSELL 112.90 0.98 110.65 1.00 110.65 44098.24 398.55 3.11 124.02 SHATZ 1069.10 0.08 87.04 1.08 94.19 44098.24 468.19 -2.92 -136.53 SILVER-mini 848.75 1.62 1372.80 1.00 1372.80 44098.24 32.12 7.52 24.16 SMI 1227.70 0.61 752.35 1.16 869.30 44098.24 50.73 8.57 43.49 SOFR 2409.25 0.06 139.50 1.00 139.50 44098.24 316.12 -5.63 -178.02 SOYBEAN 511.38 0.96 490.93 1.00 490.93 44098.24 89.83 -17.96 -161.37 SOYMEAL 307.60 1.31 402.71 1.00 402.71 44098.24 109.50 -18.28 -200.18 SOYOIL 257.40 1.75 450.88 1.00 450.88 44098.24 97.80 -4.28 -41.83 SP400 3158.50 0.74 2322.48 1.00 2322.48 44098.24 18.99 2.32 4.40 SP500_micro 293.21 0.56 164.80 1.00 164.80 44098.24 267.58 4.66 124.76 SUGAR11 227.92 1.50 342.96 1.00 342.96 44098.24 128.58 1.62 20.81 US10 1107.34 0.33 363.37 1.00 363.37 44098.24 121.36 -6.36 -77.13 US10U 1138.75 0.43 490.52 1.00 490.52 44098.24 89.90 -7.20 -64.72 US2 2061.17 0.10 209.90 1.00 209.90 44098.24 210.10 -7.56 -158.73 US20 1177.19 0.63 735.92 1.00 735.92 44098.24 59.92 -4.96 -29.69 US30 1246.56 0.90 1117.92 1.00 1117.92 44098.24 39.45 -6.01 -23.70 US5 1074.69 0.22 239.75 1.00 239.75 44098.24 183.93 -6.24 -114.77 VIX 185.50 3.12 578.80 1.00 578.80 44098.24 76.19 -7.32 -55.79 WHEAT 311.62 1.34 416.82 1.00 416.82 44098.24 105.80 -14.66 -155.09 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -39.718 0.010 2.5 -1.031 BITCOIN -30.367 0.043 2.5 -3.288 BOBL 7.698 0.004 2.5 0.078 BTP 31.062 0.014 2.5 1.059 BUND -34.692 0.004 2.5 -0.352 BUXL -13.524 0.004 2.5 -0.137 CAC -29.409 0.014 2.5 -1.003 CAD -239.783 0.010 2.5 -6.221 CANOLA -208.511 0.010 2.5 -5.073 CHF -64.712 0.010 2.5 -1.679 COCOA 24.496 0.009 2.5 0.525 COFFEE -7.826 0.005 2.5 -0.091 COPPER -7.751 0.043 2.5 -0.839 CORN -362.763 0.010 2.5 -8.825 COTTON2 -143.903 0.009 2.5 -3.082 CRUDE_W 0.165 0.043 2.5 0.018 DAX 457.347 0.014 2.5 15.599 DOW 102.031 0.009 2.5 2.371 DX 60.755 0.010 2.5 1.576 EUR -68.064 0.010 2.5 -1.766 EURIBOR-ICE 287.353 0.014 2.5 9.801 EUROSTX -1.829 0.014 2.5 -0.062 FEEDCOW 24.154 0.013 2.5 0.800 GASOIL -23.641 0.017 2.5 -1.025 GASOLINE 3.478 0.017 2.5 0.151 GAS_US_mini -199.116 0.043 2.5 -21.562 GBP -15.050 0.010 2.5 -0.390 GOLD_micro 275.779 0.014 2.5 9.406 HEATOIL -21.651 0.017 2.5 -0.939 JGB-SGX-mini -27.304 0.043 2.5 -2.957 JPY -53.770 0.010 2.5 -1.395 LEANHOG 171.318 0.024 2.5 10.412 LIVECOW 137.013 0.013 2.5 4.540 LUMBER-new -12.481 0.009 2.5 -0.267 MILK 25.633 0.009 2.5 0.549 MXP -63.631 0.059 2.5 -9.339 NASDAQ_micro 10.797 0.009 2.5 0.251 NIKKEI 48.058 0.043 2.5 5.204 NZD -50.674 0.010 2.5 -1.315 OAT 27.473 0.014 2.5 0.937 OATIES 70.702 0.010 2.5 1.720 OJ 53.754 0.009 2.5 1.151 PALLAD 9.310 0.014 2.5 0.318 PLAT 16.051 0.014 2.5 0.547 REDWHEAT -144.540 0.005 2.5 -1.917 RICE -173.202 0.010 2.5 -4.214 ROBUSTA 6.171 0.005 2.5 0.072 RUSSELL 124.018 0.013 2.5 4.110 SHATZ -136.532 0.004 2.5 -1.384 SILVER-mini 24.160 0.014 2.5 0.824 SMI 43.486 0.014 2.5 1.483 SOFR -178.021 0.024 2.5 -10.819 SOYBEAN -161.365 0.004 2.5 -1.501 SOYMEAL -200.178 0.004 2.5 -1.862 SOYOIL -41.832 0.004 2.5 -0.389 SP400 4.401 0.013 2.5 0.146 SP500_micro 124.764 0.009 2.5 2.900 SUGAR11 20.814 0.009 2.5 0.443 US10 -77.131 0.005 2.5 -0.977 US10U -64.723 0.005 2.5 -0.820 US2 -158.730 0.005 2.5 -2.011 US20 -29.694 0.005 2.5 -0.376 US30 -23.699 0.005 2.5 -0.300 US5 -114.774 0.005 2.5 -1.454 VIX -55.794 0.099 2.5 -13.772 WHEAT -155.087 0.005 2.5 -2.057 ===================== Position diags ===================== AUD 2.94 BITCOIN 30.40 BOBL 1.62 BTP 2.48 BUND 0.83 BUXL 0.33 CAC 2.25 CAD 4.73 CANOLA 9.05 CHF 1.93 COCOA 0.66 COFFEE 0.30 COPPER 3.58 CORN 5.12 COTTON2 2.02 CRUDE_W 3.80 DAX 10.87 DOW 7.92 DX 3.21 EUR 2.17 EURIBOR-ICE 12.25 EUROSTX 3.36 FEEDCOW 1.87 GASOIL 1.56 GASOLINE 1.05 GAS_US_mini 20.54 GBP 3.02 GOLD_micro 8.79 HEATOIL 1.03 JGB-SGX-mini 31.68 JPY 1.89 LEANHOG 7.09 