******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241125_204403 produced at 2024-11-25 21:39:40.069323 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.82 0.0 0.00 0.00 0.00 0.00 -9.96 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 -20.51 16.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -2.98 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.14 -0.20 0.0 999.00 -999.00 -0.14 -0.15 -34.24 999999999.0 -24 -25 caleb_strategy_v3 CHF False False 0.05 -0.34 -0.11 0.0 0.63 -0.63 -0.34 -0.39 -2.19 13.0 -7 -8 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.10 0.0 0.71 -0.71 -0.05 -0.05 -4.19 29.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -10.02 12.0 -7 -7 caleb_strategy_v3 EUR False False 0.04 -0.09 -0.06 0.0 0.63 -0.63 -0.09 -0.13 -1.45 14.0 -2 -3 caleb_strategy_v3 GBP False False 0.03 0.00 -0.06 0.0 0.59 -0.59 0.00 0.00 -2.15 22.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -2.51 12.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.06 0.0 0.91 -0.91 -0.07 -0.07 -1.75 25.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -4.28 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 -1.27 17.0 -3 -3 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.04 0.0 999.00 -999.00 -0.07 -0.07 -1.09 999999999.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.07 -0.04 0.0 0.34 -0.34 -0.07 -0.05 -2.06 20.0 -4 -3 caleb_strategy_v3 NZD False False 0.02 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -1.79 21.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.99 24.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.64 -0.64 0.00 0.00 -0.86 17.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -3.20 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.01 -8.60 51.0 -5 -5 caleb_strategy_v3 SMI False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.68 9.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.92 3.0 -1 -1 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 SOYBEAN False False 0.02 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.05 -1.65 7.0 -2 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.03 0.0 0.08 -0.08 -0.01 -0.03 -2.83 8.0 -1 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.99 9.0 -3 -3 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.50 -0.50 -0.04 -0.04 -0.51 13.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.95 19.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -8.30 26.0 -11 -10 caleb_strategy_v3 BUND False True 0.05 -0.05 -0.02 0.0 0.00 -0.05 -0.05 -0.05 -0.44 10.0 -1 -1 caleb_strategy_v3 CRUDE_W False False 0.02 -0.05 -0.01 0.0 0.11 -0.11 -0.05 -0.05 -0.54 5.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.16 -0.16 0.00 0.00 -0.67 10.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.93 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -1.01 5.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 -0.01 0.0 0.51 -0.51 0.00 0.00 -1.05 56.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.02 -0.30 4.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.17 9.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.03 -0.00 0.0 0.50 -0.50 -0.03 -0.02 -0.59 60.0 -4 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 0.00 0.0 0.33 -0.33 0.01 0.04 0.01 23.0 1 3 caleb_strategy_v3 SILVER-mini False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.13 999999999.