******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241122_204405 produced at 2024-11-22 21:39:25.395568 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.12 0.0 0.00 0.00 0.00 0.00 -13.54 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.00 -0.65 0.0 0.00 0.00 0.00 0.00 -20.35 16.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -3.40 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.14 -0.19 0.0 999.00 -999.00 -0.14 -0.14 -31.49 999999999.0 -23 -24 caleb_strategy_v3 CHF False False 0.05 -0.34 -0.12 0.0 0.63 -0.63 -0.34 -0.34 -2.41 13.0 -7 -7 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.10 0.0 0.71 -0.71 -0.05 -0.05 -4.03 29.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.08 0.0 0.92 -0.92 -0.07 -0.07 -2.16 25.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -9.44 12.0 -7 -7 caleb_strategy_v3 EUR False False 0.04 -0.09 -0.07 0.0 0.63 -0.63 -0.09 -0.09 -1.58 14.0 -2 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -2.36 12.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.05 0.0 0.59 -0.59 0.00 0.00 -2.03 22.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -4.27 11.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 -0.08 -0.04 0.0 0.47 -0.47 -0.08 -0.08 -1.28 17.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.64 -0.64 0.00 0.00 -1.11 17.0 0 0 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.04 0.0 999.00 -999.00 -0.07 -0.07 -1.15 999999999.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.94 24.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.03 -0.03 0.0 0.50 -0.50 -0.03 -0.03 -3.82 60.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.03 0.0 0.07 -0.07 -0.04 -0.03 -9.27 26.0 -13 -11 caleb_strategy_v3 EUROSTX False False 0.02 -0.07 -0.03 0.0 0.35 -0.35 -0.07 -0.07 -1.98 20.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.84 9.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.03 0.0 0.08 -0.08 -0.01 -0.01 -2.70 8.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -2.93 4.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.62 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.03 -1.63 7.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -2.47 9.0 -2 -2 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.03 0.0 0.50 -0.50 -0.04 -0.04 -0.73 13.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.03 0.0 0.42 -0.42 0.00 0.00 -1.65 21.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.85 3.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.90 19.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.15 -0.15 -0.01 -0.01 -7.87 51.0 -5 -5 caleb_strategy_v3 BUND False True 0.05 -0.05 -0.02 0.0 0.00 -0.05 -0.05 -0.05 -0.49 10.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.67 56.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.52 10.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.94 5.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.91 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.01 0.0 0.25 -0.25 -0.13 -0.13 -0.17 6.0 -3 -3 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.25 9.0 0 0 caleb_strategy_v3 SILVER-mini False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 -0.05 -0.00 0.0 0.12 -0.12 -0.05 -0.05 -0.20 5.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.00 0.0 0.09 -0.09 -0.02 -0.02 -0.15 4.0 -1 -1 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.02 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 -0.00 0.0 0.09 -0.09 0.01 0.01 -0.28 10.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.04 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.43 18.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 -0.00 0.0 0.33 -0.33 0.01 0.01 -0.09 23.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.08 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 2.44 3.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.23 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.47 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.01 0.0 0.49 -0.49 0.01 0.03 1.26 48.0 1 3 caleb_strategy_v3 SP400 False False 0.12 0.23 0.02 0.0 0.23 -0.23 0.23 0.23 0.21 2.0 2 2 caleb_strategy_v3 BOBL False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.44 19.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 4.24 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.50 -0.50 0.00 0.01 2.44 66.0 0 1 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.23 3.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.06 0.03 0.0 0.80 -0.80 0.06 0.06 0.88 26.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.04 0.0 0.41 -0.41 0.00 0.00 5.19 58.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.04 0.0 0.44 -0.44 0.00 0.03 1.38 17.0 0 1 caleb_strategy_v3 OAT False True 0.05 0.05 0.05 0.0 0.05 0.00 0.05 0.05 1.07 10.0 1 1 caleb_strategy_v3 BTP False True 0.04 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.05 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.06 0.0 0.00 0.00 0.00 0.00 18.65 59.