LIVECOW 3.69 LUMBER-new 4.93 MILK 1.80 MXP 32.57 NASDAQ_micro 3.33 NIKKEI 14.06 NZD 2.96 OAT 2.72 OATIES 4.18 OJ 0.83 PALLAD 0.51 PLAT 2.04 REDWHEAT 1.22 RICE 4.37 ROBUSTA 0.63 RUSSELL 13.21 SHATZ 4.75 SILVER-mini 1.10 SMI 1.73 SOFR 19.21 SOYBEAN 0.84 SOYMEAL 1.02 SOYOIL 0.91 SP400 0.63 SP500_micro 6.22 SUGAR11 2.73 US10 1.54 US10U 1.14 US2 2.66 US20 0.76 US30 0.50 US5 2.33 VIX 18.81 WHEAT 1.40 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.0 -1.3 -0.7 0.0 0 BITCOIN -3.3 -6.3 -0.2 0.0 0 BOBL 0.1 -0.1 0.2 0.0 0 BTP 1.1 0.8 1.3 0.0 0 BUND -0.4 -0.4 -0.3 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.0 -1.2 -0.8 0.0 0 CAD -6.2 -6.7 -5.7 -3.0 -3 CANOLA -5.1 -6.0 -4.2 -2.0 -2 CHF -1.7 -1.9 -1.5 -3.0 -3 COCOA 0.5 0.5 0.6 1.0 1 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -0.8 -1.2 -0.5 0.0 0 CORN -8.8 -9.3 -8.3 -7.0 -7 COTTON2 -3.1 -3.3 -2.9 -4.0 -4 CRUDE_W 0.0 -0.4 0.4 0.0 0 DAX 15.6 14.5 16.7 9.0 9 DOW 2.4 1.6 3.2 0.0 0 DX 1.6 1.3 1.9 0.0 0 EUR -1.8 -2.0 -1.5 -3.0 -3 EURIBOR-ICE 9.8 8.6 11.0 0.0 0 EUROSTX -0.1 -0.4 0.3 0.0 0 FEEDCOW 0.8 0.6 1.0 3.0 3 GASOIL -1.0 -1.2 -0.9 -1.0 -1 GASOLINE 0.2 0.0 0.3 0.0 0 GAS_US_mini -21.6 -23.6 -19.5 -16.0 -16 GBP -0.4 -0.7 -0.1 -1.0 -1 GOLD_micro 9.4 8.5 10.3 3.0 3 HEATOIL -0.9 -1.0 -0.8 -1.0 -1 JGB-SGX-mini -3.0 -6.1 0.2 -1.0 -1 JPY -1.4 -1.6 -1.2 -1.0 -1 LEANHOG 10.4 9.7 11.1 8.0 8 LIVECOW 4.5 4.2 4.9 1.0 1 LUMBER-new -0.3 -0.8 0.2 -2.0 -2 MILK 0.5 0.4 0.7 1.0 1 MXP -9.3 -12.6 -6.1 -6.0 -6 NASDAQ_micro 0.3 -0.1 0.6 0.0 0 NIKKEI 5.2 3.8 6.6 4.0 4 NZD -1.3 -1.6 -1.0 0.0 0 OAT 0.9 0.7 1.2 3.0 3 OATIES 1.7 1.3 2.1 NaN 0 OJ 1.2 1.1 1.2 1.0 1 PALLAD 0.3 0.3 0.4 0.0 0 PLAT 0.5 0.3 0.8 1.0 1 REDWHEAT -1.9 -2.0 -1.8 0.0 0 RICE -4.2 -4.7 -3.8 NaN 0 ROBUSTA 0.1 0.0 0.1 0.0 0 RUSSELL 4.1 2.8 5.4 0.0 0 SHATZ -1.4 -1.9 -0.9 NaN 0 SILVER-mini 0.8 0.7 0.9 1.0 1 SMI 1.5 1.3 1.7 0.0 0 SOFR -10.8 -12.7 -8.9 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -3.0 -3 SOYMEAL -1.9 -2.0 -1.8 -2.0 -2 SOYOIL -0.4 -0.5 -0.3 0.0 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 2.9 2.3 3.5 0.0 0 SUGAR11 0.4 0.2 0.7 2.0 2 US10 -1.0 -1.1 -0.8 0.0 0 US10U -0.8 -0.9 -0.7 0.0 0 US2 -2.0 -2.3 -1.7 NaN 0 US20 -0.4 -0.5 -0.3 0.0 0 US30 -0.3 -0.4 -0.3 -3.0 -3 US5 -1.5 -1.7 -1.2 -1.0 -1 VIX -13.8 -15.7 -11.9 -7.0 -7 WHEAT -2.1 -2.2 -1.9 -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 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 0.2 -0.2 0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.2 0.3 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.2 -0.1 -0.1 0.2 -0.2 0.3 -0.1 BITCOIN 0.4 0.4 -0.3 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 -0.0 0.2 0.4 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.3 0.2 -2.7 0.0 0.1 0.1 0.1 0.3 0.1 -0.1 -0.1 0.0 -0.5 -0.2 0.1 -0.1 0.0 0.1 BOBL -0.5 -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 0.3 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 0.2 0.3 0.1 -0.7 -0.5 0.0 -0.1 BTP -0.3 0.0 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 0.4 -0.0 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.3 0.0 -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 0.2 0.4 BUND -0.5 -0.2 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.4 -0.1 -0.3 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.3 0.1 0.3 0.2 -0.0 -0.7 -0.6 -0.0 -0.0 BUXL -0.4 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 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 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.4 0.1 -0.2 -0.7 -0.7 -0.2 -0.2 CAC -0.1 0.2 -0.3 0.0 0.0 0.2 -0.0 0.3 0.0 -0.0 -0.2 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -1.