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 -0.00 0.0 0.09 -0.09 0.01 0.00 -0.35 10.0 1 0 caleb_strategy_v3 BUXL False True 0.05 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.01 4.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.00 0.0 0.26 -0.26 -0.13 -0.09 -0.12 6.0 -3 -2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.10 2.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.08 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 -0.55 18.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.25 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 0.53 23.0 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 1.97 3.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.02 0.0 0.49 -0.49 0.03 0.02 1.79 48.0 3 2 caleb_strategy_v3 DOW False False 0.01 0.01 0.02 0.0 0.50 -0.50 0.01 0.01 3.25 66.0 1 1 caleb_strategy_v3 BOBL False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.53 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 5.50 68.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.06 0.03 0.0 0.79 -0.79 0.06 0.06 0.86 26.0 2 2 caleb_strategy_v3 SP400 False False 0.12 0.23 0.03 0.0 0.23 -0.23 0.23 0.23 0.28 2.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.04 0.0 0.40 -0.40 0.00 0.00 6.05 58.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.04 0.0 0.08 -0.08 0.03 0.03 1.36 3.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.04 0.0 0.43 -0.43 0.03 0.03 1.44 17.0 1 1 caleb_strategy_v3 OAT False True 0.04 0.04 0.05 0.0 0.04 0.00 0.04 0.04 1.18 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 1.16 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 15.91 59.0 0 0 caleb_strategy_v3 DX False True 0.04 0.00 0.08 0.0 0.00 0.00 0.00 0.00 2.26 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.08 0.0 0.35 -0.35 0.04 0.13 1.82 8.0 1 3 caleb_strategy_v3 NIKKEI False False 0.01 0.03 0.09 0.0 0.31 -0.31 0.03 0.03 10.19 36.0 4 3 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.10 0.0 0.15 -0.15 0.08 0.08 8.15 13.0 7 7 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.01 0.0 0.87 -0.87 0.00 0.00 11.53 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.6 Shocked risk 33.6 Sum abs risk 41.9 Leverage 4.86 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2938298.53, 'annual_cash_vol_target': 734574.6325, 'daily_cash_vol_target': 45910.91453125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6504 0.6574 10.5179 BITCOIN 2325.5086 95820.0000 2.4270 38.8313 BOBL 0.2385 119.2600 0.2000 3.2001 BTP 0.5044 121.1400 0.4164 6.6621 BUND 0.4627 133.6400 0.3462 5.5391 BUXL 1.1715 136.7000 0.8570 13.7114 CAC 62.6288 7254.0000 0.8634 13.8139 CAD 0.0028 0.7160 0.3863 6.1800 CANOLA 10.1221 606.5000 1.6689 26.7031 CHF 0.0058 1.1314 0.5142 8.2265 COCOA 177.3355 8975.0000 1.9759 31.6141 COFFEE 4.5132 306.5000 1.4725 23.5598 COPPER 0.0627 4.1675 1.5039 24.0618 CORN 3.7791 433.2500 0.8723 13.9563 COTTON2 0.9200 71.6900 1.2833 20.5327 CRUDE_W 1.0979 66.6300 1.6478 26.3642 DAX 152.7477 19452.0000 0.7853 12.5641 DOW 315.7812 44807.0000 0.7048 11.2761 DX 0.4313 106.7950 0.4039 6.4620 EUR 0.0058 1.0514 0.5497 8.7951 EURIBOR-ICE 0.0443 98.0200 0.0452 0.7231 EUROSTX 44.4566 4805.0000 0.9252 14.8034 FEEDCOW 1.6012 254.2500 0.6298 10.0767 GASOIL 11.4569 