******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241107_203927 produced at 2024-11-07 21:38:13.078175 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.08 0.00 -0.80 0.0 0.00 0.00 0.00 0.00 -9.48 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -2.24 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.06 -0.14 0.0 999.00 -999.00 -0.06 -0.08 -23.19 999999999.0 -11 -13 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.12 0.0 0.73 -0.73 -0.08 -0.08 -4.92 29.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.23 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.09 0.0 0.65 -0.65 -0.15 -0.15 -1.84 13.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.08 0.0 0.07 -0.07 -0.05 -0.05 -29.82 26.0 -21 -21 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.08 0.0 0.52 -0.52 -0.08 -0.08 -9.68 60.0 -9 -9 caleb_strategy_v3 RICE False False 0.01 0.00 -0.07 0.0 0.04 -0.04 0.00 0.00 -6.49 4.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.06 0.0 0.93 -0.93 -0.07 -0.04 -1.48 25.0 -2 -1 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.09 -0.09 -0.05 -0.05 -7.84 12.0 -7 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.05 0.0 0.14 -0.14 -0.05 -0.05 -3.74 11.0 -4 -4 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.94 12.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.04 0.0 0.66 -0.66 -0.14 -0.09 -0.86 14.0 -3 -2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.04 0.0 0.49 -0.49 0.00 0.00 -0.78 10.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.04 0.0 0.49 -0.49 -0.09 -0.09 -1.36 17.0 -3 -3 caleb_strategy_v3 EUROSTX False False 0.02 -0.04 -0.03 0.0 0.37 -0.37 -0.04 -0.04 -1.42 20.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.36 9.0 -4 -4 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.65 -0.65 0.00 0.00 -0.87 17.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -2.25 9.0 -2 -2 caleb_strategy_v3 US10U False False 0.04 0.00 -0.02 0.0 0.51 -0.51 0.00 0.00 -0.62 13.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -4.85 51.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -2.43 8.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.44 -0.44 0.00 0.00 -1.07 21.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.51 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.13 -0.13 -0.05 -0.05 -1.30 7.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -0.73 3.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.23 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.22 -0.01 0.0 0.26 -0.26 -0.22 -0.22 -0.15 6.0 -5 -5 caleb_strategy_v3 AUD False False 0.02 -0.05 -0.01 0.0 0.44 -0.44 -0.05 -0.02 -0.55 19.0 -2 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.01 0.0 0.84 -0.84 0.00 0.00 -0.33 19.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.01 0.0 0.62 -0.62 -0.03 -0.03 -0.27 22.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 -0.04 -0.01 0.0 999.00 -999.00 -0.04 -0.04 -0.28 999999999.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.19 -0.19 -0.05 -0.05 -0.20 4.0 -1 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -0.34 4.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.04 2.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.01 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 -0.00 0.0 0.36 -0.36 0.00 0.00 -0.01 23.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 -0.00 0.0 0.34 -0.34 0.04 0.04 -0.04 8.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.08 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.06 10.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.09 -0.00 0.0 0.47 -0.47 0.09 0.05 -0.10 10.0 2 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 0.00 0.0 0.34 -0.34 0.00 0.01 0.20 23.0 0 1 caleb_strategy_v3 MILK False False 0.01 0.01 -0.00 0.0 0.07 -0.07 0.01 0.01 -0.35 5.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 -0.02 0.01 0.0 0.12 -0.12 -0.02 -0.02 0.54 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 0.22 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.15 -0.15 0.02 0.02 0.82 18.0 2 2 caleb_strategy_v3 SILVER-mini False True 0.03 0.03 0.01 0.0 0.03 0.00 0.03 0.03 0.23 999999999.0 1 1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 2.43 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.02 0.01 0.0 0.50 -0.50 -0.02 -0.01 1.31 66.0 -2 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.01 0.0 0.50 -0.50 0.01 0.01 1.12 48.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.58 3.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.02 0.02 0.0 0.64 -0.64 0.02 0.02 0.67 26.0 1 1 caleb_strategy_v3 GOLD_micro False False 0.01 0.05 0.02 0.0 0.53 -0.53 0.05 0.05 2.47 56.0 5 5 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 5.04 68.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 3.09 2.0 0 0 caleb_strategy_v3 SP400 False False 0.12 0.23 0.02 0.0 0.23 -0.23 0.23 0.23 0.20 2.0 2 2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.03 0.0 0.00 0.00 0.00 0.00 10.59 59.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.04 0.0 0.44 -0.44 0.03 0.03 1.70 17.0 1 1 caleb_strategy_v3 DX False True 0.04 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.44 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.01 0.06 0.0 0.42 -0.42 0.01 0.01 8.15 58.