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.07 0.0 0.31 -0.31 0.04 0.03 8.70 36.0 5 4 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.07 0.0 0.35 -0.35 0.04 0.04 1.64 8.0 1 1 caleb_strategy_v3 DX False True 0.04 0.00 0.08 0.0 0.00 0.00 0.00 0.00 2.13 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.09 0.0 0.15 -0.15 0.08 0.08 7.80 13.0 7 7 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.98 0.0 0.88 -0.88 0.00 0.00 11.06 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.0 Shocked risk 32.6 Sum abs risk 41.0 Leverage 5.16 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2905060.34, 'annual_cash_vol_target': 726265.085, 'daily_cash_vol_target': 45391.5678125} ====================================================================== Vol calculation ====================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6499 0.6690 10.7047 BITCOIN 2131.0856 100810.0000 2.1140 33.8234 BOBL 0.2412 119.0900 0.2026 3.2409 BTP 0.5108 120.8900 0.4225 6.7603 BUND 0.4603 133.1200 0.3458 5.5326 BUXL 1.1355 134.8200 0.8423 13.4762 CAC 64.0663 7273.0000 0.8809 14.0941 CAD 0.0028 0.7158 0.3921 6.2733 CANOLA 10.3572 605.7000 1.7099 27.3592 CHF 0.0055 1.1204 0.4915 7.8647 COCOA 172.8848 8963.0000 1.9289 30.8620 COFFEE 4.6215 302.9000 1.5257 24.4119 COPPER 0.0636 4.1270 1.5404 24.6464 CORN 3.8007 435.7500 0.8722 13.9556 COTTON2 0.9105 70.7700 1.2866 20.5853 CRUDE_W 1.0711 68.3700 1.5666 25.0657 DAX 156.7940 19405.0000 0.8080 12.9281 DOW 315.8815 44366.0000 0.7120 11.3918 DX 0.4440 107.5250 0.4129 6.6067 EUR 0.0055 1.0421 0.5319 8.5107 EURIBOR-ICE 0.0451 98.0000 0.0460 0.7360 EUROSTX 45.6494 4809.0000 0.9493 15.1880 FEEDCOW 1.6313 253.2500 0.6441 10.3062 GASOIL 11.1864 688.7500 1.6242 25.9866 GASOLINE 0.0368 2.0355 1.8093 28.9488 GAS_US_mini 0.1144 3.3000 3.4661 55.4568 GBP 0.0067 1.2527 0.5328 8.5243 GOLD_micro 24.5993 2735.3000 0.8993 14.3892 HEATOIL 0.0391 2.2808 1.7146 27.4335 JGB-SGX-mini 0.2227 142.6700 0.1561 2.4981 JPY 0.0000 0.0065 0.7410 11.8553 LEANHOG 1.0119 85.7000 1.1807 18.8916 LIVECOW 1.0109 188.3000 0.5369 8.5900 LUMBER-new 8.0263 613.0000 1.3093 20.9494 MILK 0.2559 18.3000 1.3984 22.3748 MXP 0.0004 0.0486 0.8350 13.3602 NASDAQ_micro 174.7814 20847.0000 0.8384 13.4144 NIKKEI 421.1109 38560.0000 1.0921 17.4735 NZD 0.0039 0.5831 0.6699 10.7189 OAT 0.4483 125.2500 0.3579 5.7268 OATIES 6.8049 371.0000 1.8342 29.3472 OJ 7.5692 505.5000 1.4974 23.9579 PALLAD 28.3497 1022.5000 2.7726 44.3615 PLAT 15.0630 971.2000 1.5510 24.8154 REDWHEAT 8.6248 564.7500 1.5272 24.4351 RICE 0.1473 15.1900 0.9700 15.5194 ROBUSTA 78.2931 4917.0000 1.5923 25.4767 RUSSELL 28.1836 2412.4000 1.1683 18.6925 SHATZ 0.0844 106.9850 0.0789 1.2630 SILVER-mini 0.5262 31.5000 1.6705 26.7279 SMI 96.5497 11752.0000 0.8216 13.1450 SOFR 0.0564 96.1850 0.0586 0.9383 SOYBEAN 9.2626 1007.5000 0.9194 14.7098 SOYMEAL 3.4136 296.2000 1.1525 18.4392 SOYOIL 0.8388 42.2500 1.9854 31.7662 SP400 29.7754 3343.2000 0.8906 14.2500 SP500_micro 38.2022 5980.2500 0.6388 10.2209 SUGAR11 0.2921 20.0500 1.4568 23.3083 US10 0.3758 109.8125 0.3422 5.4751 US10U 0.5244 112.8281 0.4648 7.4369 US2 0.0911 102.5195 0.0889 1.4219 US20 0.7941 116.5000 0.6816 10.9062 US30 1.2472 122.7188 1.0163 16.2606 US5 0.2290 106.5469 0.2149 3.4383 VIX 0.5300 17.3000 3.0634 49.0150 WHEAT 7.7142 611.0000 1.2626 20.2008 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.90 0.67 434.81 1.00 434.81 45391.57 104.39 -3.33 -34.78 BITCOIN 100.81 2.11 213.11 1.00 213.11 45391.57 213.00 8.09 172.25 BOBL 1190.90 0.20 241.22 1.05 254.37 45391.57 178.45 2.43 43.42 BTP 1208.90 0.42 510.78 1.05 538.62 45391.57 84.27 3.64 30.68 BUND 1331.20 0.35 460.31 1.05 485.40 45391.57 93.51 -5.12 -47.90 BUXL 1348.20 0.84 1135.54 1.05 1197.42 45391.57 37.91 -0.42 -1.60 CAC 727.30 0.88 640.66 1.05 675.58 45391.57 67.19 -10.28 -69.09 CAD 715.75 0.39 280.63 1.00 280.63 45391.57 161.75 -9.61 -155.38 CANOLA 121.14 1.71 207.14 0.72 148.31 45391.57 306.05 -10.57 -323.40 CHF 1400.50 0.49 688.41 1.00 688.41 45391.57 65.94 -14.06 -92.69 COCOA 896.30 1.93 1728.85 1.00 1728.85 45391.57 26.26 15.59 40.92 COFFEE 1135.87 1.53 1733.06 1.00 1733.06 45391.57 26.19 7.58 19.85 COPPER 1031.75 1.54 1589.31 1.00 1589.31 45391.57 28.56 -3.73 -10.65 CORN 217.88 0.87 190.04 1.00 190.04 45391.57 238.86 -16.24 -388.02 COTTON2 353.85 1.29 455.26 1.00 455.26 45391.57 99.71 -20.00 -199.41 CRUDE_W 683.70 1.57 1071.09 1.00 1071.09 45391.57 42.38 -0.43 -1.83 DAX 194.05 0.81 156.79 1.05 165.34 45391.57 274.54 5.55 152.23 DOW 221.83 0.71 157.94 1.00 157.94 45391.57 287.40 3.66 105.21 DX 1075.25 0.41 443.99 1.00 443.99 45391.57 102.23 8.02 82.02 EUR 1302.62 0.53 692.89 1.00 692.89 45391.57 65.51 -9.29 -60.84 EURIBOR-ICE 2450.00 0.05 112.70 1.05 118.85 45391.57 381.94 8.49 324.34 EUROSTX 480.90 0.95 456.49 1.05 481.37 45391.57 94.30 -6.16 -58.06 FEEDCOW 1266.25 0.64 815.64 1.00 815.64 45391.57 55.65 8.87 49.39 GASOIL 688.75 1.62 1118.64 1.00 1118.64 45391.57 40.58 -0.84 -3.40 GASOLINE 854.91 1.81 1546.79 1.00 1546.79 45391.57 29.35 0.32 0.93 GAS_US_mini 82.50 3.47 285.95 1.00 285.95 45391.57 158.74 -5.39 -85.60 GBP 782.94 0.53 417.13 1.00 417.13 45391.57 108.82 -7.18 -78.16 GOLD_micro 273.53 0.90 245.99 1.00 245.99 45391.57 184.52 -1.06 -19.60 HEATOIL 957.94 1.71 1642.47 1.00 1642.47 45391.57 27.64 -7.08 -19.56 JGB-SGX-mini 142670.00 0.16 22274.94 0.01 143.32 45391.57 316.72 -5.93 -187.91 JPY 809.75 0.74 599.99 1.00 599.99 45391.57 75.65 -6.54 -49.49 LEANHOG 342.80 1.18 404.75 1.00 404.75 45391.57 112.15 11.44 128.31 LIVECOW 753.20 0.54 404.38 1.00 404.38 45391.57 112.25 3.72 41.71 LUMBER-new 168.58 1.31 220.72 1.00 220.72 45391.57 