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.2 0.1 -0.3 -0.3 -0.6 0.2 0.2 -0.2 -0.1 CAD -0.6 -0.4 0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.3 -0.2 -0.6 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.6 -0.4 0.1 -0.3 -0.1 -0.2 CANOLA 0.4 0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 -0.0 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 -2.2 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 0.5 0.5 0.4 0.2 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.4 0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.1 0.0 -0.1 0.1 -0.2 0.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -1.1 0.1 -0.1 -0.4 0.5 -0.3 -0.4 -0.7 -0.4 COCOA 0.2 0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.3 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.2 -0.0 0.1 0.3 0.7 0.6 0.7 0.7 COFFEE -0.4 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 0.4 -0.1 0.5 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 0.3 -0.2 -0.6 0.0 0.6 -0.3 -0.2 0.0 -0.0 COPPER -0.4 0.5 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.1 -0.0 -2.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.5 -0.6 -0.0 -0.2 0.6 0.3 0.5 0.7 CORN -0.3 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.4 -0.1 -0.7 -0.1 -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 -0.2 -0.5 -0.3 -0.6 0.2 -0.1 0.3 0.0 COTTON2 -0.2 0.5 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.4 -0.1 -0.6 0.0 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 -0.1 -0.1 -0.1 -0.0 -0.9 -0.0 -0.4 0.1 0.2 -0.5 -0.4 -0.3 -0.3 CRUDE_W 0.2 0.1 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.1 0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.5 -0.0 -0.2 0.1 0.1 -0.1 0.3 -0.1 0.5 DAX 0.3 0.5 0.1 0.0 0.0 0.2 -0.0 0.3 0.0 -0.0 0.4 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 1.4 0.1 0.0 0.2 0.0 0.3 0.1 -0.3 0.4 0.4 0.5 0.1 0.6 0.3 0.2 0.1 DOW -0.1 0.4 0.3 0.0 0.0 0.1 -0.0 0.3 0.0 -0.1 0.4 -0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -1.8 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 -0.3 0.1 0.6 0.6 0.4 0.2 -0.3 -0.2 DX 0.6 0.6 -0.4 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 -0.1 0.2 -2.7 0.0 0.0 -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 -0.5 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -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 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.5 -0.1 -0.6 -0.6 0.1 -0.2 -0.7 -0.4 -0.7 EURIBOR-ICE -0.4 -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 0.4 0.3 0.4 0.4 0.3 -0.3 -0.6 0.2 0.2 EUROSTX -0.0 0.2 -0.3 0.0 0.0 0.2 -0.0 0.3 0.0 0.0 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 -0.4 0.0 0.0 0.1 -0.0 0.2 0.0 0.2 -0.1 -0.1 -0.1 -0.4 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 0.2 -0.5 0.2 0.0 0.4 -0.1 0.3 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 -0.2 -0.0 0.6 0.6 -0.6 0.4 0.7 0.7 0.7 GASOIL 0.2 0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.3 0.0 -0.5 GASOLINE 0.2 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 0.0 -0.0 0.1 0.4 0.3 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -2.6 0.0 -0.1 -0.0 -0.0 -0.0 0.0 1.1 -0.1 0.0 0.3 0.3 0.1 0.4 0.2 0.7 GAS_US_mini -0.4 0.3 0.2 -0.0 -0.1 -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 -0.1 2.7 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -1.1 0.3 -0.6 -0.0 0.1 -0.4 -0.7 -0.2 -0.6 GBP -0.6 -0.2 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.3 -0.2 0.5 -0.2 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.3 -0.2 -0.3 -0.0 -0.0 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 0.1 0.6 0.6 0.1 0.1 0.1 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 -2.1 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 0.3 0.2 -0.4 -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 -0.0 -0.2 -0.0 -2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.0 -0.1 0.1 -0.0 -0.2 0.1 -0.1 0.2 JGB-SGX-mini -0.6 -0.1 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.2 0.3 -0.0 0.0 -0.0 0.1 -0.0 -1.