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 0.07 0.0 0.52 -0.52 0.00 0.00 2.23 16.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.09 0.0 0.32 -0.32 0.04 0.04 9.58 36.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.11 0.14 0.0 0.15 -0.15 0.11 0.11 11.69 13.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.59 0.0 0.92 -0.92 0.00 0.00 6.43 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.3 Shocked risk 25.1 Sum abs risk 37.2 Leverage 3.59 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2869193.65, 'annual_cash_vol_target': 717298.4125, 'daily_cash_vol_target': 44831.15078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6672 0.6693 10.7086 BITCOIN 1922.6006 77075.0000 2.4945 39.9113 BOBL 0.2539 118.2300 0.2148 3.4363 BTP 0.5268 119.0000 0.4427 7.0829 BUND 0.4604 131.4200 0.3503 5.6051 BUXL 1.1956 129.9000 0.9204 14.7266 CAC 60.5514 7460.0000 0.8117 12.9869 CAD 0.0029 0.7224 0.4057 6.4913 CANOLA 8.5686 659.5000 1.2993 20.7882 CHF 0.0058 1.1500 0.5059 8.0949 COCOA 155.0628 7099.0000 2.1843 34.9487 COFFEE 4.4239 258.0500 1.7144 27.4296 COPPER 0.0717 4.4355 1.6163 25.8603 CORN 3.9103 447.5000 0.8738 13.9811 COTTON2 0.8952 73.3800 1.2200 19.5192 CRUDE_W 1.1504 69.0800 1.6652 26.6440 DAX 152.2779 19502.0000 0.7808 12.4933 DOW 361.7601 43903.0000 0.8240 13.1840 DX 0.4745 104.3200 0.4549 7.2781 EUR 0.0059 1.0808 0.5455 8.7281 EURIBOR-ICE 0.0479 97.8550 0.0490 0.7835 EUROSTX 44.9661 4878.0000 0.9218 14.7490 FEEDCOW 1.5726 242.5500 0.6484 10.3739 GASOIL 11.8060 683.7500 1.7266 27.6264 GASOLINE 0.0398 2.0355 1.9542 31.2677 GAS_US_mini 0.0928 2.9500 3.1466 50.3459 GBP 0.0070 1.2968 0.5428 8.6841 GOLD_micro 23.6274 2700.8000 0.8748 13.9973 HEATOIL 0.0417 2.2995 1.8128 29.0051 JGB-SGX-mini 0.2428 143.7900 0.1689 2.7021 JPY 0.0001 0.0066 0.8028 12.8451 LEANHOG 0.9081 85.4000 1.0634 17.0141 LIVECOW 0.9924 187.5500 0.5291 8.4658 LUMBER-new 7.4728 597.0000 1.2517 20.0275 MILK 0.2313 19.3000 1.1986 19.1771 MXP 0.0004 0.0500 0.7904 12.6466 NASDAQ_micro 191.7963 21221.2500 0.9038 14.4607 NIKKEI 498.1068 39565.0000 1.2590 20.1433 NZD 0.0041 0.6019 0.6839 10.9424 OAT 0.4636 124.1400 0.3735 5.9758 OATIES 5.1453 388.2500 1.3252 21.2039 OJ 7.4101 462.0000 1.6039 25.6628 PALLAD 29.9820 1025.0000 2.9251 46.8012 PLAT 15.7469 1000.3000 1.5742 25.1874 REDWHEAT 8.9757 581.7500 1.5429 24.6860 RICE 0.1286 14.6600 0.8771 14.0342 ROBUSTA 78.8627 4474.0000 1.7627 28.2030 RUSSELL 30.1562 2401.6000 1.2557 20.0907 SHATZ 0.0915 106.6850 0.0858 1.3729 SILVER-mini 0.5919 32.1500 1.8412 29.4591 SMI 90.7220 11964.0000 0.7583 12.1327 SOFR 0.0660 96.2850 0.0685 1.0965 SOYBEAN 9.6605 1048.2500 0.9216 14.7454 SOYMEAL 3.7108 304.0000 1.2207 19.5306 SOYOIL 0.8045 48.4000 1.6623 26.5962 SP400 31.9797 3302.8000 0.9683 15.4922 SP500_micro 43.7250 6004.2500 0.7282 11.6517 SUGAR11 0.2993 20.7100 1.4452 23.1226 US10 0.4364 110.2656 0.3957 6.3319 US10U 0.5964 113.2969 0.5264 8.4228 US2 0.1022 102.8438 0.0994 1.5898 US20 0.8984 117.2188 0.7665 12.2633 US30 1.3922 124.1562 1.1213 17.9407 US5 0.2649 107.1094 0.2474 3.9578 VIX 0.6053 16.7500 3.6140 57.8233 WHEAT 7.6822 631.7500 1.2160 19.4563 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.25 0.67 446.58 1.00 446.58 44831.15 100.39 -2.11 -21.18 BITCOIN 77.08 2.49 192.26 1.00 192.26 44831.15 233.18 4.19 97.81 BOBL 1182.30 0.21 253.92 1.07 272.51 44831.15 164.51 -1.99 -32.70 BTP 1190.00 0.44 526.79 1.07 565.35 44831.15 79.30 -1.88 -14.91 BUND 1314.20 0.35 460.39 1.07 494.09 44831.15 90.74 -8.48 -76.99 BUXL 1299.00 0.92 1195.61 1.07 1283.13 44831.15 34.94 -5.51 -19.24 CAC 746.00 0.81 605.51 1.07 649.84 44831.15 68.99 -8.24 -56.85 CAD 722.40 0.41 293.08 1.00 293.08 44831.15 152.96 -12.39 -189.51 CANOLA 131.90 1.30 171.37 0.72 123.11 44831.15 364.15 -5.48 -199.55 CHF 1437.50 0.51 727.28 1.00 727.28 44831.15 61.64 -11.51 -70.96 COCOA 709.90 2.18 1550.63 1.00 1550.63 44831.15 28.91 10.89 31.47 COFFEE 967.69 1.71 1658.96 1.00 1658.96 44831.15 27.02 -0.40 -1.09 COPPER 1108.88 1.62 1792.24 1.00 1792.24 44831.15 25.01 -1.04 -2.60 CORN 223.75 0.87 195.52 1.00 195.52 44831.15 229.29 -14.06 -322.46 COTTON2 366.90 1.22 447.60 1.00 447.60 44831.15 100.16 -17.45 -174.75 CRUDE_W 690.80 1.67 1150.35 1.00 1150.35 44831.15 38.97 1.28 5.00 DAX 195.02 0.78 152.28 1.07 163.42 44831.15 274.32 8.71 238.80 DOW 219.52 0.82 180.88 1.00 180.88 44831.15 247.85 2.28 56.51 DX 1043.20 0.45 474.53 1.00 474.53 44831.15 94.47 5.87 55.43 EUR 1351.06 0.55 737.01 1.00 737.01 44831.15 60.83 -5.48 -33.32 EURIBOR-ICE 2446.38 0.05 119.79 1.07 128.56 44831.15 348.72 5.41 188.60 EUROSTX 487.80 0.92 449.66 1.07 482.58 44831.15 92.90 -4.48 -41.64 FEEDCOW 1212.75 0.65 786.31 1.00 786.31 44831.15 57.01 -0.22 -1.25 GASOIL 683.75 1.73 1180.60 1.00 1180.60 44831.15 37.97 -2.09 -7.95 GASOLINE 854.91 1.95 1670.69 1.00 1670.69 44831.15 26.83 1.91 5.11 GAS_US_mini 73.75 3.15 232.06 1.00 232.06 44831.15 193.19 -14.26 -275.40 GBP 810.50 0.54 439.90 1.00 439.90 44831.15 101.91 -1.02 -10.35 GOLD_micro 270.08 0.87 236.27 1.00 236.27 44831.15 189.74 3.82 72.44 HEATOIL 965.79 1.81 1750.80 1.00 1750.80 44831.15 25.61 -6.54 -16.75 JGB-SGX-mini 143790.00 0.17 24283.49 0.01 159.41 44831.15 281.24 0.73 20.60 JPY 820.25 0.80 658.51 1.00 658.51 44831.15 68.08 -7.68 -52.26 LEANHOG 341.60 1.06 363.25 1.00 363.25 44831.15 123.42 15.58 192.27 LIVECOW 750.20 0.53 396.94 1.00 396.94 44831.15 112.94 4.55 51.36 LUMBER-new 164.18 1.25 205.50 1.00 205.50 44831.15 218.16 5.20 113.55 MILK 386.00 1.20 462.65 1.00 462.65 44831.15 96.90 -1.70 -16.47 MXP 250.10 0.79 197.68 1.00 197.68 44831.15 226.78 -2.91 -65.92 NASDAQ_micro 424.42 0.90 383.59 1.00 383.59 44831.15 116.87 0.74 8.63 NIKKEI 39565.00 1.26 49810.68 0.01 323.33 44831.15 138.65 6.38 88.47 NZD 601.90 0.68 411.64 1.00 411.64 44831.15 108.91 -3.80 -41.41 OAT 1241.40 0.37 463.65 1.07 497.59 44831.15 90.10 -0.34 -3.06 OATIES 194.12 1.33 257.26 1.00 257.26 44831.15 174.26 7.28 126.83 OJ 693.00 1.60 1111.52 1.00 1111.52 44831.15 40.33 6.76 27.25 PALLAD 1025.00 2.93 2998.20 1.00 2998.20 44831.15 14.95 0.82 1.22 PLAT 500.15 1.57 787.34 1.00 787.34 44831.15 56.94 -0.42 -2.37 REDWHEAT 290.88 1.54 448.78 1.00 448.78 44831.15 99.89 -18.37 -183.52 RICE 293.20 0.88 257.18 1.00 257.18 44831.15 174.32 -15.30 -266.64 ROBUSTA 447.40 1.76 788.63 1.00 788.63 44831.15 56.85 -0.18 -1.05 RUSSELL 120.08 1.26 150.78 1.00 150.78 44831.15 297.33 5.11 152.02 SHATZ 1066.85 0.09 91.54 1.07 98.24 44831.15 456.33 -4.82 -219.92 SILVER-mini 803.75 1.84 1479.86 1.00 1479.86 44831.15 30.29 2.21 6.69 SMI 1196.40 0.76 907.22 1.15 1039.31 44831.15 43.14 -0.06 -0.25 SOFR 2407.12 0.07 164.96 1.00 164.96 44831.15 271.77 -5.74 -156.03 SOYBEAN 524.12 0.92 483.03 1.00 483.03 44831.15 92.81 -15.08 -140.00 SOYMEAL 304.00 1.22 371.08 1.00 371.08 44831.15 120.81 -20.00 -241.62 SOYOIL 290.40 1.66 482.72 1.00 482.72 44831.15 92.87 0.72 6.65 SP400 3302.80 0.97 3197.97 1.00 3197.97 44831.15 14.02 4.40 6.17 SP500_micro 300.21 0.73 218.62 1.00 218.62 44831.15 205.06 2.36 48.40 SUGAR11 231.95 1.45 335.21 1.00 335.21 44831.15 133.74 2.89 38.60 US10 1102.66 0.40 436.37 1.00 436.37 44831.15 102.74 -6.65 -68.37 US10U 1132.97 0.53 596.42 1.00 596.42 44831.15 75.17 -6.49 -48.78 US2 2056.88 0.10 204.38 1.00 204.38 44831.15 219.36 -8.06 -176.89 US20 1172.19 0.77 898.43 1.00 898.43 44831.15 49.90 -3.62 -18.08 US30 1241.56 1.12 1392.15 1.00 1392.15 44831.15 32.20 -3.60 -11.61 US5 1071.09 0.25 264.95 1.00 264.95 44831.15 169.21 -6.91 -116.88 VIX 167.50 3.61 605.34 1.00 605.34 44831.15 74.06 -12.69 -93.95 WHEAT 315.88 1.22 384.11 1.00 384.11 44831.15 116.71 -15.27 -178.27 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -21.183 0.010 2.5 -0.550 BITCOIN 97.815 0.043 2.5 10.592 BOBL -32.701 0.004 2.5 -0.332 BTP -14.911 0.014 2.5 -0.509 BUND -76.987 0.004 2.5 -0.781 BUXL -19.236 0.004 2.5 -0.195 CAC -56.851 0.014 2.5 -1.939 CAD -189.506 0.010 2.5 -4.917 CANOLA -199.547 0.010 2.5 -4.855 CHF -70.957 0.010 2.5 -1.841 COCOA 31.471 0.009 2.5 0.674 COFFEE -1.087 0.005 2.5 -0.013 COPPER -2.596 0.043 2.5 -0.281 CORN -322.460 0.010 2.5 -7.845 COTTON2 -174.747 0.009 2.5 -3.743 CRUDE_W 4.996 0.043 2.5 0.541 DAX 238.801 0.014 2.5 8.145 DOW 56.509 0.009 2.5 1.313 DX 55.428 0.010 2.5 1.438 EUR -33.315 0.010 2.5 -0.864 EURIBOR-ICE 188.599 0.014 2.5 6.433 EUROSTX -41.638 0.014 2.5 -1.420 FEEDCOW -1.251 0.013 2.5 -0.041 GASOIL -7.946 0.017 2.5 -0.344 GASOLINE 5.114 0.017 2.5 0.222 GAS_US_mini -275.405 0.043 2.5 -29.823 GBP -10.354 0.010 2.5 -0.269 GOLD_micro 72.439 0.014 2.5 2.471 HEATOIL -16.750 0.017 2.5 -0.726 JGB-SGX-mini 20.602 0.043 2.5 2.231 JPY -52.258 0.010 2.5 -1.356 LEANHOG 192.275 0.024 2.5 11.685 LIVECOW 51.364 0.013 2.5 1.702 LUMBER-new 113.548 0.009 2.5 2.432 MILK -16.473 0.009 2.5 -0.353 MXP -65.924 0.059 2.5 -9.676 NASDAQ_micro 8.627 0.009 2.5 0.200 NIKKEI 88.470 0.043 2.5 9.580 NZD -41.405 0.010 2.5 -1.074 OAT -3.059 0.014 2.5 -0.104 OATIES 126.828 0.010 2.5 3.086 OJ 27.246 0.009 2.5 0.584 PALLAD 1.223 0.014 2.5 0.042 PLAT -2.372 0.014 2.5 -0.081 REDWHEAT -183.523 0.005 2.5 -2.434 RICE -266.636 0.010 2.5 -6.487 ROBUSTA -1.050 0.005 2.5 -0.012 RUSSELL 152.020 0.013 2.5 5.038 SHATZ -219.921 0.004 2.5 -2.230 SILVER-mini 6.693 0.014 2.5 0.228 SMI -0.254 0.014 2.5 -0.009 SOFR -156.027 0.024 2.5 -9.482 SOYBEAN -139.998 0.004 2.5 -1.302 SOYMEAL -241.624 0.004 2.5 -2.247 SOYOIL 6.647 0.004 2.5 0.062 SP400 6.172 0.013 2.5 0.205 SP500_micro 48.396 0.009 2.5 1.125 SUGAR11 38.604 0.009 2.5 0.821 US10 -68.367 0.005 2.5 -0.866 US10U -48.776 0.005 2.5 -0.618 US2 -176.892 0.005 2.5 -2.242 US20 -18.079 0.005 2.5 -0.229 US30 -11.606 0.005 2.5 -0.147 US5 -116.884 0.005 2.5 -1.481 VIX -93.954 0.099 2.5 -23.192 WHEAT -178.275 0.005 2.5 -2.365 ===================== Position diags ===================== AUD 2.60 BITCOIN 25.25 BOBL 1.67 BTP 2.70 BUND 0.92 BUXL 0.35 CAC 2.35 CAD 3.97 CANOLA 8.86 CHF 1.60 COCOA 0.62 COFFEE 0.32 COPPER 2.71 CORN 5.58 COTTON2 2.15 CRUDE_W 4.22 DAX 9.36 DOW 5.76 DX 2.45 EUR 1.58 EURIBOR-ICE 11.89 EUROSTX 3.17 FEEDCOW 1.89 GASOIL 1.65 GASOLINE 1.16 GAS_US_mini 20.92 GBP 2.64 GOLD_micro 6.47 HEATOIL 1.11 JGB-SGX-mini 30.45 JPY 1.77 LEANHOG 7.50 LIVECOW 3.74 LUMBER-new 4.67 MILK 2.08 MXP 33.29 NASDAQ_micro 2.72 NIKKEI 15.01 NZD 2.83 OAT 3.07 OATIES 4.24 OJ 0.86 PALLAD 0.51 PLAT 1.94 REDWHEAT 1.33 RICE 4.24 ROBUSTA 0.66 RUSSELL 9.85 SHATZ 4.63 SILVER-mini 1.03 SMI 1.47 SOFR 16.52 SOYBEAN 0.86 SOYMEAL 1.12 SOYOIL 0.86 SP400 0.46 SP500_micro 4.77 SUGAR11 2.84 US10 1.30 US10U 0.95 US2 2.78 US20 0.63 