205.65 5.54 113.94 MILK 366.00 1.40 511.82 1.00 511.82 45391.57 88.69 -4.97 -44.05 MXP 242.90 0.84 202.82 1.00 202.82 45391.57 223.80 -1.16 -26.02 NASDAQ_micro 416.94 0.84 349.56 1.00 349.56 45391.57 129.85 -0.28 -3.70 NIKKEI 38560.00 1.09 42111.09 0.01 271.87 45391.57 166.96 4.81 80.39 NZD 583.10 0.67 390.64 1.00 390.64 45391.57 116.20 -5.48 -63.63 OAT 1252.50 0.36 448.30 1.05 472.73 45391.57 96.02 3.27 31.44 OATIES 185.50 1.83 340.24 1.00 340.24 45391.57 133.41 -2.81 -37.55 OJ 758.25 1.50 1135.38 1.00 1135.38 45391.57 39.98 14.31 57.21 PALLAD 1022.50 2.77 2834.97 1.00 2834.97 45391.57 16.01 -1.40 -2.24 PLAT 485.60 1.55 753.15 1.00 753.15 45391.57 60.27 -2.54 -15.29 REDWHEAT 282.38 1.53 431.24 1.00 431.24 45391.57 105.26 -19.34 -203.58 RICE 303.80 0.97 294.67 1.00 294.67 45391.57 154.04 -7.81 -120.33 ROBUSTA 491.70 1.59 782.93 1.00 782.93 45391.57 57.98 6.91 40.04 RUSSELL 120.62 1.17 140.92 1.00 140.92 45391.57 322.11 3.97 127.95 SHATZ 1069.85 0.08 84.45 1.05 89.05 45391.57 509.72 -1.82 -92.92 SILVER-mini 787.50 1.67 1315.51 1.00 1315.51 45391.57 34.50 -0.48 -1.66 SMI 1175.20 0.82 965.50 1.13 1093.28 45391.57 41.52 -4.37 -18.15 SOFR 2404.62 0.06 141.02 1.00 141.02 45391.57 321.87 -6.92 -222.85 SOYBEAN 503.75 0.92 463.13 1.00 463.13 45391.57 98.01 -17.86 -175.07 SOYMEAL 296.20 1.15 341.36 1.00 341.36 45391.57 132.97 -20.00 -265.95 SOYOIL 253.50 1.99 503.30 1.00 503.30 45391.57 90.19 -3.36 -30.28 SP400 3343.20 0.89 2977.54 1.00 2977.54 45391.57 15.24 4.24 6.47 SP500_micro 299.01 0.64 191.01 1.00 191.01 45391.57 237.64 2.28 54.12 SUGAR11 224.56 1.46 327.13 1.00 327.13 45391.57 138.76 -1.47 -20.37 US10 1098.12 0.34 375.77 1.00 375.77 45391.57 120.80 -7.28 -87.93 US10U 1128.28 0.46 524.43 1.00 524.43 45391.57 86.55 -6.64 -57.44 US2 2050.39 0.09 182.22 1.00 182.22 45391.57 249.10 -10.77 -268.27 US20 1165.00 0.68 794.11 1.00 794.11 45391.57 57.16 -3.44 -19.65 US30 1227.19 1.02 1247.18 1.00 1247.18 45391.57 36.40 -3.67 -13.35 US5 1065.47 0.21 228.96 1.00 228.96 45391.57 198.25 -8.60 -170.44 VIX 173.00 3.06 529.97 1.00 529.97 45391.57 85.65 -14.90 -127.59 WHEAT 305.50 1.26 385.71 1.00 385.71 45391.57 117.68 -18.21 -214.30 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -34.776 0.010 2.5 -0.902 BITCOIN 172.254 0.043 2.5 18.653 BOBL 43.421 0.004 2.5 0.440 BTP 30.683 0.014 2.5 1.047 BUND -47.897 0.004 2.5 -0.486 BUXL -1.599 0.004 2.5 -0.016 CAC -69.087 0.014 2.5 -2.356 CAD -155.375 0.010 2.5 -4.031 CANOLA -323.401 0.010 2.5 -7.868 CHF -92.695 0.010 2.5 -2.405 COCOA 40.922 0.009 2.5 0.876 COFFEE 19.852 0.005 2.5 0.232 COPPER -10.646 0.043 2.5 -1.153 CORN -388.022 0.010 2.5 -9.440 COTTON2 -199.411 0.009 2.5 -4.271 CRUDE_W -1.826 0.043 2.5 -0.198 DAX 152.231 0.014 2.5 5.192 DOW 105.206 0.009 2.5 2.445 DX 82.024 0.010 2.5 2.128 EUR -60.840 0.010 2.5 -1.579 EURIBOR-ICE 324.345 0.014 2.5 11.063 EUROSTX -58.057 0.014 2.5 -1.980 FEEDCOW 49.388 0.013 2.5 1.637 GASOIL -3.403 0.017 2.5 -0.148 GASOLINE 0.934 0.017 2.5 0.040 GAS_US_mini -85.597 0.043 2.5 -9.269 GBP -78.158 0.010 2.5 -2.028 GOLD_micro -19.600 0.014 2.5 -0.669 HEATOIL -19.556 0.017 2.5 -0.848 JGB-SGX-mini -187.906 0.043 2.5 -20.348 JPY -49.489 0.010 2.5 -1.284 LEANHOG 128.310 0.024 2.5 7.798 LIVECOW 41.710 0.013 2.5 1.382 LUMBER-new 113.938 0.009 2.5 2.440 MILK -44.052 0.009 2.5 -0.943 MXP -26.018 0.059 2.5 -3.819 NASDAQ_micro -3.699 0.009 2.5 -0.086 NIKKEI 80.386 0.043 2.5 8.705 NZD -63.631 0.010 2.5 -1.651 OAT 31.439 0.014 2.5 1.072 OATIES -37.545 0.010 2.5 -0.913 OJ 57.215 0.009 2.5 1.225 PALLAD -2.235 0.014 2.5 -0.076 PLAT -15.287 0.014 2.5 -0.521 REDWHEAT -203.585 0.005 2.5 -2.701 RICE -120.329 0.010 2.5 -2.927 ROBUSTA 40.045 0.005 2.5 0.468 RUSSELL 127.952 0.013 2.5 4.240 SHATZ -92.921 0.004 2.5 -0.942 SILVER-mini -1.664 0.014 2.5 -0.057 SMI -18.149 0.014 2.5 -0.619 SOFR -222.846 0.024 2.5 -13.543 SOYBEAN -175.071 0.004 2.5 -1.628 SOYMEAL -265.948 0.004 2.5 -2.473 SOYOIL -30.283 0.004 2.5 -0.282 SP400 6.469 0.013 2.5 0.214 SP500_micro 54.124 0.009 2.5 1.258 SUGAR11 -20.367 0.009 2.5 -0.433 US10 -87.930 0.005 2.5 -1.114 US10U -57.439 0.005 2.5 -0.728 US2 -268.268 0.005 2.5 -3.399 US20 -19.647 0.005 2.5 -0.249 US30 -13.349 0.005 2.5 -0.169 US5 -170.441 0.005 2.5 -2.160 VIX -127.593 0.099 2.5 -31.495 WHEAT -214.298 0.005 2.5 -2.843 ===================== Position diags ===================== AUD 2.71 BITCOIN 23.06 BOBL 1.81 BTP 2.87 BUND 0.95 BUXL 0.38 CAC 2.29 CAD 4.20 CANOLA 7.45 CHF 1.71 COCOA 0.56 COFFEE 0.31 COPPER 3.09 CORN 5.81 COTTON2 2.14 CRUDE_W 4.59 DAX 9.36 DOW 6.68 DX 2.65 EUR 1.70 EURIBOR-ICE 13.03 EUROSTX 3.22 FEEDCOW 1.84 GASOIL 1.76 GASOLINE 1.27 GAS_US_mini 17.19 GBP 2.82 GOLD_micro 6.29 HEATOIL 1.20 JGB-SGX-mini 34.30 JPY 1.96 LEANHOG 6.82 LIVECOW 3.72 LUMBER-new 4.40 MILK 1.90 MXP 32.85 NASDAQ_micro 3.02 NIKKEI 18.08 NZD 3.01 OAT 3.28 OATIES 3.25 OJ 0.86 PALLAD 0.55 PLAT 2.06 REDWHEAT 1.40 RICE 3.75 ROBUSTA 0.68 RUSSELL 10.67 SHATZ 5.17 SILVER-mini 1.18 SMI 1.42 SOFR 19.56 SOYBEAN 0.91 SOYMEAL 1.24 SOYOIL 0.84 SP400 0.51 SP500_micro 5.52 SUGAR11 2.95 US10 1.53 US10U 1.10 US2 3.16 US20 0.72 US30 0.46 US5 2.51 VIX 21.14 WHEAT 1.56 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.2 -0.6 0.0 0 BITCOIN 18.7 16.3 21.0 0.0 0 BOBL 0.4 0.3 0.6 0.0 0 BTP 1.0 0.8 1.3 0.0 0 BUND -0.5 -0.6 -0.4 -1.0 -1 BUXL -0.0 -0.1 0.0 0.0 0 CAC -2.4 -2.6 -2.1 0.0 0 CAD -4.0 -4.5 -3.6 -2.0 -2 CANOLA -7.9 -8.6 -7.1 -5.0 -5 CHF -2.4 -2.6 -2.2 -7.0 -7 COCOA 0.9 0.8 0.9 2.0 2 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -1.2 -1.5 -0.8 -2.0 -2 CORN -9.4 -10.0 -8.9 -7.0 -7 COTTON2 -4.3 -4.5 -4.1 -5.0 -5 CRUDE_W -0.2 -0.7 0.3 -2.0 -2 DAX 5.2 4.3 6.1 0.0 0 DOW 2.4 1.8 3.1 0.0 0 DX 2.1 1.9 2.4 0.0 0 EUR -1.6 -1.7 -1.4 -2.0 -2 EURIBOR-ICE 11.1 9.8 12.4 0.0 0 EUROSTX -2.0 -2.3 -1.7 -4.0 -4 FEEDCOW 1.6 1.5 1.8 1.0 1 GASOIL -0.1 -0.3 0.0 -1.0 -1 GASOLINE 0.0 -0.1 0.2 0.0 0 GAS_US_mini -9.3 -11.0 -7.6 -13.0 -13 GBP -2.0 -2.3 -1.7 0.0 0 GOLD_micro -0.7 -1.3 -0.0 0.0 0 HEATOIL -0.8 -1.0 -0.7 -1.0 -1 JGB-SGX-mini -20.3 -23.8 -16.9 0.0 0 JPY -1.3 -1.5 -1.1 -3.0 -3 LEANHOG 7.8 7.1 8.5 7.0 7 LIVECOW 1.4 1.0 1.8 0.0 0 LUMBER-new 2.4 2.0 2.9 0.0 0 MILK -0.9 -1.1 -0.8 0.0 0 MXP -3.8 -7.1 -0.5 -4.0 -4 NASDAQ_micro -0.1 -0.4 0.2 1.0 1 NIKKEI 8.7 6.9 10.5 5.0 5 NZD -1.7 -2.0 -1.3 0.0 0 OAT 1.1 0.7 1.4 1.0 1 OATIES -0.9 -1.2 -0.6 NaN 0 OJ 1.2 1.1 1.3 1.0 1 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT -0.5 -0.7 -0.3 0.0 0 REDWHEAT -2.7 -2.8 -2.6 -1.0 -1 RICE -2.9 -3.3 -2.6 NaN 0 ROBUSTA 0.5 0.4 0.5 0.0 0 RUSSELL 4.2 3.2 5.3 0.0 0 SHATZ -0.9 -1.5 -0.4 NaN 0 SILVER-mini -0.1 -0.2 0.1 0.0 0 SMI -0.6 -0.8 -0.5 0.0 0 SOFR -13.5 -15.5 -11.6 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -2.0 -2 SOYMEAL -2.5 -2.6 -2.3 -2.0 -2 SOYOIL -0.3 -0.4 -0.2 1.0 1 SP400 0.2 0.2 0.3 2.0 2 SP500_micro 1.3 0.7 1.8 1.0 1 SUGAR11 -0.4 -0.7 -0.1 0.0 0 US10 -1.1 -1.3 -1.0 0.0 0 US10U -0.7 -0.8 -0.6 -1.0 -1 US2 -3.4 -3.7 -3.1 NaN 0 US20 -0.2 -0.3 -0.2 0.0 0 US30 -0.2 -0.2 -0.1 -3.0 -3 US5 -2.2 -2.4 -1.9 -2.0 -2 VIX -31.5 -33.6 -29.4 -23.0 -23 WHEAT -2.8 -3.0 -2.7 -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 -0.2 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.1 -0.0 -0.2 0.0 -0.1 BITCOIN 0.6 0.6 0.2 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.4 0.2 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.6 0.6 0.6 0.1 -0.1 -0.0 0.0 BOBL -0.1 -0.5 0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.0 -0.1 -0.1 -0.0 0.4 -0.1 0.3 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.5 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.3 0.3 0.4 0.2 -0.4 -0.5 0.1 -0.0 BTP -0.2 -0.3 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.3 0.1 0.6 -0.0 0.0 0.2 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.0 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 0.6 0.5 0.5 0.6 0.5 -0.4 -0.4 0.3 0.3 BUND -0.1 -0.5 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.8 0.4 0.3 0.4 0.1 -0.7 -0.6 0.0 -0.0 BUXL 0.2 -0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 0.4 0.6 0.6 0.1 -0.7 -0.7 -0.3 -0.3 CAC -0.4 -0.3 -0.2 0.0 0.0 0.1 0.0 0.3 0.0 -0.1 -0.3 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 -0.6 -0.6 -0.5 0.1 0.2 -0.2 -0.1 CAD 0.0 -0.6 -0.1 -0.1 -0.0 -0.1 -0.1 -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 -0.2 -0.1 -0.3 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 0.5 0.3 -0.2 -0.1 -0.1 -0.3 -0.2 -0.2 CANOLA -0.4 0.4 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 -0.1 -0.1 -0.0 -1.7 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.2 0.2 0.2 -0.2 -0.4 -0.0 -0.2 CHF -0.5 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 -0.0 -0.2 0.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -1.1 -0.1 -0.3 -0.3 0.0 -0.4 -0.4 -0.7 -0.4 COCOA 0.6 0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.2 0.4 0.4 0.4 0.2 0.1 0.2 0.4 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 COFFEE 0.6 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.0 0.1 0.0 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 0.2 0.5 0.6 0.6 0.6 -0.4 -0.3 -0.1 0.0 COPPER -0.5 -0.4 -0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -1.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.3 -0.1 -0.2 -0.1 0.5 0.4 0.3 0.7 CORN 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.0 -0.2 -0.3 -0.2 -0.3 -0.1 -0.2 -0.1 -0.5 -0.1 -1.6 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -1.1 -0.5 -0.1 -0.4 -0.3 0.3 -0.1 0.5 0.1 COTTON2 -0.3 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.5 -0.1 -0.6 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.4 -0.1 -2.7 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -1.0 -0.5 -0.6 -0.6 -0.0 -0.6 -0.5 -0.5 -0.4 CRUDE_W 0.1 0.0 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.2 -0.1 -0.1 0.1 0.2 0.1 0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.4 -0.2 -0.2 -0.3 0.1 -0.1 0.2 -0.0 0.4 DAX -0.5 -0.1 0.1 0.0 0.0 0.1 0.0 0.3 0.0 0.0 0.3 -0.1 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.3 -0.0 1.0 0.0 0.0 0.1 -0.0 0.3 -0.0 -0.3 0.2 -0.6 -0.1 0.1 0.7 0.4 0.4 0.1 DOW 0.2 -0.0 0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -1.5 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 0.2 0.6 0.4 0.6 0.1 0.1 -0.4 -0.3 DX 0.4 0.6 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 -2.7 0.0 0.0 0.1 0.1 0.0 0.1 0.7 0.5 0.6 0.6 0.4 -0.1 0.2 -0.1 0.3 EUR -0.4 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 1.9 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.5 -0.3 -0.3 -0.4 -0.2 -0.0 -0.5 -0.1 -0.6 EURIBOR-ICE -0.0 -0.3 0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.2 0.1 0.2 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.4 0.5 0.4 -0.2 -0.5 0.3 0.2 EUROSTX -0.4 -0.3 -0.