673.0000 1.7024 27.2377 GASOLINE 0.0379 1.9720 1.9242 30.7874 GAS_US_mini 0.1155 3.4050 3.3909 54.2545 GBP 0.0067 1.2573 0.5297 8.4750 GOLD_micro 29.1127 2650.9000 1.0982 17.5715 HEATOIL 0.0393 2.2317 1.7604 28.1669 JGB-SGX-mini 0.2251 142.9000 0.1575 2.5204 JPY 0.0000 0.0065 0.7311 11.6974 LEANHOG 0.9957 86.0500 1.1572 18.5148 LIVECOW 0.9997 187.8000 0.5323 8.5167 LUMBER-new 7.9570 608.5000 1.3076 20.9223 MILK 0.2520 18.3600 1.3728 21.9649 MXP 0.0004 0.0491 0.8276 13.2409 NASDAQ_micro 171.2941 20861.5000 0.8211 13.1376 NIKKEI 418.5819 38830.0000 1.0780 17.2478 NZD 0.0039 0.5851 0.6597 10.5551 OAT 0.4474 125.6300 0.3561 5.6983 OATIES 6.7201 366.2500 1.8348 29.3575 OJ 7.4079 510.0000 1.4525 23.2405 PALLAD 28.2327 994.0000 2.8403 45.4449 PLAT 15.5562 944.6000 1.6469 26.3497 REDWHEAT 8.5547 558.5000 1.5317 24.5075 RICE 0.1483 15.0150 0.9880 15.8078 ROBUSTA 78.2015 5036.0000 1.5529 24.8456 RUSSELL 28.5172 2461.1000 1.1587 18.5395 SHATZ 0.0834 106.9600 0.0780 1.2478 SILVER-mini 0.5366 30.5375 1.7571 28.1142 SMI 94.2311 11675.0000 0.8071 12.9139 SOFR 0.0613 96.3100 0.0636 1.0180 SOYBEAN 9.1936 1011.7500 0.9087 14.5389 SOYMEAL 3.4582 299.5000 1.1547 18.4744 SOYOIL 0.8256 41.6500 1.9822 31.7153 SP400 30.6519 3407.5000 0.8995 14.3927 SP500_micro 37.5057 5998.7500 0.6252 10.0036 SUGAR11 0.2876 19.8800 1.4466 23.1451 US10 0.4085 110.6875 0.3691 5.9054 US10U 0.5797 114.1250 0.5080 8.1277 US2 0.0970 102.6836 0.0945 1.5120 US20 0.8649 118.3750 0.7306 11.6903 US30 1.3588 125.5938 1.0819 17.3108 US5 0.2470 107.0156 0.2308 3.6923 VIX 0.5231 17.0500 3.0682 49.0920 WHEAT 7.7107 603.5000 1.2777 20.4425 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 650.40 0.66 427.55 1.00 427.55 45910.91 107.38 -3.39 -36.43 BITCOIN 95.82 2.43 232.55 1.00 232.55 45910.91 197.42 7.44 146.95 BOBL 1192.60 0.20 238.52 1.05 249.60 45910.91 183.94 2.85 52.35 BTP 1211.40 0.42 504.41 1.05 527.84 45910.91 86.98 3.89 33.87 BUND 1336.40 0.35 462.66 1.05 484.15 45910.91 94.83 -4.60 -43.63 BUXL 1367.00 0.86 1171.47 1.05 1225.88 45910.91 37.45 0.27 1.00 CAC 725.40 0.86 626.29 1.05 655.38 45910.91 70.05 -10.51 -73.64 CAD 715.95 0.39 276.54 1.00 276.54 45910.91 166.02 -9.72 -161.39 CANOLA 121.30 1.67 202.44 0.72 144.76 45910.91 317.16 -11.14 -353.32 CHF 1414.19 0.51 727.11 1.00 727.11 45910.91 63.14 -13.38 -84.47 COCOA 897.50 1.98 1773.36 1.00 1773.36 45910.91 25.89 15.53 40.22 COFFEE 1149.38 1.47 1692.44 1.00 1692.44 45910.91 27.13 7.88 21.39 COPPER 1041.88 1.50 1566.84 1.00 1566.84 45910.91 29.30 -3.44 -10.09 CORN 216.62 0.87 188.96 1.00 188.96 45910.91 242.97 -16.96 -411.96 COTTON2 358.45 1.28 460.00 1.00 460.00 45910.91 99.81 -20.00 -199.61 CRUDE_W 666.30 1.65 1097.90 1.00 1097.90 45910.91 41.82 -1.19 -4.99 DAX 194.52 0.79 152.75 1.05 159.84 45910.91 287.23 6.18 177.46 DOW 224.04 0.70 157.89 1.00 157.89 45910.91 290.78 4.81 139.79 DX 1067.95 0.40 431.32 1.00 431.32 45910.91 106.44 8.20 87.29 EUR 1314.19 0.55 722.40 1.00 722.40 45910.91 63.55 -8.77 -55.74 EURIBOR-ICE 2450.50 0.05 110.75 1.05 115.89 45910.91 396.16 8.54 338.16 EUROSTX 480.50 0.93 444.57 1.05 465.22 45910.91 98.69 -6.13 -60.53 FEEDCOW 1271.25 0.63 800.62 1.00 800.62 45910.91 57.34 9.59 54.96 GASOIL 673.00 1.70 1145.69 1.00 1145.69 45910.91 40.07 -1.70 -6.81 GASOLINE 828.24 1.92 1593.71 1.00 1593.71 45910.91 28.81 -0.66 -1.90 GAS_US_mini 85.12 3.39 288.65 1.00 288.65 45910.91 159.05 -4.82 -76.67 GBP 785.81 0.53 416.23 1.00 416.23 45910.91 110.30 -7.50 -82.70 GOLD_micro 265.09 1.10 291.13 1.00 291.13 45910.91 157.70 -1.96 -30.86 HEATOIL 937.31 1.76 1650.08 1.00 1650.08 45910.91 27.82 -7.61 -21.18 JGB-SGX-mini 142900.00 0.16 22510.28 0.01 145.33 45910.91 315.92 -6.00 -189.44 JPY 813.06 0.73 594.42 1.00 594.42 45910.91 77.24 -6.32 -48.80 LEANHOG 344.20 1.16 398.30 1.00 398.30 45910.91 115.27 11.64 134.17 LIVECOW 751.20 0.53 399.86 1.00 399.86 45910.91 114.82 3.77 43.34 LUMBER-new 167.34 1.31 218.82 1.00 218.82 45910.91 209.81 4.39 92.04 MILK 367.20 1.37 504.09 1.00 504.09 45910.91 91.08 -5.18 -47.22 MXP 245.65 0.83 203.29 1.00 203.29 45910.91 225.84 -0.18 -4.05 NASDAQ_micro 417.23 0.82 342.59 1.00 342.59 45910.91 134.01 0.05 0.62 NIKKEI 38830.00 1.08 41858.19 0.01 270.33 45910.91 169.83 5.54 94.09 NZD 585.15 0.66 386.02 1.00 386.02 45910.91 118.93 -5.79 -68.86 OAT 1256.30 0.36 447.42 1.05 468.21 45910.91 98.06 3.53 34.60 OATIES 183.12 1.83 336.01 1.00 336.01 45910.91 136.64 -2.79 -38.08 OJ 765.00 1.45 1111.19 1.00 1111.19 45910.91 41.32 15.39 63.60 PALLAD 994.00 2.84 2823.27 1.00 2823.27 45910.91 16.26 -1.81 -2.94 PLAT 472.30 1.65 777.81 1.00 777.81 45910.91 59.03 -3.32 -19.61 REDWHEAT 279.25 1.53 427.73 1.00 427.73 45910.91 107.34 -19.85 -213.01 RICE 300.30 0.99 296.69 1.00 296.69 45910.91 154.74 -8.51 -131.73 ROBUSTA 503.60 1.55 782.02 1.00 782.02 45910.91 58.71 7.77 45.63 RUSSELL 123.06 1.16 142.59 1.00 142.59 45910.91 321.99 5.15 165.96 SHATZ 1069.60 0.08 83.42 1.05 87.29 45910.91 525.95 -1.86 -97.66 SILVER-mini 763.44 1.76 1341.46 1.00 1341.46 45910.91 34.22 -1.08 -3.71 SMI 1167.50 0.81 942.31 1.13 1062.27 45910.91 43.22 -4.58 -19.79 SOFR 2407.75 0.06 153.19 1.00 153.19 45910.91 299.70 -5.47 -163.96 SOYBEAN 505.88 0.91 459.68 1.00 459.68 45910.91 99.88 -17.76 -177.41 SOYMEAL 299.50 1.15 345.82 1.00 345.82 45910.91 132.76 -20.00 -265.52 SOYOIL 249.90 1.98 495.35 1.00 495.35 45910.91 92.68 -4.07 -37.72 SP400 3407.50 0.90 3065.19 1.00 3065.19 45910.91 14.98 5.57 8.35 SP500_micro 299.94 0.63 187.53 1.00 187.53 45910.91 244.82 3.15 77.19 SUGAR11 222.66 1.45 322.09 1.00 322.09 45910.91 142.54 -1.81 -25.83 US10 1106.88 0.37 408.54 1.00 408.54 45910.91 112.38 -6.03 -67.76 US10U 1141.25 0.51 579.74 1.00 579.74 45910.91 79.19 -5.10 -40.40 US2 2053.67 0.09 194.07 1.00 194.07 45910.91 236.57 -9.94 -235.16 US20 1183.75 0.73 864.90 1.00 864.90 45910.91 53.08 -2.49 -13.21 US30 1255.94 1.08 1358.83 1.00 1358.83 45910.91 33.79 -2.72 -9.18 US5 1070.16 0.23 246.96 1.00 246.96 45910.91 185.90 -7.41 -137.74 VIX 170.50 3.07 523.14 1.00 523.14 45910.91 87.76 -15.81 -138.71 WHEAT 301.75 1.28 385.53 1.00 385.53 45910.91 119.08 -18.90 -225.04 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -36.429 0.010 2.5 -0.945 BITCOIN 146.946 0.043 2.5 15.912 BOBL 52.349 0.004 2.5 0.531 BTP 33.872 0.014 2.5 1.155 BUND -43.627 0.004 2.5 -0.442 BUXL 1.002 0.004 2.5 0.010 CAC -73.637 0.014 2.5 -2.512 CAD -161.387 0.010 2.5 -4.187 CANOLA -353.321 0.010 2.5 -8.596 CHF -84.466 0.010 2.5 -2.192 COCOA 40.216 0.009 2.5 0.861 COFFEE 21.389 0.005 2.5 0.250 COPPER -10.089 0.043 2.5 -1.092 CORN -411.961 0.010 2.5 -10.022 COTTON2 -199.615 0.009 2.5 -4.275 CRUDE_W -4.992 0.043 2.5 -0.541 DAX 177.459 