US30 0.41 US5 2.14 VIX 18.28 WHEAT 1.55 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.5 -0.8 -0.3 -2.0 -2 BITCOIN 10.6 8.1 13.1 0.0 0 BOBL -0.3 -0.5 -0.2 0.0 0 BTP -0.5 -0.8 -0.2 0.0 0 BUND -0.8 -0.9 -0.7 0.0 0 BUXL -0.2 -0.2 -0.2 -1.0 -1 CAC -1.9 -2.2 -1.7 0.0 0 CAD -4.9 -5.3 -4.5 -3.0 -3 CANOLA -4.9 -5.7 -4.0 -2.0 -2 CHF -1.8 -2.0 -1.7 -3.0 -3 COCOA 0.7 0.6 0.7 1.0 1 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER -0.3 -0.6 -0.0 -1.0 -1 CORN -7.8 -8.4 -7.3 -7.0 -7 COTTON2 -3.7 -4.0 -3.5 -4.0 -4 CRUDE_W 0.5 0.1 1.0 -1.0 -1 DAX 8.1 7.2 9.1 1.0 1 DOW 1.3 0.7 1.9 -2.0 -2 DX 1.4 1.2 1.7 0.0 0 EUR -0.9 -1.0 -0.7 -3.0 -3 EURIBOR-ICE 6.4 5.2 7.6 0.0 0 EUROSTX -1.4 -1.7 -1.1 -2.0 -2 FEEDCOW -0.0 -0.2 0.1 1.0 1 GASOIL -0.3 -0.5 -0.2 -1.0 -1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -29.8 -31.9 -27.7 -21.0 -21 GBP -0.3 -0.5 -0.0 -1.0 -1 GOLD_micro 2.5 1.8 3.1 5.0 5 HEATOIL -0.7 -0.8 -0.6 -1.0 -1 JGB-SGX-mini 2.2 -0.8 5.3 0.0 0 JPY -1.4 -1.5 -1.2 -3.0 -3 LEANHOG 11.7 10.9 12.4 9.0 9 LIVECOW 1.7 1.3 2.1 1.0 1 LUMBER-new 2.4 2.0 2.9 0.0 0 MILK -0.4 -0.6 -0.1 1.0 1 MXP -9.7 -13.0 -6.3 -9.0 -9 NASDAQ_micro 0.2 -0.1 0.5 0.0 0 NIKKEI 9.6 8.1 11.1 5.0 5 NZD -1.1 -1.4 -0.8 0.0 0 OAT -0.1 -0.4 0.2 2.0 2 OATIES 3.1 2.7 3.5 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT -0.1 -0.3 0.1 0.0 0 REDWHEAT -2.4 -2.6 -2.3 0.0 0 RICE -6.5 -6.9 -6.1 NaN 0 ROBUSTA -0.0 -0.1 0.1 0.0 0 RUSSELL 5.0 4.1 6.0 0.0 0 SHATZ -2.2 -2.7 -1.8 NaN 0 SILVER-mini 0.2 0.1 0.3 1.0 1 SMI -0.0 -0.2 0.1 0.0 0 SOFR -9.5 -11.1 -7.8 NaN 0 SOYBEAN -1.3 -1.4 -1.2 -3.0 -3 SOYMEAL -2.2 -2.4 -2.1 -2.0 -2 SOYOIL 0.1 -0.0 0.1 0.0 0 SP400 0.2 0.2 0.3 2.0 2 SP500_micro 1.1 0.6 1.6 1.0 1 SUGAR11 0.8 0.5 1.1 2.0 2 US10 -0.9 -1.0 -0.7 0.0 0 US10U -0.6 -0.7 -0.5 0.0 0 US2 -2.2 -2.5 -2.0 NaN 0 US20 -0.2 -0.3 -0.2 0.0 0 US30 -0.1 -0.2 -0.1 -5.0 -5 US5 -1.5 -1.7 -1.3 -2.0 -2 VIX -23.2 -25.0 -21.4 -11.0 -11 WHEAT -2.4 -2.5 -2.2 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.5 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 0.0 -0.1 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.2 -0.1 0.1 -0.2 0.1 -0.2 0.2 -0.1 BITCOIN 0.4 0.4 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.0 0.2 0.1 0.2 0.4 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.5 0.6 0.4 -0.1 0.2 -0.1 0.1 0.1 BOBL -0.6 -0.4 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.0 0.4 -0.1 0.2 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.1 0.2 0.1 -0.5 -0.5 0.1 -0.0 BTP -0.5 -0.3 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.3 -0.2 0.5 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.1 0.7 -0.2 0.3 0.6 0.3 -0.7 -0.4 0.2 0.4 BUND -0.6 -0.5 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.4 -0.1 -0.3 -0.2 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.6 -0.1 0.0 0.2 -0.0 -0.7 -0.6 -0.0 -0.0 BUXL -0.3 -0.4 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 0.2 0.2 0.3 -0.1 -0.7 -0.7 -0.2 -0.2 CAC -0.3 0.0 -0.2 0.0 0.2 0.1 0.1 0.3 0.0 -0.0 -0.3 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -1.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.5 -0.6 -0.4 -0.4 0.2 0.2 -0.2 -0.1 CAD -0.4 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.4 -0.1 -0.6 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 -0.4 -0.6 -0.4 -0.0 -0.3 -0.2 -0.2 CANOLA 0.4 0.6 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.2 0.1 0.0 -0.3 -0.2 -0.3 -0.3 0.1 0.0 0.0 -0.1 0.1 -2.1 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 0.0 0.5 0.4 0.3 -0.2 -0.4 0.0 -0.3 CHF -0.4 -0.6 0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 -0.1 0.0 -0.2 0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -1.1 -0.3 -0.2 -0.4 0.4 -0.4 -0.4 -0.7 -0.4 COCOA 0.0 0.1 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.4 0.4 0.2 0.3 0.7 0.7 0.7 0.7 COFFEE -0.3 -0.2 0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.4 -0.0 0.6 -0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.5 -0.0 -2.7 0.0 0.1 0.2 0.0 0.4 -0.0 0.2 0.4 0.1 -0.1 0.5 -0.3 -0.2 -0.1 -0.0 COPPER -0.3 0.2 -0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 -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 0.3 -0.5 -0.0 -0.2 0.6 0.4 0.4 0.7 CORN -0.1 0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.2 -0.5 0.0 -0.7 -0.1 -0.0 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 -0.0 -1.7 -0.1 0.1 -0.3 0.1 -0.5 -0.0 -1.1 0.2 -0.3 -0.5 -0.4 0.2 -0.1 0.4 0.0 COTTON2 -0.2 0.1 0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.5 -0.1 -0.6 -0.1 0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.1 -0.0 -0.5 -0.1 -2.7 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -1.0 -0.2 -0.3 -0.1 0.1 -0.6 -0.5 -0.4 -0.3 CRUDE_W -0.0 0.2 -0.4 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.1 0.0 -0.1 0.1 0.2 0.1 0.2 -0.0 -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 -0.0 -0.1 0.0 -0.1 0.3 -0.1 0.4 DAX -0.3 0.2 0.2 0.0 0.2 0.1 0.1 0.3 0.0 0.0 0.4 -0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.4 0.0 1.3 0.0 0.0 0.2 -0.0 0.3 -0.0 -0.3 -0.5 -0.1 0.3 0.3 0.7 0.3 0.3 0.1 DOW -0.5 -0.1 0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -1.6 0.0 0.1 0.1 0.1 0.2 0.0 -0.4 0.3 0.3 0.4 0.6 0.3 0.2 -0.4 -0.3 DX 0.4 0.6 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.2 -2.7 0.0 0.0 0.0 0.0 -0.0 0.1 0.7 0.4 0.6 0.6 -0.1 0.0 0.3 0.0 0.4 EUR -0.2 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 2.7 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.5 -0.0 -0.2 -0.4 -0.0 -0.1 -0.6 -0.3 -0.7 EURIBOR-ICE -0.4 -0.4 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.2 -0.1 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 1.