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 -0.0 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.2 0.0 -0.6 -0.6 -0.3 0.2 0.1 -0.5 -0.3 FEEDCOW 0.4 0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.2 -0.0 0.2 -0.4 0.2 0.1 0.2 -0.1 0.3 0.2 0.2 0.0 0.2 -0.3 0.2 -1.6 0.1 0.1 0.0 0.1 -0.1 0.1 0.0 0.5 0.6 0.6 -0.2 0.5 0.7 0.7 0.7 GASOIL 0.3 0.2 -0.4 -0.0 0.1 -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 0.1 -0.1 0.0 -0.2 0.0 0.0 0.1 0.3 -0.1 -0.3 0.0 -0.2 0.1 -0.4 GASOLINE 0.1 0.1 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.1 -0.0 -0.0 -0.0 0.4 0.2 0.3 -0.0 -0.0 0.0 -0.1 0.0 -2.7 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 -0.1 -0.1 -0.0 0.2 0.1 0.3 0.2 0.6 GAS_US_mini 0.3 0.0 0.4 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.4 0.1 -0.7 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.4 0.1 2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.1 -0.6 0.1 -0.5 -0.7 -0.3 -0.5 GBP -0.6 -0.6 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 0.2 -0.2 -0.1 0.0 -0.0 0.0 0.0 -0.2 -0.0 -0.2 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.4 -0.2 -0.2 0.1 0.2 -0.5 0.6 -0.5 GOLD_micro -0.6 -0.6 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 -0.0 0.4 -0.0 0.0 -0.2 -0.3 -0.2 -0.3 0.0 0.1 0.0 0.3 -0.0 -1.3 0.0 0.0 0.1 0.0 0.2 -0.0 -0.7 0.1 -0.1 0.1 0.4 0.7 0.1 0.7 0.3 HEATOIL 0.2 0.2 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.3 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 JGB-SGX-mini -0.5 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.4 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -1.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 1.1 -0.5 -0.1 0.1 0.2 -0.7 -0.4 -0.7 -0.3 JPY -0.2 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 0.1 -0.2 0.1 -0.5 -0.7 -0.4 -0.7 LEANHOG -0.3 0.6 0.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 0.2 0.0 0.1 0.2 0.2 -0.4 0.2 0.0 0.3 0.2 0.2 0.1 0.1 0.2 0.0 0.1 0.0 0.2 0.0 0.1 0.0 1.1 0.2 0.6 0.6 0.6 0.1 -0.2 0.3 0.0 LIVECOW -0.4 0.1 0.3 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 0.2 0.5 -0.0 0.6 0.0 0.2 -0.3 0.1 -0.1 0.0 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.3 0.0 0.2 0.5 -0.3 0.5 0.2 -0.2 0.7 0.0 0.7 LUMBER-new 0.6 0.7 0.5 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 0.1 0.1 -0.2 0.2 0.2 -0.5 -0.4 -0.5 -0.4 0.2 0.1 0.1 -0.1 0.2 NaN 0.1 -0.0 0.1 0.0 -0.0 0.1 -1.2 0.4 0.7 0.7 0.7 0.4 0.1 0.7 0.4 MILK -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.1 0.1 -0.0 0.3 0.2 -0.1 0.0 -0.2 0.2 -0.2 1.9 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.4 -0.6 -0.6 0.1 -0.2 -0.7 -0.0 -0.7 MXP 0.0 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.2 -0.1 -0.3 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 1.1 0.2 0.2 0.4 -0.4 0.6 0.7 0.7 0.7 NASDAQ_micro 0.1 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.3 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 -0.2 0.2 0.3 0.3 0.3 0.1 -0.2 -0.2 NIKKEI -0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.2 -0.0 -1.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.1 -0.2 -0.0 -0.0 -0.5 0.7 0.3 0.7 0.4 NZD -0.3 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.1 -0.2 -0.0 -0.0 OAT -0.1 -0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 -0.1 -0.0 0.0 -0.1 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.6 0.2 0.3 0.5 0.1 -0.2 -0.5 0.4 0.2 OATIES -0.6 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 0.0 -0.1 -0.3 -0.1 0.1 -0.2 0.0 -0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 -2.7 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.0 0.5 0.7 0.2 0.7 0.5 OJ -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.5 0.2 0.7 0.1 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.5 0.1 1.1 0.5 0.5 0.4 0.6 0.5 0.3 0.7 0.7 PALLAD -0.6 -0.0 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 1.7 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.3 0.1 -0.1 0.0 0.1 -0.4 -0.7 -0.7 -0.7 PLAT -0.5 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.2 0.2 -0.3 -0.0 -0.1 REDWHEAT -0.4 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.5 -0.2 -0.6 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.2 -0.6 -0.4 -0.2 -0.7 -0.7 -0.7 -0.7 RICE 0.1 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.1 0.1 0.3 -0.0 -0.1 -0.2 0.4 -0.1 0.1 -0.1 -0.1 0.1 0.1 -0.0 -1.9 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.5 -0.2 -0.5 -0.3 -0.6 -0.7 -0.6 -0.7 ROBUSTA 0.3 -0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.4 -0.0 0.0 0.1 0.4 0.3 0.4 0.1 0.1 0.2 0.5 0.1 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 1.1 0.5 0.6 -0.3 0.6 0.2 0.0 0.3 0.2 RUSSELL 0.4 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.2 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.6 0.5 0.4 -0.2 -0.4 -0.7 -0.7 SHATZ -0.1 -0.3 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.0 0.0 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 0.0 0.0 0.0 0.8 0.0 0.1 0.1 0.0 0.0 0.0 -1.1 0.3 0.3 0.4 0.3 -0.3 -0.5 0.0 -0.2 SILVER-mini -0.6 -0.1 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.2 -0.1 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 0.1 0.1 0.2 -0.1 -0.1 0.3 SMI -0.6 -0.4 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.9 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.6 -0.1 -0.6 -0.5 -0.2 -0.2 0.1 -0.7 -0.3 SOFR -0.3 -0.6 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 -0.1 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.1 -0.0 -0.2 -0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.2 -0.2 -0.5 -0.4 0.0 -0.3 0.6 0.5 SOYBEAN 0.0 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.3 -0.6 -0.6 0.1 -0.3 0.3 -0.1 SOYMEAL -0.4 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.2 -0.6 -0.2 -0.2 -0.2 0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.3 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.0 0.4 0.5 -0.0 -0.0 -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 -0.0 0.0 0.0 -0.1 -0.1 -0.0 -2.