0.014 2.5 6.053 DOW 139.791 0.009 2.5 3.249 DX 87.294 0.010 2.5 2.265 EUR -55.736 0.010 2.5 -1.446 EURIBOR-ICE 338.157 0.014 2.5 11.534 EUROSTX -60.532 0.014 2.5 -2.065 FEEDCOW 54.965 0.013 2.5 1.821 GASOIL -6.812 0.017 2.5 -0.295 GASOLINE -1.898 0.017 2.5 -0.082 GAS_US_mini -76.668 0.043 2.5 -8.302 GBP -82.701 0.010 2.5 -2.146 GOLD_micro -30.862 0.014 2.5 -1.053 HEATOIL -21.179 0.017 2.5 -0.918 JGB-SGX-mini -189.442 0.043 2.5 -20.514 JPY -48.803 0.010 2.5 -1.266 LEANHOG 134.168 0.024 2.5 8.154 LIVECOW 43.337 0.013 2.5 1.436 LUMBER-new 92.036 0.009 2.5 1.971 MILK -47.220 0.009 2.5 -1.011 MXP -4.048 0.059 2.5 -0.594 NASDAQ_micro 0.622 0.009 2.5 0.014 NIKKEI 94.087 0.043 2.5 10.188 NZD -68.857 0.010 2.5 -1.787 OAT 34.601 0.014 2.5 1.180 OATIES -38.084 0.010 2.5 -0.927 OJ 63.604 0.009 2.5 1.362 PALLAD -2.936 0.014 2.5 -0.100 PLAT -19.610 0.014 2.5 -0.669 REDWHEAT -213.008 0.005 2.5 -2.826 RICE -131.730 0.010 2.5 -3.205 ROBUSTA 45.627 0.005 2.5 0.533 RUSSELL 165.959 0.013 2.5 5.499 SHATZ -97.661 0.004 2.5 -0.990 SILVER-mini -3.706 0.014 2.5 -0.126 SMI -19.793 0.014 2.5 -0.675 SOFR -163.964 0.024 2.5 -9.965 SOYBEAN -177.409 0.004 2.5 -1.650 SOYMEAL -265.520 0.004 2.5 -2.469 SOYOIL -37.723 0.004 2.5 -0.351 SP400 8.348 0.013 2.5 0.277 SP500_micro 77.185 0.009 2.5 1.794 SUGAR11 -25.831 0.009 2.5 -0.549 US10 -67.758 0.005 2.5 -0.859 US10U -40.401 0.005 2.5 -0.512 US2 -235.161 0.005 2.5 -2.980 US20 -13.208 0.005 2.5 -0.167 US30 -9.180 0.005 2.5 -0.116 US5 -137.738 0.005 2.5 -1.745 VIX -138.706 0.099 2.5 -34.238 WHEAT -225.042 0.005 2.5 -2.985 ===================== Position diags ===================== AUD 2.79 BITCOIN 21.38 BOBL 1.87 BTP 2.97 BUND 0.96 BUXL 0.38 CAC 2.39 CAD 4.31 CANOLA 7.72 CHF 1.64 COCOA 0.55 COFFEE 0.32 COPPER 3.17 CORN 5.91 COTTON2 2.14 CRUDE_W 4.53 DAX 9.80 DOW 6.76 DX 2.76 EUR 1.65 EURIBOR-ICE 13.51 EUROSTX 3.37 FEEDCOW 1.90 GASOIL 1.74 GASOLINE 1.25 GAS_US_mini 17.22 GBP 2.86 GOLD_micro 5.38 HEATOIL 1.21 JGB-SGX-mini 34.21 JPY 2.00 LEANHOG 7.01 LIVECOW 3.80 LUMBER-new 4.49 MILK 1.95 MXP 33.15 NASDAQ_micro 3.11 NIKKEI 18.39 NZD 3.09 OAT 3.34 OATIES 3.32 OJ 0.88 PALLAD 0.55 PLAT 2.01 REDWHEAT 1.42 RICE 3.76 ROBUSTA 0.69 RUSSELL 10.67 SHATZ 5.33 SILVER-mini 1.17 SMI 1.47 SOFR 18.21 SOYBEAN 0.93 SOYMEAL 1.23 SOYOIL 0.86 SP400 0.50 SP500_micro 5.69 SUGAR11 3.03 US10 1.42 US10U 1.00 US2 3.00 US20 0.67 US30 0.43 US5 2.36 VIX 21.66 WHEAT 1.58 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.2 -0.7 0.0 0 BITCOIN 15.9 13.8 18.1 0.0 0 BOBL 0.5 0.3 0.7 0.0 0 BTP 1.2 0.9 1.5 0.0 0 BUND -0.4 -0.5 -0.3 -1.0 -1 BUXL 0.0 -0.0 0.0 0.0 0 CAC -2.5 -2.8 -2.3 0.0 0 CAD -4.2 -4.6 -3.8 -2.0 -2 CANOLA -8.6 -9.4 -7.8 -5.0 -5 CHF -2.2 -2.4 -2.0 -7.0 -7 COCOA 0.9 0.8 0.9 2.0 2 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -1.1 -1.4 -0.8 -2.0 -2 CORN -10.0 -10.6 -9.4 -7.0 -7 COTTON2 -4.3 -4.5 -4.1 -5.0 -5 CRUDE_W -0.5 -1.0 -0.1 -2.0 -2 DAX 6.1 5.1 7.0 0.0 0 DOW 3.2 2.6 3.9 1.0 1 DX 2.3 2.0 2.5 0.0 0 EUR -1.4 -1.6 -1.3 -2.0 -2 EURIBOR-ICE 11.5 10.2 12.9 0.0 0 EUROSTX -2.1 -2.4 -1.7 -4.0 -4 FEEDCOW 1.8 1.6 2.0 1.0 1 GASOIL -0.3 -0.5 -0.1 -1.0 -1 GASOLINE -0.1 -0.2 0.0 0.0 0 GAS_US_mini -8.3 -10.0 -6.6 -11.0 -11 GBP -2.1 -2.4 -1.9 0.0 0 GOLD_micro -1.1 -1.6 -0.5 0.0 0 HEATOIL -0.9 -1.0 -0.8 -1.0 -1 JGB-SGX-mini -20.5 -23.9 -17.1 0.0 0 JPY -1.3 -1.5 -1.1 -3.0 -3 LEANHOG 8.2 7.5 8.9 7.0 7 LIVECOW 1.4 1.1 1.8 1.0 1 LUMBER-new 2.0 1.5 2.4 0.0 0 MILK -1.0 -1.2 -0.8 0.0 0 MXP -0.6 -3.9 2.7 -4.0 -4 NASDAQ_micro 0.0 -0.3 0.3 1.0 1 NIKKEI 10.2 8.3 12.0 4.0 4 NZD -1.8 -2.1 -1.5 0.0 0 OAT 1.2 0.8 1.5 1.0 1 OATIES -0.9 -1.3 -0.6 NaN 0 OJ 1.4 1.3 1.5 1.0 1 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT -0.7 -0.9 -0.5 0.0 0 REDWHEAT -2.8 -3.0 -2.7 -1.0 -1 RICE -3.2 -3.6 -2.8 NaN 0 ROBUSTA 0.5 0.5 0.6 0.0 0 RUSSELL 5.5 4.4 6.6 0.0 0 SHATZ -1.0 -1.5 -0.5 NaN 0 SILVER-mini -0.1 -0.2 -0.0 0.0 0 SMI -0.7 -0.8 -0.5 0.0 0 SOFR -10.0 -11.8 -8.1 NaN 0 SOYBEAN -1.6 -1.7 -1.6 -2.0 -2 SOYMEAL -2.5 -2.6 -2.3 -2.0 -2 SOYOIL -0.4 -0.4 -0.3 1.0 1 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 1.8 1.2 2.4 3.0 3 SUGAR11 -0.5 -0.9 -0.2 0.0 0 US10 -0.9 -1.0 -0.7 0.0 0 US10U -0.5 -0.6 -0.4 -1.0 -1 US2 -3.0 -3.3 -2.7 NaN 0 US20 -0.2 -0.2 -0.1 0.0 0 US30 -0.1 -0.2 -0.1 -3.0 -3 US5 -1.7 -2.0 -1.5 -2.0 -2 VIX -34.2 -36.4 -32.1 -24.0 -24 WHEAT -3.0 -3.1 -2.8 -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 -0.1 -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 0.1 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 0.1 0.4 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.6 0.6 0.6 0.1 -0.1 -0.1 0.0 BOBL 0.0 -0.4 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 -0.1 -0.1 -0.0 0.4 -0.1 0.3 0.1 -0.0 -0.0 0.1 -0.0 0.0 0.5 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 0.2 0.3 0.2 -0.4 -0.5 0.2 -0.0 BTP -0.1 -0.3 0.1 -0.0 0.1 -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 0.2 0.3 0.6 0.6 -0.4 -0.4 0.3 0.3 BUND 0.0 -0.5 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.8 0.2 0.3 0.4 0.1 -0.7 -0.6 0.0 -0.0 BUXL 0.3 -0.2 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.3 0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.2 0.6 0.6 0.1 -0.7 -0.7 -0.3 -0.3 CAC -0.4 -0.3 -0.2 0.0 0.1 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 -0.2 -0.1 -0.1 -0.1 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.3 -0.6 -0.6 -0.6 0.1 0.2 -0.2 -0.1 CAD 0.1 -0.6 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -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 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.3 0.3 0.3 -0.2 -0.1 -0.1 -0.3 -0.3 -0.2 CANOLA -0.5 0.3 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 -0.1 -1.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.3 0.2 0.2 -0.3 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.0 -0.2 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -1.1 -0.0 -0.3 -0.3 -0.0 -0.4 -0.4 -0.6 -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 0.2 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 0.3 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 -0.0 -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 -0.1 -0.0 -0.2 -0.1 0.5 0.4 0.3 0.7 CORN 0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -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 0.1 -0.5 -0.0 -0.6 -0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 -0.1 -0.0 -0.4 -0.1 -2.7 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -1.0 -0.2 -0.4 -0.6 0.0 -0.6 -0.5 -0.5 -0.4 CRUDE_W 0.1 -0.0 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -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 -0.0 -0.1 0.0 -0.1 -0.0 0.4 -0.1 -0.2 -0.2 0.1 -0.1 0.2 -0.0 0.4 DAX -0.4 -0.1 0.1 0.0 0.1 0.1 0.0 0.3 0.0 0.1 0.3 -0.0 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 0.1 0.1 0.0 0.3 -0.0 -0.3 0.1 -0.6 -0.1 0.1 0.7 0.4 0.4 0.1 DOW 0.3 -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 0.4 0.1 -1.5 0.0 0.1 0.1 0.1 0.2 0.0 -0.4 0.3 0.6 0.5 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 -0.0 0.1 0.2 0.1 0.3 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 0.0 0.0 0.1 0.7 0.5 0.6 0.6 0.5 -0.1 0.2 -0.1 0.3 EUR -0.4 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -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 -0.0 -0.0 -0.1 -0.5 -0.2 -0.3 -0.4 -0.2 -0.0 -0.5 -0.1 -0.6 EURIBOR-ICE 0.1 -0.2 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 0.1 0.2 0.0 1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.0 0.3 0.5 0.4 -0.2 -0.5 0.3 0.2 EUROSTX -0.4 -0.3 -0.2 0.0 0.1 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 0.3 -0.0 -0.6 -0.6 -0.4 0.2 0.1 -0.5 -0.3 FEEDCOW 0.5 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 0.2 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 0.1 0.5 0.6 0.6 -0.1 0.5 0.7 0.7 0.7 GASOIL 0.3 0.2 -0.4 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.3 0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 -0.1 0.0 -0.2 0.0 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 0.0 0.2 -0.1 -0.3 0.0 -0.2 0.1 -0.4 GASOLINE 0.1 0.0 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.0 0.4 0.1 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 0.3 0.6 GAS_US_mini 0.4 0.0 0.4 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 -0.4 0.1 -0.6 -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 0.2 -0.6 0.1 -0.5 -0.6 -0.3 -0.5 GBP -0.6 -0.6 -0.1 -0.1 -0.0 -0.1 -0.0 -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 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.5 -0.3 -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 0.0 0.2 -0.0 0.4 -0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.0 0.1 -0.0 0.3 -0.0 -1.2 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.7 0.1 -0.1 0.1 0.4 0.7 0.1 0.7 0.3 HEATOIL 0.2 0.1 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.0 -0.4 -0.1 -0.1 -0.0 0.1 -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 0.1 -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 -0.0 -0.0 -0.0 1.1 -0.4 -0.2 0.1 0.2 -0.7 -0.4 -0.7 -0.3 JPY -0.1 -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 -0.1 0.0 -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 0.1 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 0.1 0.2 0.0 0.1 0.1 1.1 0.1 0.6 0.6 0.6 0.1 -0.2 0.3 0.0 LIVECOW -0.4 0.1 0.4 -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 -0.4 0.5 0.2 -0.2 0.7 0.0 0.7 LUMBER-new 0.4 0.7 0.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 0.1 0.1 -0.2 0.2 0.2 -0.5 -0.4 -0.5 -0.4 0.2 0.1 0.0 -0.1 0.2 NaN 0.1 -0.0 0.1 0.0 -0.0 0.1 -1.2 -0.0 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 0.2 -0.1 -0.1 0.1 -0.0 0.2 0.2 -0.1 0.0 -0.2 0.2 -0.2 1.9 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.4 -0.6 -0.6 0.1 -0.2 -0.7 -0.0 -0.7 MXP 0.1 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.4 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 1.1 0.3 0.3 0.5 -0.4 0.6 0.7 0.7 0.7 NASDAQ_micro 0.2 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.3 