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.1 0.2 0.1 0.0 -0.6 -0.3 -0.6 -0.1 JPY -0.6 -0.6 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 -0.1 -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 -0.2 0.4 0.4 0.4 0.2 0.1 0.2 -0.2 0.2 0.4 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 0.1 0.0 LIVECOW 0.3 0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.2 0.5 0.2 0.5 0.2 0.2 -0.0 0.2 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.6 0.5 0.6 0.6 0.6 -0.1 0.7 0.1 0.7 LUMBER-new 0.2 0.4 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 -0.5 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.4 0.1 NaN 0.1 0.1 -0.0 0.0 -0.2 0.1 -1.2 0.2 0.4 0.3 0.7 0.2 0.0 0.4 0.2 MILK -0.6 -0.2 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 -0.1 0.0 0.4 -0.0 0.4 0.3 0.0 0.1 -0.1 0.3 -0.1 1.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.1 -0.5 -0.2 0.6 -0.1 -0.7 0.1 -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 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.2 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 1.1 -0.2 0.5 0.1 -0.6 0.5 0.6 0.7 0.7 NASDAQ_micro 0.2 0.5 -0.0 0.0 0.0 0.1 -0.0 0.2 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -0.2 -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 0.1 0.3 0.5 -0.2 0.2 0.1 -0.3 -0.1 NIKKEI 0.1 0.3 -0.5 0.0 0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.0 0.0 -0.0 0.1 0.0 -0.9 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.1 -0.1 0.0 -0.0 -0.5 0.6 0.2 0.6 0.2 NZD -0.6 -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.3 -0.2 -0.2 0.1 -0.3 0.2 -0.1 OAT -0.3 -0.2 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.2 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 0.8 0.2 0.5 0.2 -0.1 -0.4 -0.5 0.3 0.2 OATIES -0.3 0.6 0.5 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 -0.0 -0.5 0.1 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 0.4 0.0 0.6 0.6 0.7 0.1 0.7 0.4 OJ 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 0.4 0.2 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.5 0.1 0.9 0.5 0.6 0.4 0.6 0.5 0.4 0.7 0.7 PALLAD 0.3 0.5 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.2 -0.1 0.1 2.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.3 0.4 0.3 0.1 0.2 -0.4 -0.7 -0.7 -0.7 PLAT 0.2 0.4 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.0 0.1 0.8 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.1 -0.2 0.1 -0.3 -0.3 -0.0 REDWHEAT -0.1 0.5 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 -0.4 -0.2 -0.6 -0.0 0.0 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 -0.1 -0.4 -0.1 -0.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.0 -0.5 -0.0 0.1 -0.2 -0.7 -0.7 -0.7 -0.7 RICE -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 0.3 -0.2 0.5 -0.2 -0.0 -0.2 0.4 -0.0 0.3 -0.1 -0.0 -0.1 0.2 -0.1 -2.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 1.1 -0.3 -0.4 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.2 -0.1 0.3 -0.1 0.0 0.3 0.4 0.4 0.4 0.0 0.1 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 -0.6 -0.1 0.6 0.4 -0.0 0.7 0.2 RUSSELL 0.0 0.2 0.1 0.0 0.0 0.1 -0.0 0.3 0.0 -0.0 0.3 -0.0 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.3 0.0 -0.0 0.1 0.0 0.2 -0.0 0.3 0.0 0.0 0.2 0.1 0.3 0.6 -0.0 -0.5 -0.5 -0.7 SHATZ -0.4 -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 0.4 0.2 -0.6 -0.5 -0.1 -0.2 SILVER-mini 0.1 0.5 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 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 0.2 0.2 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.3 0.3 0.3 0.2 0.2 -0.1 -0.1 0.3 SMI 0.2 -0.1 -0.2 0.0 0.0 0.2 -0.0 0.3 0.0 -0.0 0.3 0.1 0.6 0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 0.4 0.1 1.6 0.1 0.0 0.2 0.0 0.5 0.0 0.6 0.3 0.2 -0.4 0.2 -0.1 0.1 -0.7 -0.2 SOFR -0.6 -0.6 0.4 -0.0 -0.0 0.0 -0.0 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 0.0 -0.2 0.2 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.4 -0.5 -0.6 -0.6 -0.3 0.1 -0.4 0.7 0.5 SOYBEAN -0.5 0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.3 -0.3 -0.6 -0.3 -0.6 0.1 -0.4 0.3 -0.2 SOYMEAL -0.6 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.6 -0.1 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.0 0.5 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 0.0 -2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 0.1 0.2 -0.0 0.1 -0.2 0.3 -0.1 SP400 0.1 0.4 0.1 0.0 0.0 0.2 -0.0 0.3 0.0 -0.1 0.4 -0.0 0.6 0.1 0.2 -0.2 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.4 0.1 -1.8 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.0 -0.1 0.1 0.5 0.6 0.2 -0.2 -0.4 -0.7 SP500_micro 0.2 0.6 0.1 0.0 0.0 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 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.4 0.0 -0.5 0.1 0.4 0.6 0.4 0.4 0.1 -0.3 -0.2 SUGAR11 -0.5 0.6 0.5 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 0.2 -0.1 -0.2 0.1 0.1 0.4 0.3 0.4 0.4 0.1 0.1 -0.0 0.0 0.0 -2.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 1.1 -0.1 -0.3 0.6 0.6 -0.6 0.2 -0.6 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 0.0 -0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.3 -0.3 -0.5 -0.5 -0.2 -0.0 -0.7 0.7 0.3 US10U -0.6 -0.6 0.4 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.4 -0.6 -0.6 -0.4 0.0 -0.6 0.7 0.6 US2 -0.6 -0.6 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 0.0 -0.1 0.0 -0.2 1.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.2 -0.4 -0.2 0.1 -0.1 -0.7 0.2 -0.3 US20 -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 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=================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -20.0 -2.2 3.4 -2.3 -5.3 0.4 -7.1 1.1 -6.2 -17.4 5.7 -18.9 3.4 -16.4 -1.0 -0.3 -1.8 -0.6 -1.2 -5.4 2.1 -20.0 2.3 -16.7 2.6 -2.1 -9.7 1.0 -9.7 1.3 -7.0 -0.0 -12.9 -6.9 -2.0 -4.6 6.0 -6.8 9.8 -1.7 BITCOIN 13.2 11.1 -9.7 5.8 6.4 2.2 7.5 -0.1 7.4 13.9 -0.9 19.5 10.4 20.0 11.9 -6.2 -6.8 -6.2 -6.4 11.7 5.1 19.3 10.4 19.6 -20.0 4.6 8.9 2.5 8.8 7.5 8.5 -2.1 -5.9 0.2 -16.0 -4.7 3.6 -1.9 1.2 2.7 BOBL -15.9 -4.8 17.8 -0.9 -2.2 1.1 -3.0 1.2 -2.9 -4.1 4.7 -7.9 -0.9 -5.5 3.7 17.3 -6.6 6.9 -1.6 0.8 3.5 -3.1 1.2 -3.1 3.9 0.7 -0.8 2.3 -1.6 1.6 -1.5 -1.7 8.4 7.5 8.3 2.3 -19.6 -16.0 0.5 -1.8 BTP -8.8 0.6 8.2 -1.6 -3.7 1.9 -5.1 1.9 -4.9 -6.5 14.3 -3.8 16.0 7.3 13.4 7.3 4.9 6.0 4.9 9.5 11.9 0.7 11.5 4.5 -20.0 5.4 -0.5 6.6 0.4 6.3 2.7 14.8 19.0 20.0 20.0 9.7 -20.0 -12.2 5.0 10.7 BUND -15.4 -6.7 12.6 -1.1 -2.6 1.3 -3.5 1.3 -3.4 -5.0 5.0 -9.2 1.5 -8.1 3.2 -20.0 -5.7 -15.9 -10.4 -0.7 3.0 -5.4 1.7 -5.1 1.1 -0.1 -1.9 2.3 -3.1 2.2 -2.8 -6.5 5.6 9.6 6.6 -0.9 -20.0 -17.4 -0.6 -0.8 BUXL -12.5 -8.0 8.8 -1.2 -2.9 1.5 -3.9 1.5 -3.8 -4.4 2.6 -9.2 0.6 -9.3 0.5 0.1 -1.6 -0.3 -1.1 -3.4 0.1 -6.7 -0.9 -7.0 -2.0 -1.7 -1.8 0.8 -4.1 1.2 -4.1 4.2 3.0 13.8 3.6 -6.6 -20.0 -20.0 -5.2 -6.1 CAC -2.0 7.6 -9.5 4.2 0.3 6.0 -0.9 8.4 1.8 -2.2 -7.5 -8.6 -0.0 -5.3 2.1 -5.5 -3.2 -5.6 -4.5 -2.9 -5.6 -2.3 -2.2 -2.2 -7.2 -1.2 2.6 -2.8 -1.2 0.2 -0.8 4.4 5.0 -10.2 -9.3 -19.2 6.3 5.5 -5.9 -2.0 CAD -20.0 -11.8 4.5 -3.0 -6.9 0.6 -9.2 1.4 -8.0 -20.0 -9.4 -20.0 -15.8 -20.0 -14.9 -5.8 -4.0 -5.1 -4.6 -20.0 -9.2 -20.0 -7.7 -20.0 -0.7 -5.8 -8.1 -2.3 -10.5 -1.8 -10.2 -4.7 -2.0 -15.6 -20.0 -12.9 1.8 -8.2 -2.1 -4.8 CANOLA 11.2 15.5 -3.3 -0.0 -1.0 -1.7 -0.6 -2.6 0.3 4.8 -1.5 6.6 -7.2 8.2 1.8 -14.9 -11.6 -13.9 -13.4 4.4 -1.7 8.2 -6.7 8.2 -16.2 2.6 1.2 0.4 3.3 -2.0 3.7 -20.0 20.0 15.1 11.3 6.0 -4.7 -12.2 1.7 -7.8 CHF -20.0 -13.3 18.1 -2.2 -5.1 0.4 -6.8 1.0 -5.9 -9.5 6.0 -17.6 -1.4 -17.4 1.6 -15.1 -16.0 -15.0 -15.4 -7.1 3.9 -14.3 3.5 -18.0 5.1 -2.1 -1.3 1.8 -4.7 1.9 -5.9 -20.0 5.4 -2.8 -11.0 15.3 -10.0 -12.6 -20.0 -12.6 COCOA 5.6 4.0 10.3 -0.0 -0.8 -1.3 -0.4 -2.0 0.3 -4.2 1.2 -1.5 3.6 1.4 2.5 20.0 20.0 20.0 20.0 3.3 5.8 -2.9 11.2 1.1 -20.0 1.7 -1.2 3.6 -1.2 7.6 0.5 20.0 -7.3 -0.6 2.9 8.2 20.0 17.9 20.0 20.0 COFFEE -13.5 -3.3 0.8 -0.0 -1.9 -3.2 -1.0 -4.8 0.6 -1.6 13.3 -7.8 15.1 -2.1 5.3 2.1 5.3 3.0 4.0 5.3 13.6 -5.5 17.4 -2.7 -20.0 2.3 -0.1 6.8 -3.0 10.0 -1.7 4.7 -7.4 -19.4 1.5 20.0 -8.1 -7.3 1.2 -0.8 COPPER -11.7 14.2 -7.7 3.1 3.4 1.2 4.0 -0.1 3.9 0.8 -2.9 -10.4 -0.1 0.8 2.2 -4.3 -3.2 -3.7 -3.1 2.1 2.5 -4.1 3.9 -1.4 -15.5 2.0 -0.4 2.1 -1.1 2.2 0.4 3.9 -20.0 -20.0 -0.4 -4.7 18.3 10.0 14.8 20.0 CORN -8.2 9.6 -12.1 -0.0 -2.4 -4.0 -1.3 -5.9 0.8 0.5 -16.0 -11.8 -20.0 -6.5 -7.2 -10.2 -14.8 -14.0 -15.8 -10.2 -20.0 -8.1 -20.0 -9.0 -12.4 -6.0 -2.9 -9.0 -4.6 -12.2 -5.7 -20.0 -6.6 -16.9 -7.9 -18.0 4.6 -3.4 8.9 0.6 COTTON2 -7.0 15.3 5.1 -0.0 -2.1 -3.4 -1.1 -5.1 0.7 -14.0 -15.0 -12.0 -15.8 3.6 4.3 -14.4 -5.8 -12.5 -9.5 -0.2 -7.6 -7.0 -15.4 -2.4 -20.0 0.0 -7.7 -2.2 -4.8 -3.5 -1.9 -16.4 -1.8 -11.1 1.7 5.4 -15.9 -12.7 -9.0 -7.9 CRUDE_W 5.0 3.4 -15.2 -1.4 -5.8 -3.1 -2.3 -2.1 -0.4 -7.7 -6.9 -7.0 -0.8 0.8 -6.5 3.8 11.1 7.6 9.8 -4.9 -6.5 -5.6 -3.0 -3.2 -1.4 -1.6 -8.3 -3.6 -3.8 -2.2 -1.3 9.7 -0.5 -5.3 3.4 2.6 -3.1 8.8 -2.7 13.5 DAX 7.7 16.1 1.9 4.6 0.4 6.6 -1.0 9.2 2.0 -3.6 16.4 9.2 18.4 16.4 18.7 -8.6 -10.0 -8.5 -9.1 20.0 17.5 8.3 18.0 17.1 10.3 6.4 1.8 5.8 2.8 7.0 5.7 -5.7 14.8 12.4 13.9 3.6 19.0 7.9 5.8 2.0 DOW -4.4 11.9 8.9 3.8 0.3 5.5 -0.8 7.7 1.7 -10.3 15.4 -6.4 16.8 10.2 15.1 -10.2 -10.7 -9.9 -10.2 16.1 18.6 -7.5 18.7 6.5 -13.7 5.5 -4.3 6.6 -2.4 7.0 2.1 -7.2 -13.6 4.6 18.6 20.0 12.9 4.6 -8.7 -7.2 DX 20.0 17.8 -13.7 -2.6 -5.9 0.5 -7.9 1.2 -6.9 15.9 -2.5 20.0 4.8 20.0 5.8 6.3 6.6 6.1 6.3 16.7 0.2 20.0 -2.0 20.0 -20.0 4.2 4.8 -0.1 8.0 -0.6 8.4 13.8 20.0 20.0 20.0 -20.0 1.3 8.6 0.9 11.9 EUR -20.0 -14.6 6.1 -2.8 -6.3 0.5 -8.5 1.3 -7.4 -11.1 -0.6 -20.0 -3.7 -20.0 -11.1 -7.2 -7.1 -6.9 -6.9 -16.8 -2.9 -20.0 0.8 -20.0 20.0 -5.0 -2.7 -0.4 -7.5 1.1 -8.9 -9.3 -5.4 -18.1 -20.0 1.8 -4.6 -19.7 -11.0 -20.0 EURIBOR-ICE -12.0 -3.4 20.0 -0.8 -2.0 1.0 -2.7 1.0 -2.6 -0.7 6.6 -1.0 5.6 0.9 6.4 5.8 -1.0 3.8 1.4 5.5 7.9 1.3 6.3 1.9 11.2 2.3 0.8 3.3 0.5 2.8 0.8 6.8 13.3 11.6 13.7 9.7 -9.4 -17.4 7.5 5.2 EUROSTX -0.7 7.1 -8.1 4.0 0.3 5.8 -0.9 8.1 1.8 4.2 5.3 -8.4 12.4 4.6 8.2 -3.8 -3.2 -4.1 -4.0 3.3 3.2 -0.3 8.1 1.7 -2.7 1.9 2.8 2.4 -0.1 6.9 1.1 4.5 -2.2 -4.6 -4.4 -13.5 6.2 2.1 -20.0 -8.9 FEEDCOW 18.8 20.0 -15.9 -0.0 -2.6 -4.3 -1.4 -6.4 0.8 14.1 -7.0 14.5 -13.1 20.0 2.4 17.7 -7.0 16.9 7.4 11.0 -9.0 13.5 -15.9 20.0 -10.4 2.7 4.2 -2.4 3.7 -3.6 5.1 -4.1 -0.8 20.0 20.0 -19.8 12.0 20.0 20.0 20.0 GASOIL 4.8 2.0 -17.2 -1.2 -5.0 -2.7 -2.0 -1.8 -0.3 -12.5 -10.6 -10.9 -3.2 -2.7 -9.4 0.2 7.3 1.5 2.9 -7.7 -9.7 -8.1 -5.7 -5.8 3.4 -3.7 -4.9 -4.8 -3.6 -3.1 -2.7 0.1 -13.7 -8.3 -9.2 -8.4 -1.4 -9.0 0.9 -14.2 GASOLINE 6.5 7.8 -13.8 -1.2 -5.1 -2.7 -2.0 -1.9 -0.3 -7.1 -6.4 -6.1 -0.5 1.3 -3.2 3.8 20.0 16.4 20.0 -2.1 -3.7 -5.4 -1.2 -1.6 -19.4 0.8 -6.8 -0.8 -2.8 -0.1 0.4 20.0 -2.6 0.3 9.2 8.4 2.4 11.7 7.0 19.7 GAS_US_mini -13.0 8.1 5.6 -1.8 -7.4 -4.0 -2.9 -2.7 -0.5 0.0 -18.0 -10.5 -20.0 -11.0 -14.4 -20.0 -20.0 -20.0 -20.0 -9.8 -12.0 -7.5 -20.0 -10.6 20.0 -4.7 -3.5 -4.6 -4.1 -6.8 -5.7 -20.0 13.0 -20.0 -1.3 2.5 -10.8 -20.0 -5.4 -17.7 GBP -20.0 -6.9 5.3 -2.7 -6.2 0.5 -8.3 1.3 -7.2 -7.3 11.6 -18.7 13.6 -18.7 1.0 0.4 -0.3 0.3 0.0 -2.2 9.7 -14.8 12.4 -14.8 -2.2 -0.4 -2.4 4.8 -6.1 6.1 -5.9 2.4 6.1 -5.6 2.3 14.4 4.7 -20.0 11.7 -20.0 GOLD_micro 2.2 20.0 20.0 5.2 5.7 2.0 6.7 -0.1 6.6 16.6 20.0 19.2 20.0 20.0 20.0 -14.2 -13.5 -13.5 -13.1 20.0 20.0 20.0 20.0 20.0 -15.5 7.9 4.5 7.4 6.7 7.0 7.7 -13.5 20.0 17.2 20.0 20.0 20.0 0.1 14.1 5.8 HEATOIL 7.7 6.2 -13.2 -1.2 -5.0 -2.7 -2.0 -1.9 -0.3 -6.6 -10.7 -9.5 -6.8 -3.8 -9.0 -3.5 3.1 -4.6 -3.0 -5.8 -8.6 -5.4 -6.5 -3.8 -17.5 -1.5 -5.3 -3.9 -2.5 -3.3 -0.8 -8.8 -0.4 -2.1 2.3 -1.4 -4.9 3.7 -3.4 5.3 JGB-SGX-mini -18.9 -1.8 16.8 -0.9 -2.2 1.1 -2.9 1.1 -2.8 -2.5 4.5 -7.6 3.1 -7.7 3.8 10.9 15.9 12.3 14.0 -0.2 3.2 -3.7 2.6 -4.5 -10.6 -0.3 -1.1 1.0 -1.7 0.3 -2.1 20.0 3.4 5.7 3.1 0.8 -17.1 -8.0 -18.9 -2.2 JPY -20.0 -18.6 20.0 -1.0 -2.4 0.2 -3.2 0.5 -2.8 -7.3 1.0 -8.4 -3.4 -8.6 -0.5 -10.4 -14.1 -11.2 -12.4 -6.4 -1.1 -12.3 -3.1 -12.4 20.0 -1.4 -2.7 -0.1 -3.3 -0.8 -3.2 -20.0 -4.5 -7.5 -6.7 9.2 -20.0 -20.0 -20.0 -20.0 LEANHOG 11.2 20.0 13.1 -0.0 -2.8 -4.6 -1.5 -6.8 0.9 20.0 1.1 20.0 -3.2 20.0 20.0 -11.3 19.8 20.0 20.0 20.0 12.4 20.0 -5.7 20.0 3.3 8.0 8.5 3.6 9.2 -0.5 9.5 20.0 20.0 20.0 20.0 20.0 -0.5 -5.2 4.4 1.0 LIVECOW 10.5 20.0 3.7 -0.0 -2.8 -4.7 -1.5 -7.1 0.9 20.0 20.0 20.0 15.1 20.0 20.0 -1.0 8.1 3.5 7.3 20.0 20.0 20.0 18.4 20.0 -20.0 7.3 6.7 5.4 7.2 5.1 8.1 10.8 20.0 20.0 20.0 17.1 -4.4 20.0 3.4 20.0 LUMBER-new 6.0 10.7 5.6 -0.0 -2.1 -3.5 -1.1 -5.0 0.7 13.5 -9.3 11.4 -11.5 15.4 15.7 -20.0 -18.3 -19.3 -18.6 6.0 -2.8 4.9 -11.4 7.1 NaN 4.5 4.9 -0.5 3.2 -5.8 4.5 -20.0 6.3 10.1 8.3 20.0 5.3 1.1 10.7 5.5 MILK -20.0 -5.2 16.6 -0.0 -1.5 -2.4 -0.8 -3.7 0.5 -12.1 10.6 -12.1 8.7 -9.6 4.3 20.0 -2.4 20.0 13.1 2.8 11.9 -13.5 10.1 -7.7 13.6 0.8 -6.0 4.3 -5.4 3.4 -3.1 3.6 -5.6 -16.5 -5.8 18.0 -2.3 -20.0 4.1 -20.0 MXP -3.1 1.4 -20.0 -1.7 -3.8 0.3 -5.1 0.8 -4.5 -11.9 -11.5 -11.9 -8.5 -5.6 -10.2 11.7 13.4 11.1 11.6 -10.4 -13.9 -9.2 -9.5 -8.6 -20.0 -4.4 -3.7 -5.7 -4.2 -3.7 -3.8 20.0 -9.9 16.7 3.5 -20.0 14.1 16.7 20.0 20.0 NASDAQ_micro 7.5 15.1 -0.4 3.2 0.3 4.6 -0.7 6.4 1.4 6.0 7.5 7.0 10.9 12.8 7.8 -9.1 -9.6 -8.5 -8.9 11.2 11.6 5.5 16.0 9.9 -20.0 4.5 1.5 5.3 1.8 7.7 3.5 -5.2 5.0 8.0 14.5 -4.7 6.6 3.8 -9.5 -3.1 NIKKEI 3.7 8.4 -15.9 1.9 0.2 2.8 -0.4 3.8 0.8 -3.8 3.0 -3.6 4.0 3.7 3.4 1.3 7.4 3.2 5.3 2.1 1.7 -2.9 3.7 0.6 -6.7 -0.6 -0.6 -0.9 -1.3 1.4 -0.3 20.0 -3.5 0.0 -0.2 -15.3 17.6 5.0 18.2 5.6 NZD -20.0 -6.9 5.1 -1.7 -3.9 0.3 -5.2 0.8 -4.5 -12.1 1.5 -14.0 1.5 -13.1 -1.6 -0.7 -0.1 -0.4 -0.2 -6.4 -0.1 -15.9 0.8 -14.4 0.7 -2.1 -4.7 0.2 -5.9 0.5 -5.1 2.4 -4.9 -10.1 -4.7 -4.9 2.4 -8.3 4.6 -1.9 OAT -9.8 -5.7 10.6 -1.1 -2.6 1.3 -3.5 1.3 -3.4 -5.6 2.4 -8.3 -0.8 -8.2 3.4 7.9 4.8 6.1 4.8 -1.0 0.8 -3.3 -0.5 -3.4 3.5 -0.3 -1.1 1.2 -2.1 1.0 -2.0 14.6 9.7 15.7 6.6 -2.3 -10.5 -13.8 8.0 5.1 OATIES -9.1 20.0 16.4 -0.0 -2.3 -3.8 -1.2 -5.7 0.7 1.9 1.3 -4.1 -13.4 12.3 15.2 3.5 2.8 3.9 3.9 20.0 12.4 0.8 -3.4 11.0 -20.0 5.0 0.0 3.3 0.1 -0.1 2.6 2.3 14.7 0.1 20.0 20.0 19.8 2.9 20.0 12.9 OJ 2.5 1.8 2.7 -0.0 -2.0 -3.4 -1.1 -5.0 0.7 14.2 16.5 14.9 17.4 12.1 13.8 11.9 12.1 11.6 11.1 15.2 20.0 16.2 20.0 13.1 -20.0 5.9 8.3 8.6 6.8 13.8 5.2 16.0 20.0 17.5 12.3 20.0 14.6 13.3 20.0 20.0 PALLAD 7.9 15.0 20.0 2.4 2.6 0.9 3.1 -0.1 3.0 9.1 4.3 8.9 -4.2 7.2 6.6 -2.2 -2.1 -2.0 -2.0 7.6 3.7 17.8 -2.0 11.5 15.6 2.9 8.1 1.4 6.2 -0.4 4.1 5.9 15.8 10.2 3.1 5.1 -11.3 -20.0 -20.0 -20.0 PLAT 5.8 11.8 -0.8 3.7 4.0 1.4 4.7 -0.1 4.7 12.9 -2.5 13.7 -2.3 13.5 7.1 -4.1 -4.4 -4.3 -4.5 7.2 3.1 13.3 0.7 11.5 5.7 3.7 5.7 1.2 6.4 0.1 5.6 1.6 -1.4 -0.2 -2.0 -6.1 2.4 -7.9 -8.6 -1.2 REDWHEAT -3.8 14.4 0.7 -0.0 -2.2 -3.7 -1.2 -5.5 0.7 -17.5 -13.0 -15.4 -17.2 -3.9 2.5 -10.8 -7.3 -10.6 -9.6 -1.8 -7.1 -16.4 -15.6 -5.9 -5.0 -1.3 -15.0 -3.6 -9.5 -6.7 -3.6 -18.0 -20.0 -0.5 4.6 -7.0 -20.0 -20.0 -20.0 -20.0 RICE -7.4 -1.9 -5.0 -0.0 -2.5 -4.2 -1.4 -6.3 0.8 -20.0 11.1 -20.0 13.8 -15.3 -1.6 -7.7 20.0 -1.7 14.5 -5.7 -0.4 -11.6 8.3 -9.5 -16.0 -4.8 -8.6 -1.1 -8.4 2.8 -7.4 20.0 -12.3 -12.1 -9.8 2.5 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -12.1 -1.4 -0.0 -1.1 -1.7 -0.6 -2.6 0.3 -3.9 7.2 -8.0 8.8 -6.3 2.8 15.3 20.0 20.0 20.0 2.7 12.7 -10.5 17.7 -7.9 -20.0 0.6 -0.9 4.0 -2.8 6.7 -2.3 20.0 -13.9 -20.0 -2.0 20.0 12.6 -1.0 20.0 5.2 RUSSELL 1.0 7.0 3.8 3.6 0.3 5.3 -0.8 7.3 1.6 -5.4 9.5 -2.3 12.9 8.0 9.1 -6.4 -6.4 -6.0 -6.1 7.7 9.4 -1.0 