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.3 0.1 0.3 0.4 0.3 -0.2 -0.5 0.3 0.2 EUROSTX -0.3 0.1 -0.1 0.0 0.1 0.1 0.1 0.3 0.0 -0.1 0.1 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.1 -0.4 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.5 -0.6 -0.2 -0.3 0.2 0.1 -0.7 -0.3 FEEDCOW -0.1 0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.3 0.0 -0.0 -0.1 -0.1 -0.5 0.1 0.0 0.3 -0.1 0.3 0.2 0.1 -0.1 -0.0 -0.4 0.0 -1.5 0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 -0.3 0.6 -0.6 0.5 0.7 0.7 0.7 GASOIL 0.1 0.3 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.2 0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 -0.1 0.1 -0.2 0.0 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 0.0 -0.1 -0.3 0.0 -0.3 0.1 -0.4 GASOLINE -0.0 0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.0 0.0 -0.0 0.0 0.4 0.2 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 0.0 -0.0 0.1 0.2 0.1 0.4 0.2 0.6 GAS_US_mini -0.3 0.0 0.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.0 -0.4 -0.7 -0.3 -0.6 GBP -0.4 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.2 -0.1 0.4 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.3 -0.0 -0.0 0.1 -0.0 0.2 -0.1 0.1 0.1 0.1 0.1 0.3 0.2 -0.7 0.5 -0.7 GOLD_micro -0.3 -0.0 0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.5 -0.0 0.6 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.1 0.5 0.1 -1.8 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.7 -0.2 0.4 0.6 0.6 0.7 0.0 0.5 0.2 HEATOIL 0.1 0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.0 -0.3 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -2.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.4 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.0 0.2 JGB-SGX-mini -0.2 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.0 0.0 0.1 -0.0 -1.5 -0.0 -0.0 0.0 0.0 0.0 -0.0 1.1 0.5 0.4 0.4 0.2 -0.7 -0.3 -0.7 -0.1 JPY -0.5 -0.6 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -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 -0.4 0.3 -0.7 -0.7 -0.5 -0.7 LEANHOG 0.5 0.6 0.6 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.1 0.1 0.2 -0.0 0.2 0.2 -0.4 0.3 0.4 0.4 0.2 0.2 0.2 -0.0 0.2 0.3 0.1 0.0 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 -0.2 0.6 0.3 -0.0 0.0 -0.1 0.0 -0.3 0.0 -0.1 0.5 -0.2 0.6 0.2 0.2 -0.1 0.1 0.0 0.1 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 0.0 0.2 -0.0 0.2 0.0 0.4 -0.5 -0.2 0.6 0.4 -0.2 0.7 0.0 0.7 LUMBER-new 0.5 0.7 0.3 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.2 -0.2 0.2 -0.4 0.2 0.2 -0.5 -0.4 -0.4 -0.4 0.2 0.0 0.2 -0.2 0.2 NaN 0.1 0.1 0.1 0.1 -0.1 0.1 -1.2 0.6 0.7 0.7 0.7 0.3 0.1 0.5 0.3 MILK -0.6 -0.6 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.3 -0.2 0.3 -0.2 -0.0 0.1 -0.1 0.4 0.2 -0.1 0.1 -0.2 0.3 -0.2 2.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.5 -0.6 -0.6 0.4 -0.1 -0.7 0.1 -0.7 MXP -0.2 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0.1 0.1 0.2 0.2 0.1 -0.0 0.2 -2.7 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.5 0.4 0.5 0.6 0.7 0.1 0.7 0.5 OJ -0.2 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.5 -0.1 0.7 0.0 0.1 0.3 0.2 0.2 0.2 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.5 -0.0 0.9 -0.5 0.2 -0.3 0.6 0.5 0.4 0.7 0.7 PALLAD 0.1 0.2 0.6 0.0 -0.0 0.0 -0.0 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 0.0 -0.1 -0.0 0.0 1.8 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.1 -0.0 -0.0 0.1 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.2 0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.0 0.0 0.7 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 -0.1 -0.0 -0.2 -0.2 0.2 -0.3 -0.2 -0.1 REDWHEAT -0.4 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.4 -0.1 -0.6 -0.1 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.5 -0.1 -0.6 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -1.0 -0.5 -0.6 -0.4 -0.1 -0.7 -0.7 -0.7 -0.7 RICE -0.5 -0.4 -0.3 -0.0 0.0 -0.1 0.0 -0.3 0.0 -0.2 0.2 -0.2 0.4 -0.2 -0.1 -0.2 0.4 -0.1 0.2 -0.2 -0.1 -0.2 0.1 -0.2 -2.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.6 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.2 -0.1 0.3 -0.1 0.0 0.2 0.4 0.4 0.4 -0.0 0.1 -0.0 0.5 -0.1 -2.7 -0.0 0.0 0.1 -0.0 0.3 -0.0 1.1 0.1 -0.4 -0.4 0.4 0.3 -0.0 0.5 0.2 RUSSELL -0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.5 0.6 0.4 0.6 -0.1 -0.5 -0.7 -0.7 SHATZ -0.4 -0.3 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.8 -0.0 0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.0 0.2 0.3 0.3 -0.4 -0.5 -0.0 -0.2 SILVER-mini -0.0 0.3 0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.2 0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.3 0.1 0.2 0.1 0.2 -0.1 -0.2 0.3 SMI -0.3 -0.2 -0.1 0.0 0.1 0.1 0.1 0.2 0.0 -0.1 0.2 -0.1 0.4 -0.1 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.1 1.2 -0.0 -0.0 0.1 -0.1 0.2 -0.1 0.6 -0.5 -0.4 -0.5 0.1 -0.2 0.0 -0.7 -0.2 SOFR -0.6 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.2 -0.0 -0.1 0.1 -0.2 -0.8 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.3 0.0 -0.4 -0.6 -0.3 0.0 -0.4 0.7 0.5 SOYBEAN -0.2 0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -0.3 0.1 -0.5 -0.5 -0.6 0.1 -0.3 0.3 -0.2 SOYMEAL -0.5 -0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.3 -0.1 -0.5 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.4 -0.6 -0.6 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 0.6 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.3 0.1 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 -2.6 0.0 0.1 0.0 0.1 -0.0 0.0 -0.2 0.5 0.5 0.4 0.1 0.1 -0.2 0.4 -0.0 SP400 -0.2 0.1 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.3 0.1 -1.6 0.1 0.2 0.1 0.1 0.2 0.1 -0.0 0.5 0.6 0.5 0.6 0.1 -0.2 -0.5 -0.7 SP500_micro -0.3 0.1 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.0 -0.5 0.1 0.3 0.5 0.4 0.3 0.1 -0.3 -0.2 SUGAR11 -0.3 0.5 0.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 0.2 -0.0 -0.2 0.1 0.1 0.4 0.4 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 -0.0 0.6 0.6 -0.7 0.2 -0.7 0.3 US10 -0.6 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.3 0.0 -0.3 -0.4 -0.2 -0.1 -0.7 0.5 0.3 US10U -0.6 -0.6 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.1 -0.3 -0.5 -0.4 -0.0 -0.6 0.7 0.6 US2 -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.1 -0.0 -0.2 1.8 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.0 -0.2 -0.3 0.0 -0.1 -0.6 0.2 -0.3 US20 -0.5 -0.6 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 -0.2 -0.3 -0.3 -0.0 -0.4 0.7 0.7 US30 -0.4 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 -0.2 -0.3 -0.1 -0.3 0.7 0.7 US5 -0.6 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 0.8 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.6 0.0 -0.3 -0.5 -0.2 0.0 -0.7 0.5 0.1 VIX -0.3 0.1 -0.0 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.2 -0.3 -0.2 -0.6 -0.1 -0.1 -0.3 -0.6 -0.3 -0.5 -0.0 0.0 -0.2 -0.3 -0.1 NaN 0.0 -0.2 0.0 -0.1 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.3 0.2 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.1 -0.4 -0.1 -0.6 -0.1 0.0 -0.2 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.5 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -1.1 -0.2 -0.6 -0.3 -0.1 -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 -14.9 -10.5 3.0 -3.4 -1.2 -0.7 -3.4 0.5 -5.0 9.6 1.2 -8.5 2.0 -15.4 -7.2 -0.3 -1.7 -0.5 -1.0 -8.1 -1.4 -2.7 0.6 -11.2 3.0 -3.6 5.5 -0.5 -1.1 0.6 -5.0 -0.0 6.6 -3.5 2.3 -6.3 2.8 -7.0 5.2 -2.7 BITCOIN 13.4 13.3 -2.7 4.9 -7.0 2.8 -3.4 0.4 2.4 18.8 4.8 18.6 11.7 19.3 16.6 -6.3 -6.8 -6.3 -6.4 16.6 8.7 20.0 10.0 20.0 -20.0 6.2 16.4 3.5 12.0 5.7 9.6 -2.2 20.0 20.0 11.0 -2.5 4.8 -1.7 1.8 2.7 BOBL -17.3 -13.8 10.2 -2.0 -2.7 0.1 -3.4 0.6 -3.5 -5.6 2.7 -8.4 -1.5 -9.2 -2.2 18.1 -4.9 9.8 1.0 -4.6 0.6 -9.6 0.3 -10.0 3.8 -1.7 -1.6 0.6 -3.8 0.8 -3.9 -0.2 -2.7 2.0 6.2 2.9 -15.8 -15.2 2.2 -1.0 BTP -16.6 -7.8 5.2 -3.3 -4.4 0.2 -5.6 1.1 -5.8 -15.3 10.9 -17.0 15.2 -12.6 3.4 7.3 5.1 6.4 5.2 0.2 8.3 -18.2 10.9 -11.4 -20.0 0.7 -7.5 4.6 -8.5 5.8 -5.0 13.3 -7.3 10.4 20.0 9.3 -19.7 -12.6 6.4 11.0 BUND -18.2 -15.1 6.0 -2.4 -3.3 0.1 -4.1 0.8 -4.3 -11.0 2.5 -12.3 0.8 -12.4 -5.0 -20.0 -6.7 -17.2 -11.8 -7.1 -0.3 -13.8 0.6 -13.6 1.2 -2.6 -3.9 0.3 -5.5 1.1 -5.2 -10.5 -2.8 0.8 6.7 -0.1 -20.0 -18.3 -0.2 -0.7 BUXL -10.5 -11.6 3.4 -2.6 -3.5 0.1 -4.5 0.9 -4.6 -11.4 0.2 -11.3 0.1 -12.0 -6.6 0.2 -1.5 -0.2 -0.9 -6.1 -1.9 -9.1 -1.7 -8.9 -2.0 -3.0 -6.7 -0.3 -5.1 0.7 -4.8 2.6 8.7 7.6 9.6 -3.0 -20.0 -20.0 -5.6 -6.7 CAC -7.9 1.1 -6.2 2.4 17.4 4.9 6.1 7.7 1.5 -5.3 -9.8 -12.4 -1.2 -14.4 -2.8 -5.0 -3.3 -5.4 -4.6 -8.7 -8.2 -10.2 -3.6 -11.2 -7.4 -4.6 0.3 -3.9 -6.0 -0.5 -6.3 4.4 -20.0 -19.3 -13.8 -13.6 4.7 5.6 -7.2 -3.1 CAD -12.2 -15.4 3.6 -4.3 -1.5 -0.9 -4.3 0.7 -6.4 3.7 -13.7 -12.3 -17.0 -20.0 -18.8 -6.2 -4.2 -5.5 -4.9 -19.3 -11.5 -9.4 -8.3 -20.0 -0.2 -6.6 1.2 -3.6 -3.4 -2.3 -7.4 -5.3 -0.2 -12.4 -20.0 -12.3 -1.2 -8.1 -4.9 -5.2 CANOLA 11.4 19.0 3.6 -0.1 2.0 -1.9 0.5 -3.1 0.4 5.9 -0.1 6.6 -6.7 8.5 3.4 -17.3 -12.1 -15.2 -14.2 5.2 0.1 5.3 -5.4 6.6 -15.9 2.8 2.4 1.0 1.9 -1.5 2.8 -20.0 1.1 16.2 11.3 9.9 -5.3 -12.4 0.2 -7.5 CHF -13.4 -20.0 8.0 -3.1 -1.1 -0.7 -3.0 0.5 -4.5 -7.5 3.2 -12.1 -2.2 -15.5 -4.1 -15.8 -16.1 -15.5 -15.6 -8.5 -0.2 -13.7 1.4 -14.0 4.7 -3.3 -7.2 0.3 -6.0 1.2 -5.7 -20.0 -12.9 -7.6 -13.1 13.6 -11.7 -13.2 -20.0 -13.5 COCOA 0.9 2.6 9.2 -0.1 1.8 -1.6 0.4 -2.7 0.3 6.2 1.2 4.7 4.2 5.0 5.2 20.0 20.0 20.0 20.0 5.6 6.9 5.7 11.9 5.8 -20.0 2.6 2.4 3.9 2.3 7.8 2.4 20.0 17.0 11.1 5.6 10.5 20.0 20.0 20.0 20.0 COFFEE -9.2 -6.7 2.6 -0.1 4.1 -3.8 1.0 -6.2 0.7 13.2 13.4 -1.7 16.3 -8.0 3.3 1.6 5.0 2.6 3.7 3.2 12.8 4.9 18.8 -1.4 -20.0 1.4 13.3 6.8 3.6 11.6 -0.8 4.2 16.4 3.9 -3.9 14.7 -10.5 -7.5 -1.6 -0.4 COPPER -8.2 6.6 -3.8 2.8 -3.9 1.6 -1.9 0.2 1.4 4.7 -3.5 -1.2 -0.1 -1.4 2.4 -4.0 -3.3 -3.7 -3.2 0.9 1.6 -0.2 2.8 -0.3 -16.0 1.7 -0.4 2.3 -0.7 2.7 0.2 3.7 12.3 -16.2 -0.5 -5.8 17.4 10.6 13.1 19.8 CORN -2.4 5.6 -7.6 -0.2 4.9 -4.5 1.1 -7.4 0.9 18.8 -17.3 2.2 -20.0 -7.1 -3.9 -9.2 -14.4 -12.8 -14.9 -8.9 -20.0 7.1 -20.0 -2.0 -12.7 -5.7 11.6 -10.4 4.7 -14.9 -1.6 -20.0 8.5 -10.7 -15.0 -11.6 6.7 -2.9 11.6 1.1 COTTON2 -7.1 4.5 8.5 -0.1 4.4 -4.0 1.0 -6.6 