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.5 0.1 0.2 0.2 0.1 -0.2 0.4 -0.0 SP400 0.3 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 -1.4 0.1 0.1 0.1 0.0 0.2 0.0 -0.0 0.3 0.6 0.6 0.5 -0.0 -0.2 -0.6 -0.7 SP500_micro 0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.3 0.0 0.0 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.5 -0.0 0.3 0.5 0.6 0.2 0.1 -0.4 -0.3 SUGAR11 -0.4 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.2 -0.1 -0.2 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.1 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.0 -0.0 1.1 -0.1 -0.1 -0.2 0.6 -0.7 0.1 -0.7 0.2 US10 -0.2 -0.6 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.1 -0.1 -0.4 -0.3 -0.1 -0.7 0.4 0.3 US10U -0.2 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.4 -0.4 -0.0 -0.5 0.7 0.6 US2 -0.6 -0.6 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.1 -0.2 2.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.3 -0.6 -0.1 -0.2 -0.6 0.1 -0.3 US20 -0.0 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.2 0.0 -0.3 0.7 0.6 US30 -0.0 -0.6 -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 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.2 0.1 -0.1 -0.2 0.0 -0.3 0.7 0.6 US5 -0.4 -0.6 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 -0.2 -0.2 -0.5 -0.3 -0.0 -0.6 0.4 0.2 VIX -0.7 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.5 -0.6 -0.4 -0.6 -0.1 -0.1 -0.1 -0.3 -0.2 NaN -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.0 -0.4 -0.1 -0.6 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.5 -0.2 0.7 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.5 -0.2 -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 -6.4 -19.2 -2.3 -3.8 -3.4 -1.8 -4.2 -0.3 -4.9 -3.7 -4.6 -8.8 -0.7 -12.8 -10.6 -0.3 -1.6 -0.5 -0.9 -10.7 -4.9 -7.7 -1.4 -12.1 2.7 -3.9 -1.2 -1.7 -2.6 -0.3 -4.4 -0.0 8.0 5.6 2.6 1.9 -0.3 -6.2 0.6 -3.3 BITCOIN 20.0 20.0 6.3 0.2 3.5 1.2 -1.3 0.1 -2.8 20.0 14.0 20.0 15.2 20.0 20.0 -7.3 -6.9 -6.8 -6.6 20.0 20.0 20.0 16.9 20.0 -20.0 7.6 8.1 4.3 10.3 3.5 10.5 -2.5 20.0 20.0 20.0 19.8 2.1 -2.3 -1.5 1.5 BOBL -2.6 -14.4 4.7 -2.6 0.6 -0.8 -0.9 0.2 -2.7 9.6 2.1 3.9 -2.0 -5.8 -4.6 19.2 -2.7 12.9 4.2 -3.1 -0.2 4.8 -0.2 -1.6 3.8 -1.3 5.9 0.4 2.6 0.9 -0.6 2.2 12.9 8.2 10.9 5.2 -11.2 -14.8 4.3 -0.3 BTP -6.0 -10.1 2.2 -4.2 1.0 -1.3 -1.5 0.4 -4.3 15.5 10.2 6.1 15.7 -4.2 0.9 7.6 5.3 6.8 5.7 1.8 7.4 7.3 11.0 1.2 -20.0 1.9 7.9 5.3 4.8 7.4 1.3 11.5 20.0 14.0 20.0 16.5 -11.4 -12.8 9.6 10.2 BUND -3.1 -15.4 0.6 -3.2 0.7 -1.0 -1.1 0.3 -3.2 11.5 1.1 3.3 0.3 -8.9 -7.9 -20.0 -8.1 -18.7 -13.5 -5.4 -1.6 5.1 -0.2 -3.1 1.0 -2.3 7.1 -0.3 2.9 1.0 -1.2 -15.6 14.6 10.0 13.5 2.9 -20.0 -19.4 0.5 -1.1 BUXL 4.9 -8.2 0.4 -3.5 0.8 -1.0 -1.2 0.3 -3.5 13.4 0.3 13.0 -0.0 -4.3 -5.0 0.3 -1.3 -0.0 -0.7 -2.2 -1.5 7.5 -2.0 1.8 -2.3 -1.0 8.0 -0.1 5.6 0.8 1.6 0.5 17.3 20.0 20.0 3.2 -20.0 -20.0 -7.7 -7.7 CAC -12.4 -8.4 -7.0 2.8 4.4 4.7 1.3 7.3 1.5 -9.9 -12.4 -14.6 -3.2 -16.0 -11.4 -5.3 -3.5 -5.4 -4.7 -13.8 -10.7 -12.7 -5.1 -16.0 -6.0 -5.6 -1.6 -4.0 -5.3 -1.2 -6.7 4.1 -9.9 -20.0 -20.0 -16.0 4.1 6.4 -5.5 -2.8 CAD 0.2 -20.0 -3.4 -5.8 -5.1 -2.7 -6.5 -0.5 -7.4 4.3 -16.0 -6.9 -17.2 -18.2 -19.0 -6.1 -4.4 -5.7 -5.1 -20.0 -15.6 -8.4 -10.8 -19.0 0.4 -6.9 -0.0 -4.7 -2.7 -3.0 -6.1 -5.8 18.8 9.3 -5.6 -4.2 -3.8 -7.6 -7.4 -6.3 CANOLA -12.8 10.8 10.4 -0.8 -0.3 -1.7 -0.9 -2.7 -0.9 -7.2 0.1 -6.4 -5.4 -1.9 2.5 -15.3 -12.4 -15.1 -14.3 0.3 -0.3 -11.3 -3.3 -4.2 -12.7 1.2 -5.7 0.8 -3.7 -1.1 -0.8 -20.0 -20.0 -6.2 7.5 7.5 -7.2 -12.3 -0.4 -6.7 CHF -16.8 -20.0 -1.8 -3.6 -3.1 -1.6 -4.0 -0.3 -4.5 -10.6 -2.7 -11.2 -4.0 -13.0 -10.1 -15.1 -16.1 -15.3 -15.5 -15.4 -6.3 -18.0 -1.7 -20.0 3.9 -4.0 -4.7 -1.4 -4.7 -0.1 -5.3 -20.0 -5.5 -10.0 -9.1 1.1 -10.7 -11.2 -19.8 -13.2 COCOA 20.0 18.0 5.6 -0.9 -0.3 -1.9 -1.0 -3.0 -1.0 8.1 3.7 8.9 5.5 8.8 8.2 10.1 20.0 20.0 20.0 16.1 11.7 20.0 13.3 20.0 -20.0 3.0 3.5 2.6 4.2 3.7 4.