9.8 4.1 -0.1 4.9 0.4 6.6 -0.4 7.0 2.2 0.1 6.4 2.8 8.1 20.0 -0.3 -13.6 -16.4 -20.0 SHATZ -13.7 -0.1 20.0 -0.8 -1.8 0.9 -2.5 0.9 -2.4 1.0 5.0 -2.6 -0.2 -0.7 4.9 -20.0 -20.0 -20.0 -20.0 3.8 5.4 0.9 1.1 0.8 6.1 1.8 0.4 2.6 0.3 1.1 0.4 -20.0 12.4 8.3 11.2 7.3 -16.7 -16.2 -3.9 -7.2 SILVER-mini 4.6 16.0 -0.8 3.4 3.7 1.3 4.3 -0.1 4.3 3.7 10.3 7.5 9.4 10.8 11.0 -6.3 -6.5 -6.3 -6.3 13.6 10.5 13.8 9.3 16.1 1.6 4.2 1.9 3.0 4.4 2.5 5.0 -1.6 12.2 9.3 9.3 5.3 5.6 -2.0 -4.1 9.6 SMI 6.4 -2.7 -6.8 4.3 0.4 6.3 -0.9 8.7 1.9 -3.6 12.4 5.3 16.3 2.3 8.3 0.9 0.3 -0.2 -0.6 4.8 8.6 4.3 14.8 5.5 12.0 4.8 3.2 8.8 2.6 12.8 3.6 10.4 12.3 6.4 -13.3 7.0 -4.1 1.7 -20.0 -6.2 SOFR -20.0 -20.0 13.5 -1.4 -3.3 1.7 -4.4 1.7 -4.3 -13.8 6.5 -15.3 7.5 -15.2 -3.9 2.0 0.2 1.9 1.0 -11.9 3.0 -20.0 6.1 -20.0 -6.3 -3.4 -4.8 0.1 -6.1 1.4 -6.2 7.6 -19.1 -19.5 -20.0 -8.2 3.4 -12.9 20.0 13.9 SOYBEAN -16.6 3.6 -17.9 -0.0 -1.7 -2.8 -0.9 -4.2 0.5 -8.2 -11.6 -12.4 -13.0 -10.0 -9.4 -2.0 0.6 -3.8 -3.3 -12.8 -18.2 -12.9 -20.0 -13.2 -20.0 -4.8 -3.8 -5.9 -4.7 -6.3 -5.0 -6.3 -13.7 -20.0 -9.1 -20.0 2.7 -10.7 9.0 -6.1 SOYMEAL -19.4 4.0 -2.7 -0.0 -1.4 -2.4 -0.8 -3.6 0.5 -11.8 -8.5 -13.0 -10.8 -10.8 -5.0 -1.7 2.4 -1.9 -0.6 -6.9 -7.9 -12.0 -10.8 -10.3 -20.0 -2.9 -5.2 -2.9 -5.3 -3.2 -4.3 -2.3 -8.3 -20.0 -4.6 -6.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 0.4 16.4 0.6 -0.0 -1.1 -1.7 -0.6 -2.6 0.3 2.2 -3.9 1.1 -8.1 4.7 -1.5 -1.2 0.9 0.2 0.4 1.9 -2.1 2.8 -6.3 3.2 -19.2 1.4 0.0 -0.4 1.3 -2.2 1.7 -2.7 6.4 2.3 7.1 -0.7 1.6 -7.2 10.5 -1.9 SP400 2.1 12.2 4.1 4.2 0.3 6.0 -0.9 8.4 1.8 -8.7 13.6 -4.5 16.8 11.8 14.1 -7.9 -6.3 -7.0 -6.5 12.3 13.1 -4.3 14.4 6.4 -13.7 5.7 -2.3 7.0 -1.8 7.6 2.5 -0.1 -3.8 4.4 14.3 20.0 7.0 -6.4 -11.2 -20.0 SP500_micro 6.2 17.9 4.4 4.3 0.4 6.3 -0.9 8.7 1.9 -9.0 18.8 7.7 19.7 17.1 19.0 -11.2 -11.7 -10.7 -11.1 20.0 20.0 4.2 20.0 15.8 -20.0 6.8 -0.7 8.1 1.0 10.1 4.5 -8.9 2.4 13.8 20.0 10.9 11.1 3.6 -9.4 -5.0 SUGAR11 -14.2 20.0 16.7 -0.0 -1.7 -2.9 -0.9 -4.3 0.6 -5.8 5.8 -10.0 -6.3 7.1 9.3 20.0 15.0 20.0 19.2 12.9 9.2 -3.0 0.6 4.3 -20.0 3.3 -0.7 2.3 -0.8 -0.0 1.0 20.0 -2.4 -10.8 20.0 18.2 -18.7 6.4 -16.9 9.6 US10 -20.0 -20.0 14.6 -1.0 -2.4 1.2 -3.3 1.2 -3.2 -10.3 3.7 -11.4 3.4 -11.3 -4.0 -5.2 -7.1 -6.2 -6.6 -9.7 0.6 -18.6 1.7 -18.8 1.7 -2.6 -3.3 -0.1 -4.3 0.7 -4.5 -5.1 -11.6 -15.8 -14.3 -6.9 -0.4 -20.0 20.0 7.9 US10U -20.0 -20.0 13.5 -1.4 -3.4 1.8 -4.6 1.8 -4.5 -14.5 4.6 -16.1 3.6 -16.0 -6.0 -4.9 -3.5 -4.6 -4.3 -13.4 0.2 -20.0 1.3 -20.0 -1.4 -3.9 -4.4 -0.4 -6.1 0.8 -6.4 -0.2 -14.6 -19.1 -19.6 -12.4 0.4 -19.0 20.0 18.2 US2 -20.0 -20.0 20.0 -0.8 -1.9 1.0 -2.6 1.0 -2.5 -8.1 2.6 -9.0 1.0 -8.6 -1.2 -20.0 -20.0 -20.0 -20.0 -6.3 1.5 -13.7 0.4 -14.0 12.1 -1.4 -2.3 0.5 -3.0 0.6 -3.1 -20.0 -8.2 -13.7 -7.5 2.3 -2.1 -19.9 5.6 -10.2 US20 -20.0 -20.0 10.4 -1.0 -2.5 1.3 -3.3 1.3 -3.2 -10.3 2.7 -11.5 4.1 -11.6 -5.1 -2.4 -1.3 -2.1 -1.6 -10.2 -0.4 -17.3 1.2 -18.3 -3.1 -2.9 -3.0 -0.4 -4.2 0.7 -4.6 4.3 -10.3 -12.8 -15.2 -11.1 1.2 -11.4 20.0 20.0 US30 -20.0 -20.0 8.9 -1.2 -2.8 1.4 -3.8 1.4 -3.7 -11.4 1.7 -12.8 2.1 -12.9 -6.6 -1.7 -4.7 -3.5 -4.2 -10.9 -1.6 -16.6 -0.5 -18.3 -2.1 -3.4 -2.9 -0.7 -4.5 0.4 -5.1 -1.1 -7.3 -9.7 -15.2 -14.3 -1.6 -10.0 20.0 20.0 US5 -20.0 -20.0 17.5 -1.0 -2.4 1.2 -3.2 1.2 -3.1 -10.1 3.6 -11.2 2.3 -11.1 -3.4 -7.7 -10.4 -9.2 -9.9 -9.5 0.9 -18.6 1.6 -18.7 5.8 -2.4 -3.2 0.1 -4.1 0.8 -4.3 -10.8 -11.7 -16.9 -13.3 -4.0 2.0 -20.0 19.8 2.6 VIX -1.5 1.8 20.0 1.9 0.0 1.7 -0.2 -3.0 0.0 -0.3 -7.7 -7.6 -10.9 -1.4 -7.3 -4.1 -20.0 -7.0 -16.3 1.9 0.8 -0.6 -6.8 -0.1 NaN 2.0 0.0 1.8 -0.3 -3.6 -0.0 NaN NaN NaN NaN NaN -19.9 -20.0 NaN NaN WHEAT -8.0 14.8 -2.2 -0.0 -2.3 -3.7 -1.2 -5.6 0.7 -18.0 -11.7 -18.4 -15.6 -5.4 2.5 -10.9 -14.3 -12.8 -14.0 -2.6 -7.6 -15.8 -16.0 -7.7 4.1 -2.1 -10.0 -3.6 -8.7 -5.9 -4.7 -20.0 -20.0 -8.4 4.7 -9.1 -20.0 -17.7 -20.0 -15.6 End of report for caleb_strategy_v3