0.8 8.3 -16.8 -9.8 -17.6 -7.0 1.5 -16.1 -6.6 -13.8 -10.6 -3.7 -9.4 -3.1 -17.4 -5.6 -20.0 -2.3 5.7 -3.3 -1.7 -4.1 -3.8 -18.0 -9.7 -10.2 -4.4 1.7 -17.3 -13.6 -10.9 -8.9 CRUDE_W -0.0 4.9 -11.5 -0.9 5.6 -3.2 3.6 -2.5 1.5 14.5 -7.1 1.3 -2.2 1.4 -5.3 3.1 10.6 6.4 8.9 -4.0 -6.6 5.9 -3.6 0.6 -1.4 -1.3 7.4 -3.6 3.8 -2.5 0.8 9.1 -0.8 -0.8 -1.9 1.2 -2.2 8.2 -2.3 12.7 DAX -10.1 7.6 5.5 2.5 17.7 5.0 6.2 7.8 1.5 1.4 15.1 -7.3 17.7 7.1 15.4 -8.5 -9.9 -8.6 -9.0 9.6 12.3 -4.1 14.3 1.3 9.4 3.9 2.0 5.6 -2.7 7.8 -0.1 -5.4 -20.0 -3.8 8.1 8.0 20.0 8.9 8.5 2.5 DOW -14.9 -4.2 6.2 1.9 13.2 3.8 4.7 5.9 1.2 11.8 12.4 3.9 14.4 6.6 11.4 -9.9 -10.6 -9.9 -10.1 8.4 10.7 14.1 11.6 6.6 -12.2 3.9 13.2 5.3 6.1 6.0 2.9 -6.9 13.5 8.4 11.2 20.0 8.7 5.0 -12.4 -8.2 DX 12.7 20.0 -6.6 -3.4 -1.2 -0.7 -3.3 0.5 -5.0 4.5 2.2 9.9 5.7 16.3 11.5 6.5 6.7 6.3 6.4 12.9 3.6 11.3 0.4 16.4 -20.0 4.4 4.3 1.1 4.3 -0.0 5.7 13.7 18.7 20.0 20.0 -3.6 1.3 8.4 1.2 11.7 EUR -6.7 -18.1 2.5 -3.5 -1.2 -0.8 -3.4 0.5 -5.1 -6.7 -4.2 -7.4 -4.0 -15.0 -12.5 -7.1 -7.1 -6.9 -6.9 -10.1 -3.7 -8.9 -0.6 -11.6 20.0 -4.5 -6.2 -1.3 -4.4 0.5 -5.4 -9.6 -0.8 -4.9 -11.9 -0.3 -4.4 -18.2 -9.6 -20.0 EURIBOR-ICE -13.1 -11.1 13.0 -1.7 -2.3 0.1 -3.0 0.6 -3.0 -0.7 5.7 -4.7 5.6 -5.2 3.3 5.3 -0.6 4.1 1.9 1.1 5.4 -4.3 5.4 -4.0 10.9 0.6 0.4 2.6 -2.0 2.7 -1.8 5.7 2.9 9.6 11.1 9.8 -7.1 -16.4 8.9 5.6 EUROSTX -10.5 1.9 -3.9 2.2 15.7 4.5 5.5 7.0 1.4 -6.7 3.1 -12.0 11.6 -6.9 4.3 -3.8 -3.3 -4.0 -4.0 -2.9 0.5 -11.6 6.2 -8.3 -2.9 -2.1 -4.7 0.6 -7.7 5.3 -5.5 4.7 -20.0 -20.0 -7.4 -9.3 6.3 2.7 -20.0 -9.6 FEEDCOW -3.1 20.0 -10.0 -0.2 4.9 -4.5 1.1 -7.4 0.9 -1.3 -5.5 -7.4 -12.8 13.8 3.1 15.3 -5.6 16.1 8.1 5.1 -7.7 -0.6 -14.5 4.6 -10.9 1.3 2.7 -2.7 -0.4 -4.2 1.1 -2.0 -10.1 -8.7 20.0 -20.0 14.0 20.0 20.0 20.0 GASOIL 2.8 8.5 -14.4 -0.8 5.1 -2.9 3.3 -2.3 1.4 9.7 -11.0 5.9 -4.8 4.0 -7.3 0.5 6.9 1.3 2.6 -4.4 -9.2 9.5 -6.3 2.9 3.7 -2.5 5.0 -5.1 4.6 -3.8 1.3 0.1 5.2 0.9 -4.4 -8.6 0.1 -8.1 1.7 -13.0 GASOLINE -1.4 8.8 -10.3 -0.8 4.8 -2.7 3.1 -2.1 1.3 13.1 -6.3 0.3 -1.1 1.7 -1.8 0.8 20.0 12.1 20.0 -1.4 -3.6 5.4 -1.4 1.6 -19.2 0.8 5.1 -0.6 2.9 -0.0 1.6 20.0 0.4 -0.3 3.7 7.2 2.7 10.9 6.3 18.4 GAS_US_mini -10.0 0.1 6.6 -1.0 6.4 -3.6 4.2 -2.8 1.7 -14.6 -17.9 -16.1 -19.6 -16.6 -16.2 -20.0 -20.0 -20.0 -20.0 -13.8 -13.4 -15.6 -20.0 -16.4 20.0 -5.8 -4.5 -4.8 -6.7 -5.8 -7.2 -20.0 -20.0 -20.0 -20.0 -0.1 -12.1 -20.0 -7.7 -17.5 GBP -12.0 -16.4 3.2 -3.8 -1.3 -0.8 -3.8 0.6 -5.6 -1.7 8.2 -7.6 11.8 -17.6 -3.4 0.3 -0.3 0.3 0.0 -4.5 4.8 -5.8 8.8 -9.6 -2.1 -2.0 -1.0 3.3 -3.2 5.6 -5.0 2.2 5.2 4.6 3.6 9.1 4.7 -20.0 14.9 -20.0 GOLD_micro -10.4 -0.3 9.7 3.7 -5.2 2.1 -2.5 0.3 1.8 -9.7 17.5 -1.5 17.8 9.4 15.5 -13.6 -13.5 -13.5 -13.1 19.7 20.0 -7.3 20.0 9.0 -13.8 5.7 -6.7 6.4 -2.5 6.3 2.7 -13.7 -7.7 12.7 18.6 20.0 20.0 1.0 16.2 6.6 HEATOIL 2.6 11.8 -10.9 -0.8 4.9 -2.8 3.2 -2.2 1.3 11.2 -10.4 2.2 -7.7 -0.3 -6.6 -2.4 2.8 -3.9 -2.8 -3.2 -7.8 6.9 -6.8 2.5 -17.7 -0.4 4.0 -3.2 3.5 -3.2 2.0 -8.4 3.2 -0.3 0.5 -0.5 -2.0 3.8 -0.5 5.5 JGB-SGX-mini -6.7 -7.8 9.3 -2.0 -3.6 0.2 -3.7 0.7 -3.6 -3.6 4.7 0.1 3.4 -6.2 3.7 16.9 16.2 14.1 14.7 0.1 2.6 0.2 2.5 -1.5 -11.6 -0.1 -1.6 1.0 0.3 0.3 -0.7 20.0 18.8 11.3 12.5 5.2 -20.0 -9.4 -20.0 -4.2 JPY -16.8 -20.0 11.3 -1.6 -0.5 -0.3 -1.5 0.2 -2.3 -1.5 -0.7 -6.1 -3.9 -8.4 -3.9 -10.5 -13.9 -11.1 -12.2 -7.6 -3.0 -6.5 -3.7 -9.7 20.0 -2.0 -1.3 -0.7 -2.0 -1.0 -2.7 -20.0 -3.2 -4.9 -12.2 8.4 -20.0 -20.0 -16.1 -20.0 LEANHOG 16.3 20.0 19.9 -0.2 5.5 -5.0 1.3 -8.2 1.0 15.9 5.1 20.0 -0.3 20.0 20.0 -20.0 16.7 19.3 20.0 20.0 20.0 20.0 -1.0 20.0 2.0 8.7 2.7 4.9 6.0 0.7 9.0 20.0 20.0 20.0 20.0 20.0 1.1 -5.2 5.2 0.8 LIVECOW -7.6 18.0 7.7 -0.2 5.5 -5.1 1.3 -8.3 1.0 -8.9 20.0 -14.1 16.3 15.9 19.8 -5.6 6.9 0.5 5.2 19.6 20.0 -6.3 18.9 6.2 -20.0 5.2 0.6 5.8 -2.8 6.3 1.1 8.2 -20.0 -5.3 20.0 12.5 -5.7 20.0 1.4 20.0 LUMBER-new 14.6 17.7 9.0 -0.1 4.3 -4.0 1.0 -6.2 0.8 17.7 -5.9 19.2 -9.9 20.0 19.4 -19.6 -18.4 -19.2 -18.6 17.5 3.8 20.0 -8.0 20.0 NaN 6.2 9.2 1.9 10.8 -1.8 9.3 -20.0 20.0 20.0 20.0 20.0 7.2 2.0 13.5 7.1 MILK -20.0 -18.5 14.6 -0.1 3.2 -2.9 0.7 -4.8 0.6 -11.2 9.9 -14.8 9.0 -14.7 -0.8 6.3 -2.6 18.1 10.8 -6.4 8.9 -20.0 10.7 -19.7 15.2 -2.2 -4.8 2.0 -6.7 2.4 -6.0 2.3 -20.0 -20.0 -20.0 13.9 -4.0 -20.0 1.6 -20.0 MXP -7.0 -1.5 -18.1 -2.7 -0.9 -0.6 -2.7 0.4 -4.0 8.5 -13.4 -7.7 -10.4 -9.0 -12.6 11.8 13.4 11.4 11.7 -11.8 -15.4 -1.4 -11.1 -7.7 -20.0 -5.1 4.5 -6.4 -0.5 -4.4 -3.4 20.0 2.8 -0.5 6.8 -20.0 15.8 19.6 20.0 20.0 NASDAQ_micro -1.2 8.0 4.8 1.7 12.2 3.5 4.3 5.4 1.1 11.1 8.2 6.5 10.8 10.8 9.6 -9.3 -9.7 -8.8 -9.0 8.8 9.3 14.8 12.5 9.3 -20.0 3.9 12.2 4.7 5.8 6.9 3.6 -5.1 10.0 7.6 11.3 0.2 7.8 3.8 -8.6 -4.3 NIKKEI -3.1 10.1 3.1 1.2 8.4 2.4 3.0 3.7 0.7 6.5 3.7 3.0 4.6 5.7 5.3 1.2 7.1 2.7 4.7 2.9 2.3 5.4 4.4 3.3 -7.2 -0.1 4.9 -0.8 2.7 1.7 1.2 20.0 2.8 -0.9 3.0 -16.9 20.0 6.7 20.0 7.8 NZD -14.7 -14.8 4.1 -2.8 -1.0 -0.6 -2.7 0.4 -4.1 6.5 -2.1 -9.4 0.2 -14.4 -6.1 -0.9 -0.1 -0.5 -0.3 -9.2 -3.0 -5.7 -0.5 -11.8 1.1 -3.3 1.4 -0.9 -2.2 0.1 -4.5 2.1 1.9 -1.8 -4.1 -3.0 0.4 -8.5 2.2 -2.1 OAT -13.8 -12.7 6.0 -2.4 -3.2 0.1 -4.0 0.8 -4.1 -11.4 0.2 -12.5 -1.5 -12.3 -5.5 8.0 5.0 6.7 5.3 -6.6 -2.0 -12.8 -1.6 -11.7 3.6 -2.7 -4.5 -0.4 -5.7 0.3 -5.1 13.3 -2.7 5.0 6.0 -1.6 -9.7 -14.5 9.9 5.5 OATIES -1.3 20.0 20.0 -0.2 4.8 -4.4 1.1 -7.2 0.8 2.9 4.4 10.6 -13.2 16.7 19.3 2.0 2.7 3.2 3.5 20.0 