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 20.0 3.7 3.4 -2.1 -0.7 -4.5 -2.3 -7.0 -2.5 19.2 17.6 20.0 18.9 16.9 15.0 1.4 4.7 2.1 3.2 20.0 20.0 20.0 20.0 20.0 -20.0 6.1 13.6 4.8 13.6 5.4 10.1 4.6 20.0 20.0 20.0 20.0 -11.1 -7.9 -2.4 0.4 COPPER -16.3 -10.9 -3.9 0.1 1.3 0.5 -0.5 0.0 -1.1 -6.1 -4.4 -7.1 -0.8 -7.4 -3.0 -4.5 -3.4 -4.1 -3.5 -4.7 -1.5 -7.5 1.0 -7.9 -10.5 -1.1 -1.9 0.3 -2.7 1.3 -2.7 3.3 -12.0 -2.7 -6.5 -2.1 14.0 11.5 10.2 20.0 CORN 1.7 1.9 -2.6 -2.4 -0.8 -5.1 -2.6 -8.0 -2.8 -19.9 -18.5 -16.7 -20.0 -15.5 -3.8 -7.9 -13.8 -11.1 -13.6 -10.0 -20.0 -11.1 -20.0 -8.4 -11.9 -6.9 -10.5 -11.2 -7.9 -16.4 -6.1 -20.0 -20.0 -2.4 -12.2 -9.4 9.9 -2.1 15.8 2.3 COTTON2 -10.2 -4.5 6.8 -1.9 -0.7 -4.2 -2.1 -6.5 -2.3 -0.7 -16.8 -9.1 -17.2 -13.9 -7.9 -15.2 -7.4 -14.2 -11.4 -10.2 -11.3 -9.1 -16.4 -13.4 -20.0 -5.0 1.5 -3.8 -4.7 -3.4 -6.8 -18.3 -20.0 -18.6 -17.9 -0.2 -18.1 -15.5 -13.5 -10.9 CRUDE_W 1.6 0.3 -10.6 -0.7 7.8 -3.1 4.5 -2.8 1.7 14.7 -8.9 3.8 -4.6 -5.7 -5.6 3.7 10.0 5.8 8.1 -5.1 -7.7 4.6 -4.8 -1.1 -1.4 -2.3 8.7 -4.1 3.3 -3.0 -0.5 8.4 -6.5 -5.4 -7.8 2.3 -2.2 7.3 -1.1 12.0 DAX -14.3 -2.2 3.3 2.7 4.2 4.6 1.2 7.0 1.5 2.6 11.3 -5.5 14.6 -6.3 10.5 -8.0 -9.7 -8.4 -8.8 3.0 7.5 -0.6 10.8 -2.0 7.4 1.2 4.9 4.3 -0.5 7.5 -1.6 -5.0 7.4 -17.0 -1.8 4.4 20.0 10.8 10.9 3.1 DOW 5.8 -0.7 8.5 2.1 3.3 3.6 1.0 5.5 1.1 6.8 11.4 8.4 12.7 7.9 11.2 -9.6 -10.6 -9.8 -10.0 12.3 12.8 10.1 12.8 11.1 -11.0 4.3 4.1 4.8 3.4 5.1 3.8 -6.8 9.2 17.5 13.8 19.4 2.2 3.0 -13.3 -8.6 DX 12.8 20.0 6.0 -3.6 -3.2 -1.7 -4.1 -0.3 -4.7 12.6 7.3 13.7 6.8 14.3 12.9 5.8 6.6 6.0 6.2 20.0 9.8 20.0 3.7 20.0 -20.0 4.4 4.1 2.1 4.7 0.7 5.4 13.3 20.0 20.0 20.0 12.9 -1.9 5.7 -1.8 8.2 EUR -13.2 -20.0 -7.6 -3.4 -3.0 -1.6 -3.8 -0.3 -4.3 -11.6 -7.5 -12.3 -5.3 -12.9 -11.9 -6.2 -7.0 -6.6 -6.7 -16.1 -8.3 -20.0 -3.2 -20.0 14.4 -4.1 -5.0 -2.0 -5.1 -0.5 -5.2 -9.5 -12.2 -8.6 -12.6 -5.0 -0.7 -14.0 -3.2 -17.0 EURIBOR-ICE -0.6 -8.0 9.5 -2.2 0.5 -0.6 -0.7 0.2 -2.2 6.2 6.3 6.9 6.1 0.6 3.0 5.8 -0.0 4.7 2.6 3.2 5.8 4.4 6.0 2.6 10.8 1.8 3.7 3.2 2.4 3.4 1.4 4.4 10.7 11.0 15.3 12.4 -4.8 -15.5 10.3 5.9 EUROSTX -13.2 -8.6 -6.9 2.5 4.0 4.3 1.2 6.6 1.4 -2.1 -1.3 -10.8 9.0 -12.3 -2.2 -3.7 -3.3 -3.9 -4.0 -7.9 -3.1 -7.2 3.4 -10.6 -2.5 -4.1 0.7 -1.4 -3.5 2.6 -5.3 4.7 1.2 -20.0 -17.3 -10.5 4.8 3.4 -15.7 -9.2 FEEDCOW 11.9 20.0 2.3 -2.3 -0.8 -5.0 -2.6 -7.8 -2.7 20.0 -0.8 20.0 -11.6 19.9 12.8 10.9 -4.3 14.0 8.3 17.8 0.3 20.0 -10.2 20.0 -12.1 4.8 14.2 0.0 13.8 -2.3 9.3 0.8 20.0 20.0 20.0 -7.2 15.8 20.0 20.0 20.0 GASOIL 9.3 5.8 -11.8 -0.6 7.1 -2.8 4.1 -2.5 1.5 15.0 -11.6 7.6 -6.9 2.0 -5.2 2.2 6.6 1.7 2.6 -2.9 -8.8 7.9 -7.2 3.3 4.1 -1.7 6.7 -5.0 4.2 -4.4 1.7 0.1 4.2 8.0 -2.4 -8.5 0.4 -7.4 2.9 -11.9 GASOLINE 1.8 2.6 -8.5 -0.6 6.7 -2.7 3.9 -2.4 1.4 13.8 -7.6 6.1 -2.3 -3.7 -1.7 -1.7 20.0 7.6 16.9 -2.0 -4.2 5.0 -2.1 0.9 -20.0 0.2 5.4 -0.8 2.9 -0.1 0.9 20.0 -3.6 -2.5 -1.3 6.3 2.8 9.9 7.5 17.5 GAS_US_mini 9.1 0.5 12.5 -0.7 7.7 -3.1 4.5 -2.8 1.6 6.5 -15.3 9.5 -18.2 -2.0 -6.8 -20.0 -20.0 -20.0 -20.0 -3.3 -8.1 14.4 -14.7 5.2 20.0 -2.1 7.5 -4.1 8.1 -6.0 2.7 -20.0 20.0 3.1 -20.0 2.4 -13.7 -19.7 -10.2 -16.4 GBP -17.4 -20.0 -3.3 -4.6 -4.0 -2.1 -5.1 -0.4 -5.8 -15.8 0.6 -16.6 6.9 -17.6 -12.4 0.5 -0.2 0.4 0.2 -15.5 -3.2 -20.0 4.3 -20.0 -1.5 -4.6 -7.2 -0.5 -7.7 2.0 -7.3 2.2 -16.6 -7.3 -5.6 3.3 5.4 -16.3 17.0 -15.9 GOLD_micro -20.0 -19.1 2.5 0.1 1.7 0.6 -0.6 0.1 -1.4 8.7 7.8 -2.1 10.6 -3.0 4.5 -10.8 -13.2 -12.3 -12.6 3.1 10.1 3.3 13.0 -2.5 -9.8 1.3 4.6 3.4 0.6 4.3 -0.8 -13.0 2.4 -4.6 4.2 13.8 20.0 2.2 19.7 7.5 HEATOIL 5.0 5.0 -8.6 -0.6 6.8 -2.7 3.9 -2.5 1.5 13.7 -11.3 6.5 -9.6 -4.9 -5.8 -1.1 2.5 -2.9 -2.5 -3.0 -8.0 5.4 -7.9 1.5 -19.2 -0.4 5.5 -3.1 3.0 -3.4 1.2 -8.1 -1.2 1.5 -0.2 -0.2 -0.5 3.2 2.2 4.7 JGB-SGX-mini -16.5 -18.5 2.8 -2.4 -0.3 -0.7 -1.3 0.2 -2.6 -8.4 1.6 -9.2 2.1 -9.5 -2.4 19.6 16.5 16.1 15.5 -7.1 -1.2 -13.7 1.0 -12.5 -10.9 -2.5 -3.8 -0.7 -4.7 -0.3 -4.3 20.0 -18.9 -2.4 2.2 6.1 -20.0 -12.2 -20.0 -7.8 JPY -5.7 -20.0 0.4 -2.2 -1.9 -1.0 -2.5 -0.2 -2.8 -0.8 -3.0 -4.4 -4.5 -7.8 -6.8 -10.4 -13.7 -10.9 -11.9 -9.4 -5.6 -4.6 -5.1 -9.0 20.0 -2.4 -0.3 -1.3 -1.3 -1.3 -2.4 -19.8 6.1 2.2 -5.0 1.9 -15.0 -19.9 -11.7 -20.0 LEANHOG -8.8 17.3 20.0 -2.5 -0.9 -5.5 -2.8 -8.4 -2.9 9.3 7.9 2.6 2.6 17.4 20.0 -20.0 11.5 0.6 17.0 20.0 19.5 6.9 2.9 14.1 0.3 7.5 5.3 6.0 1.8 1.8 4.2 20.0 6.7 19.7 20.0 20.0 3.8 -5.1 8.5 0.9 LIVECOW -12.8 2.9 10.2 -2.6 -0.9 -5.6 -2.8 -8.7 -3.0 20.0 20.0 -1.4 17.2 0.3 17.6 -13.8 4.7 -5.4 1.2 12.2 17.9 11.5 18.2 6.1 -20.0 3.8 10.7 5.8 6.0 7.4 2.3 4.1 20.0 -9.3 16.9 5.7 -6.5 20.0 1.0 20.0 LUMBER-new 15.0 20.0 14.5 -1.9 -0.7 -4.2 -2.1 -6.2 -2.3 -12.7 2.6 10.2 -5.8 14.9 17.5 -20.0 -18.7 -19.7 -19.0 20.0 10.1 6.1 -2.7 20.0 NaN 6.3 -3.1 3.3 1.9 -0.1 5.9 -20.0 13.9 20.0 20.0 20.0 9.8 3.1 17.8 9.5 MILK -20.0 -20.0 3.8 -1.4 -0.5 -3.0 -1.5 -4.7 -1.6 -11.7 6.4 -12.0 7.2 -13.3 -7.0 3.0 -2.4 12.5 8.9 -12.1 1.0 -17.5 6.2 -18.4 14.4 -3.5 -5.6 -0.1 -4.9 1.1 -5.1 2.6 -15.9 -20.0 -20.0 3.9 -6.6 -20.0 -0.9 -20.0 MXP 0.2 -2.7 -16.3 -3.5 -3.1 -1.6 -3.9 -0.3 -4.4 -5.4 -12.6 -5.9 -10.3 -9.1 -11.3 11.8 13.3 11.6 11.7 -11.0 -13.9 -5.7 -10.6 -7.8 -20.0 -4.7 -3.4 -5.8 -2.5 -4.3 -3.4 20.0 9.2 7.7 12.9 -13.8 17.8 20.0 20.0 20.0 NASDAQ_micro 3.4 7.2 7.0 2.2 3.4 3.7 1.0 5.7 1.2 -1.3 9.9 4.0 11.4 6.0 10.9 -9.6 -9.7 -9.2 -9.2 10.3 11.3 1.9 14.1 7.0 -20.0 3.9 0.3 4.9 0.4 6.9 2.3 -5.3 -8.1 4.7 9.0 9.4 7.9 3.8 -6.1 -5.9 NIKKEI -2.4 4.5 4.7 1.9 2.9 3.2 0.9 4.9 1.0 -7.2 4.7 -5.4 5.6 -1.6 8.3 0.9 6.5 2.2 4.1 1.7 2.9 -4.3 6.1 -1.5 -8.1 -0.7 -0.9 -1.0 -2.1 2.0 -1.1 20.0 -7.3 -1.5 -0.0 -16.2 20.0 9.5 20.0 11.5 NZD -8.4 -20.0 -2.8 -3.5 -3.1 -1.6 -3.9 -0.3 -4.5 -11.2 -6.6 -11.1 -2.3 -13.1 -10.4 -1.1 -0.2 -0.8 -0.5 -12.6 -6.5 -12.4 -2.5 -14.6 1.2 -3.9 -3.9 -1.9 -4.1 -0.6 -4.7 1.6 0.3 1.7 -2.9 2.5 -1.9 -6.6 -1.4 -1.3 OAT -4.1 -11.6 1.2 -3.1 0.7 -0.9 -1.1 0.3 -3.1 9.1 -0.8 -0.4 -2.2 -8.1 -7.5 8.6 5.4 7.4 5.9 -5.5 -3.2 1.2 -2.4 -3.8 3.8 -2.5 2.7 -1.0 0.9 -0.0 -1.7 11.7 8.4 8.1 15.4 2.6 -4.9 -14.9 13.5 5.2 OATIES -20.0 -3.6 20.0 -1.3 -0.5 -2.8 -1.4 -4.4 -1.5 2.3 1.4 -6.1 -7.5 -5.2 6.6 -9.9 1.0 -2.7 0.2 2.1 4.1 -3.3 -0.4 -3.8 -20.0 0.3 0.6 1.4 -2.1 0.2 -2.2 -0.8 -5.2 -6.5 -0.4 15.8 20.0 4.8 20.0 14.3 OJ -4.6 -3.3 3.5 -2.1 -0.7 -4.5 -2.3 -6.9 -2.4 15.0 18.9 14.0 19.9 11.8 15.8 20.0 13.7 17.0 14.2 14.2 20.0 20.0 20.0 15.8 -20.0 5.5 16.5 8.0 12.4 13.9 6.9 20.0 20.0 16.1 11.4 20.0 14.9 10.3 20.0 20.0 PALLAD -20.0 -1.2 17.5 0.1 1.2 0.4 -0.4 0.0 -1.0 4.6 1.1 -4.0 -2.9 -4.5 0.0 -2.4 -2.1 -2.2 -2.1 -0.7 1.0 -1.1 -1.5 -3.3 12.9 0.4 0.9 0.9 -0.2 -0.2 -0.7 5.6 3.3 -2.0 1.1 2.5 -12.2 -20.0 -20.0 -20.0 PLAT -16.4 -1.2 1.0 0.1 2.0 0.7 -0.7 0.1 -1.6 5.8 -4.7 -7.8 -2.5 -7.8 -2.0 -4.0 -4.4 -4.2 -4.4 -3.4 -0.6 -4.1 -0.1 -6.5 5.0 -1.4 0.7 -0.3 -1.9 -0.2 -3.0 1.6 -2.5 -3.9 -2.7 -7.4 6.7 -8.3 -0.7 -1.6 REDWHEAT -11.5 -5.9 7.0 -2.1 -0.7 -4.5 -2.3 -7.0 -2.5 6.4 -17.0 -5.8 -18.5 -14.6 -9.8 -9.8 -7.7 -10.3 -9.7 -13.3 -13.2 -7.9 -19.0 -14.4 -4.3 -5.8 -0.6 -5.3 -3.4 -6.3 -6.3 -17.4 -9.3 -20.0 -11.4 -7.0 -20.0 -20.0 -20.0 -20.0 RICE 1.9 -9.6 -8.7 -1.9 -0.7 -4.2 -2.1 -6.5 -2.2 10.7 4.1 12.3 8.3 -2.3 -6.3 -11.5 18.3 -6.9 7.0 -6.5 -4.8 7.4 2.3 -0.4 -14.0 -3.9 2.3 -2.9 3.2 -0.3 -0.9 20.0 20.0 -5.6 -14.9 -9.4 -16.7 -20.0 -17.1 -20.0 ROBUSTA 9.5 -16.2 -3.3 -1.2 -0.4 -2.6 -1.3 -4.0 -1.4 10.7 7.3 10.8 10.1 -0.7 2.8 5.9 20.0 16.6 20.0 5.7 12.3 17.6 20.0 9.4 -20.0 1.9 7.4 4.3 6.1 8.5 3.3 20.0 20.0 20.0 -8.3 17.3 4.6 0.7 9.6 7.2 RUSSELL 11.3 5.6 6.5 1.9 3.1 3.3 0.9 5.1 1.1 2.2 8.4 4.7 10.2 5.0 8.1 -6.2 -6.4 -6.2 -6.2 10.2 8.8 8.8 7.4 10.1 0.4 4.0 3.7 3.8 3.1 3.6 3.8 0.2 3.9 20.0 14.5 12.2 -5.8 -13.4 -20.0 -20.0 SHATZ -1.7 -9.6 14.6 -2.1 0.5 -0.6 -0.7 0.2 -2.1 6.9 4.5 4.5 0.0 -2.0 0.3 -20.0 -20.0 -20.0 -20.0 1.1 3.2 5.1 0.9 1.3 5.9 0.7 5.6 2.0 2.8 1.3 0.7 -20.0 11.8 8.3 12.0 10.2 -8.7 -14.8 1.1 -5.5 SILVER-mini -20.0 -3.0 2.9 0.1 1.7 0.6 -0.6 0.1 -1.4 6.8 4.4 -7.9 7.0 -7.9 2.1 -6.1 -6.4 -6.2 -6.2 0.0 4.9 -4.3 7.0 -5.4 0.6 0.6 0.8 2.2 -1.4 2.8 -1.5 -1.6 -0.4 -6.4 2.3 2.7 6.5 -1.7 -2.6 8.8 SMI -17.2 -13.9 -12.7 1.9 3.1 3.3 0.9 5.1 1.1 -2.2 1.9 -9.3 8.2 -10.3 -6.3 0.7 0.3 0.2 -0.2 -8.7 -2.2 -8.5 3.9 -11.9 7.1 -3.0 0.8 0.3 -3.2 3.1 -4.5 10.9 -4.8 -20.0 -16.4 -6.4 -6.5 1.5 -20.0 -8.2 SOFR -10.3 -20.0 -9.0 -3.3 0.8 -1.0 -1.2 0.3 -3.3 -1.8 -1.3 -10.5 3.4 -14.0 -13.0 -0.3 0.1 0.7 0.6 -19.7 -8.7 -9.0 -0.6 -18.8 -5.9 -4.4 -0.5 -2.2 -1.9 -0.2 -4.0 2.9 -8.4 -6.3 -16.9 -12.4 0.7 -9.4 17.9 15.4 SOYBEAN 0.2 -5.9 -9.5 -1.7 -0.6 -3.7 -1.9 -5.7 -2.0 -14.8 -14.9 -14.6 -15.4 -15.3 -12.1 -0.5 0.5 -2.1 -2.4 -14.5 -20.0 -15.2 -20.0 -13.4 -20.0 -5.8 -6.8 -7.3 -6.4 -8.1 -5.5 -4.7 -20.0 -8.8 -20.0 -17.4 2.1 -8.0 7.7 -3.0 SOYMEAL -12.2 -20.0 -7.8 -1.8 -0.7 -4.0 -2.1 -6.3 -2.2 -6.8 -17.1 -15.2 -17.4 -18.8 -17.4 -9.0 0.6 -5.7 -3.2 -20.0 -20.0 -13.0 -20.0 -20.0 -20.0 -6.3 -0.9 -5.2 -4.2 -4.4 -6.4 -4.7 -11.6 -20.0 -20.0 -13.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 1.1 12.6 16.2 -0.8 -0.3 -1.8 -0.9 -2.7 -1.0 -7.4 -0.1 -5.6 -5.9 -1.4 2.3 -2.4 0.5 -1.1 -0.4 2.7 0.9 -9.5 -2.9 -1.3 -15.9 1.4 -5.1 0.7 -3.1 -0.7 -0.1 -2.6 -20.0 2.4 6.6 5.4 3.7 -6.0 12.9 -0.5 SP400 9.0 5.9 6.8 2.3 3.7 4.0 1.1 6.1 1.3 8.9 11.1 8.5 13.4 8.0 11.4 -6.8 -6.5 -7.0 -6.7 12.9 11.3 13.3 10.5 13.1 -10.2 4.8 6.0 4.7 4.4 4.7 4.6 -0.2 10.6 20.0 17.4 16.9 -0.3 -6.8 -16.7 -20.0 SP500_micro 3.3 3.9 10.5 2.7 4.3 4.6 1.2 7.1 1.5 2.1 16.2 9.3 17.2 10.1 15.6 -11.3 -11.7 -11.1 -11.2 16.6 19.6 7.3 20.0 12.2 -20.0 5.4 2.4 7.0 2.3 9.1 3.7 -8.8 -0.5 8.0 14.0 18.5 6.1 3.7 -12.2 -8.4 SUGAR11 -12.4 -1.6 20.0 -1.7 -0.6 -3.7 -1.9 -5.7 -2.0 -4.4 7.5 -6.7 -5.5 -7.9 8.2 20.0 20.0 20.0 20.0 5.3 7.6 -4.6 2.1 -2.1 -20.0 2.0 -2.7 2.9 -1.8 0.6 -0.9 20.0 -5.3 -1.9 -5.1 20.0 -20.0 3.4 -20.0 7.3 US10 -7.1 -20.0 -8.0 -2.3 0.5 -0.7 -0.8 0.2 -2.4 -2.1 -2.7 -7.4 0.3 -9.9 -9.3 -3.3 -6.5 -4.7 -5.6 -13.6 -6.8 -5.5 -2.5 -12.5 1.5 -3.1 -0.1 -1.6 -1.2 -0.3 -2.7 -8.2 -6.0 -3.2 -12.1 -8.4 -3.2 -20.0 11.5 8.8 US10U -4.8 -20.0 -6.8 -3.1 0.7 -0.9 -1.1 0.3 -3.2 -4.9 -3.9 -9.4 0.1 -13.1 -12.3 -4.0 -3.6 -4.3 -4.2 -16.1 -8.3 -7.1 -3.5 -14.9 -1.4 -4.2 -0.4 -2.3 -1.7 -0.6 -3.7 -4.3 -8.7 -2.0 -12.7 -11.0 -1.1 -14.7 20.0 17.0 US2 -18.7 -20.0 -4.5 -2.5 0.6 -0.8 -0.9 0.2 -2.6 -9.7 -3.0 -10.4 -1.8 -11.3 -10.1 -16.3 -20.0 -20.0 -20.0 -18.2 -8.4 -12.5 -4.3 -19.2 15.4 -3.2 -1.8 -1.3 -2.3 -0.2 -3.4 -20.0 -12.4 -9.2 -17.3 -3.3 -5.4 -17.5 3.1 -7.9 US20 -1.4 -20.0 -7.5 -2.2 0.5 -0.6 -0.7 0.2 -2.2 -5.0 -2.7 -6.5 1.6 -9.0 -8.5 -1.3 -1.3 -1.7 -1.5 -10.0 -5.2 -4.4 -2.0 -9.0 -2.8 -2.9 -0.4 -1.6 -1.2 -0.3 -2.4 0.3 -6.1 1.4 -6.7 -7.5 0.7 -8.9 20.0 19.0 US30 -0.5 -20.0 -5.7 -2.3 0.5 -0.7 -0.8 0.2 -2.3 -5.6 -3.8 -7.4 0.1 -9.5 -9.1 -0.7 -4.1 -2.2 -3.2 -9.2 -5.2 -4.8 -2.7 -8.6 -1.9 -3.1 -0.4 -1.8 -1.4 -0.5 -2.7 -4.1 -7.4 3.2 -3.6 -7.2 0.1 -7.9 20.0 18.9 US5 -11.9 -20.0 -7.9 -2.7 0.6 -0.8 -1.0 0.2 -2.8 -5.4 -3.2 -9.7 -1.3 -11.8 -11.0 -6.1 -9.8 -7.7 -8.8 -18.1 -8.9 -8.8 -3.4 -17.3 6.4 -3.6 -0.7 -1.8 -1.7 -0.3 -3.3 -13.7 -9.1 -6.2 -16.5 -8.8 -1.1 -17.0 12.4 5.0 VIX -14.4 -7.4 -2.1 -2.4 -0.4 -0.6 -2.2 -2.5 -3.8 7.2 -10.7 -10.8 -11.7 -11.9 -13.3 -17.1 -20.0 -13.2 -17.4 -6.9 -3.6 -5.6 -7.9 -9.6 NaN -2.8 -0.5 -0.9 -2.5 -3.1 -4.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -11.0 -6.1 5.1 -2.2 -0.8 -4.8 -2.4 -7.4 -2.6 0.8 -15.5 -5.7 -16.9 -15.2 -5.8 -13.5 -14.4 -13.4 -14.0 -13.1 -13.0 -10.0 -19.1 -15.6 4.9 -6.1 -1.0 -5.2 -4.6 -5.8 -7.1 -20.0 -20.0 -17.5 -16.0 -5.7 -20.0 -18.6 -20.0 -16.3 End of report for caleb_strategy_v3