16.3 11.1 -0.5 18.3 -20.0 6.7 0.4 4.6 3.7 0.7 5.6 2.0 20.0 13.6 16.8 20.0 20.0 3.7 20.0 13.9 OJ -4.6 -1.2 3.2 -0.1 4.1 -3.7 0.9 -6.1 0.7 -13.8 16.8 -6.6 18.2 0.8 12.2 13.2 12.3 12.3 11.5 9.9 19.8 -15.0 20.0 -1.8 -20.0 3.5 -10.4 8.2 -7.9 14.7 -1.8 16.6 -20.0 5.8 -8.1 20.0 15.2 12.2 20.0 20.0 PALLAD 1.8 7.2 19.7 1.8 -2.6 1.0 -1.2 0.1 0.9 -7.8 3.6 -4.5 -2.8 -0.3 4.2 -2.2 -2.1 -2.1 -2.0 4.4 3.3 -6.6 -1.1 0.9 13.5 2.1 -4.0 1.5 -1.8 -0.1 0.9 5.7 -4.7 -0.9 -0.4 3.2 -10.8 -20.0 -19.7 -20.0 PLAT 2.0 7.1 1.8 2.9 -4.1 1.7 -2.0 0.2 1.4 -10.0 -2.1 -5.7 -1.6 1.5 5.0 -4.0 -4.4 -4.3 -4.4 3.2 2.4 -5.4 0.9 0.2 5.2 2.1 -3.4 1.2 -2.9 0.3 0.4 1.5 -2.9 -1.3 -6.3 -7.5 4.5 -7.9 -5.0 -1.6 REDWHEAT -11.3 7.9 3.6 -0.1 4.3 -4.0 1.0 -6.5 0.8 -2.5 -14.0 -13.5 -17.3 -12.5 -0.7 -10.2 -7.5 -10.5 -9.6 -5.8 -8.8 -8.9 -16.8 -8.6 -4.9 -3.5 -3.3 -4.5 -5.0 -7.1 -5.0 -18.2 -20.0 -20.0 -12.2 -4.5 -20.0 -20.0 -20.0 -20.0 RICE -16.9 -11.9 -8.7 -0.2 4.8 -4.4 1.1 -7.2 0.8 -20.0 7.5 -20.0 11.2 -20.0 -12.5 -10.8 20.0 -4.3 11.1 -16.6 -6.2 -20.0 4.8 -20.0 -16.0 -6.6 -12.2 -2.8 -13.1 0.3 -10.6 20.0 -20.0 -20.0 -20.0 -4.6 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -20.0 -4.4 -0.1 2.2 -2.0 0.5 -3.3 0.4 2.8 6.3 -6.9 8.8 -8.6 0.3 8.2 20.0 20.0 20.0 -1.3 10.4 -5.2 18.1 -8.6 -20.0 -0.5 1.4 3.4 -1.4 7.1 -2.5 20.0 2.6 -11.9 -11.2 12.2 7.7 -0.3 13.9 5.9 RUSSELL -0.7 0.7 3.4 1.8 12.9 3.7 4.6 5.7 1.1 12.8 9.5 7.3 11.9 9.1 9.5 -6.4 -6.4 -6.1 -6.1 7.7 7.0 20.0 6.8 11.4 0.1 4.1 16.3 4.6 9.7 4.7 5.2 0.2 20.0 20.0 11.8 18.0 -3.1 -14.4 -20.0 -20.0 SHATZ -13.7 -9.0 19.9 -1.6 -2.2 0.1 -2.8 0.5 -2.8 -1.8 4.0 -4.6 -0.3 -5.6 2.0 -19.7 -20.0 -20.0 -20.0 -0.4 3.1 -4.7 0.7 -4.9 5.8 -0.0 0.2 1.6 -2.0 0.9 -2.1 -20.0 -0.7 6.0 8.9 7.9 -12.6 -15.4 -1.2 -6.2 SILVER-mini -0.7 7.7 2.2 2.5 -3.6 1.4 -1.7 0.2 1.2 -7.7 8.2 -5.0 8.2 2.4 7.1 -5.7 -6.4 -6.0 -6.1 7.1 8.0 -7.9 7.6 1.4 1.2 2.9 -4.0 2.9 -2.5 2.6 0.9 -1.5 -10.5 2.1 6.3 1.8 4.6 -1.9 -5.6 8.8 SMI -9.1 -6.4 -3.6 1.9 13.4 3.8 4.7 6.0 1.2 -5.8 7.2 -8.6 11.9 -7.3 1.0 0.9 0.3 0.0 -0.4 -3.7 2.4 -11.7 8.0 -9.2 9.0 -1.1 -3.0 3.4 -6.6 6.9 -5.0 10.7 -20.0 -12.5 -14.5 3.2 -5.7 1.4 -20.0 -7.2 SOFR -20.0 -20.0 2.4 -2.7 -3.6 0.1 -4.6 0.9 -4.7 -4.1 2.7 -10.9 5.4 -13.5 -9.3 1.0 0.2 1.5 0.9 -14.4 -2.5 -15.8 2.4 -20.0 -5.8 -3.9 -2.2 -1.1 -3.9 0.6 -5.1 5.7 0.5 -12.3 -19.1 -9.5 1.4 -12.2 20.0 15.3 SOYBEAN -5.6 2.1 -13.2 -0.1 3.6 -3.3 0.8 -5.4 0.6 13.9 -13.5 -1.3 -14.6 -10.1 -9.9 -1.2 0.6 -3.0 -3.0 -12.4 -19.7 2.2 -20.0 -6.7 -20.0 -5.1 5.3 -7.1 1.2 -7.8 -2.7 -6.1 5.5 -14.0 -16.2 -19.2 3.1 -9.4 8.0 -4.9 SOYMEAL -16.4 -5.1 -6.1 -0.1 3.3 -3.1 0.8 -5.0 0.6 -3.8 -12.3 -11.6 -13.7 -14.8 -11.0 -4.8 1.8 -3.2 -1.5 -13.6 -12.9 -12.4 -15.2 -16.2 -20.0 -4.7 -1.4 -3.9 -4.6 -3.7 -5.7 -3.4 -16.7 -19.6 -19.1 -6.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 11.4 20.0 9.3 -0.1 2.1 -1.9 0.5 -3.2 0.4 8.7 -1.8 8.6 -7.8 8.6 4.2 -1.3 0.8 -0.2 0.2 6.2 0.4 15.5 -4.9 10.9 -19.9 2.5 7.5 0.5 5.7 -1.3 4.1 -3.0 20.0 14.1 11.6 2.5 3.6 -6.4 12.1 -1.1 SP400 -5.6 3.4 3.8 2.1 14.8 4.2 5.2 6.6 1.3 14.3 12.1 7.1 15.1 11.2 12.5 -8.1 -6.4 -7.3 -6.8 9.5 9.1 20.0 9.7 11.8 -12.1 4.7 16.9 5.4 9.5 5.9 5.0 -0.2 20.0 20.0 16.5 20.0 4.2 -7.1 -14.9 -20.0 SP500_micro -8.9 2.8 7.7 2.2 15.4 4.4 5.4 6.8 1.3 14.2 16.4 7.3 17.6 12.3 15.7 -11.2 -11.7 -10.9 -11.2 12.7 16.2 16.5 20.0 10.1 -20.0 4.9 13.5 6.9 5.6 9.1 3.3 -8.7 4.3 8.7 14.6 11.1 10.5 3.9 -10.4 -6.3 SUGAR11 -10.6 14.6 20.0 -0.1 3.5 -3.3 0.8 -5.3 0.6 -2.5 7.5 -2.6 -5.9 7.1 9.9 20.0 17.7 20.0 20.0 11.2 9.7 0.9 1.7 3.9 -20.0 3.5 1.7 2.9 0.5 0.3 1.3 20.0 2.7 -0.4 20.0 18.2 -20.0 5.1 -20.0 8.5 US10 -20.0 -20.0 3.0 -2.0 -2.7 0.1 -3.4 0.6 -3.5 -2.2 0.5 -7.8 2.0 -10.1 -7.4 -4.1 -6.9 -5.5 -6.2 -11.1 -3.0 -11.1 -0.3 -15.0 1.6 -3.0 -1.4 -0.9 -2.8 0.2 -3.8 -6.5 0.9 -8.7 -12.9 -7.4 -2.0 -20.0 15.5 8.4 US10U -18.1 -20.0 3.1 -2.8 -3.7 0.2 -4.7 0.9 -4.8 -2.7 0.3 -10.6 2.0 -13.8 -10.3 -4.3 -3.6 -4.5 -4.3 -14.0 -4.0 -13.8 -1.0 -18.6 -1.3 -4.2 -2.1 -1.4 -3.8 0.1 -5.2 -2.0 3.5 -9.9 -15.4 -11.3 -1.0 -17.8 20.0 17.6 US2 -20.0 -20.0 8.7 -1.8 -2.5 0.1 -3.1 0.6 -3.2 -5.5 0.5 -8.7 0.1 -9.8 -6.1 -18.2 -20.0 -20.0 -20.0 -11.5 -2.3 -13.5 -1.1 -16.8 13.4 -2.3 -1.7 -0.3 -2.8 0.3 -3.4 -20.0 -0.9 -6.0 -10.0 0.7 -3.5 -18.9 5.1 -9.1 US20 -15.4 -20.0 1.5 -1.9 -2.6 0.1 -3.3 0.6 -3.4 -1.5 -0.1 -7.2 2.8 -9.6 -7.5 -1.9 -1.3 -2.0 -1.6 -9.4 -2.9 -8.1 -0.4 -11.7 -2.8 -2.9 -1.4 -1.0 -2.3 0.2 -3.4 2.4 5.5 -5.1 -10.2 -9.1 -0.0 -10.5 20.0 20.0 US30 -10.9 -20.0 1.8 -2.2 -2.9 0.1 -3.7 0.7 -3.8 -2.7 -1.1 -7.3 1.2 -10.4 -8.4 -1.2 -4.5 -2.9 -3.8 -8.7 -3.2 -7.0 -1.4 -10.3 -1.9 -3.2 -1.7 -1.3 -2.4 -0.0 -3.6 -2.4 9.8 -1.2 -7.6 -10.2 -2.1 -9.3 20.0 20.0 US5 -20.0 -20.0 4.2 -2.1 -2.8 0.1 -3.6 0.7 -3.7 -3.5 0.6 -8.8 0.9 -10.8 -7.7 -6.8 -10.1 -8.5 -9.4 -12.8 -3.3 -13.1 -0.4 -17.5 5.8 -3.0 -1.4 -0.8 -2.9 0.2 -4.0 -12.1 0.4 -8.6 -14.1 -5.7 0.4 -20.0 16.4 3.6 VIX -6.6 1.1 -0.8 0.4 -14.0 1.1 -7.5 -2.5 -2.7 -13.4 -7.8 -10.8 -10.4 -6.4 -8.2 -10.8 -20.0 -9.0 -16.2 -0.4 0.1 -13.7 -6.0 -5.2 NaN 0.3 -16.2 1.1 -8.7 -3.0 -3.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -10.3 7.1 1.0 -0.1 4.7 -4.3 1.1 -7.1 0.8 5.9 -13.1 -12.2 -16.4 -12.6 2.4 -12.0 -14.3 -12.9 -13.9 -4.6 -9.1 -5.0 -18.3 -6.0 4.5 -3.4 -1.4 -4.9 -3.0 -7.6 -4.0 -20.0 -6.8 -20.0 -9.0 -4.3 -20.0 -17.7 -20.0 -15.7 End of report for caleb_strategy_v3