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 -0.3 -0.2 0.1 0.3 0.3 0.3 0.1 -0.2 -0.2 NIKKEI -0.0 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.0 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 -0.1 -0.1 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 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.0 OAT -0.0 -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 0.1 -0.0 0.0 -0.0 -0.0 0.6 -0.0 0.2 0.5 0.1 -0.2 -0.5 0.5 0.2 OATIES -0.6 -0.2 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 -0.1 0.1 -0.2 -0.1 0.5 0.7 0.2 0.7 0.5 OJ -0.1 0.0 0.2 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.2 0.5 0.2 0.7 0.1 0.2 0.4 0.3 0.4 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 0.6 0.5 0.6 0.5 0.3 0.7 0.7 PALLAD -0.6 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.0 -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 0.1 0.1 -0.4 -0.7 -0.7 -0.7 PLAT -0.5 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -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 0.0 -0.5 -0.1 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.5 -0.2 -0.6 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.3 -0.5 -0.4 -0.3 -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 -0.0 0.1 0.1 0.3 -0.0 -0.1 -0.2 0.4 -0.1 0.1 -0.1 -0.1 0.0 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 -0.5 -0.7 -0.5 -0.7 ROBUSTA 0.5 -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 -0.2 0.6 0.1 0.0 0.3 0.2 RUSSELL 0.5 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.2 0.6 0.5 0.4 -0.2 -0.4 -0.7 -0.7 SHATZ 0.0 -0.3 0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.0 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 0.1 0.0 0.0 0.8 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 0.2 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 -0.0 0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 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 -0.5 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.0 -0.1 0.3 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 1.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.6 -0.2 -0.6 -0.6 -0.2 -0.2 0.1 -0.7 -0.3 SOFR -0.1 -0.6 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.0 -0.0 -0.2 -0.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 -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 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.2 -0.6 -0.6 0.1 -0.3 0.3 -0.1 SOYMEAL -0.3 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.5 -0.1 -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 -0.3 -0.1 -0.6 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.1 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 -0.1 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 0.0 0.2 0.2 0.1 -0.2 0.4 -0.0 SP400 0.4 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 0.2 0.1 0.2 0.3 0.2 -1.4 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 0.5 0.6 0.6 0.6 -0.0 -0.2 -0.6 -0.7 SP500_micro 0.2 0.1 0.3 0.0 0.1 0.1 0.0 0.3 0.0 0.1 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.5 0.1 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 -0.1 0.2 -0.1 -0.2 -0.1 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.1 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.0 -0.0 1.1 -0.0 -0.1 -0.2 0.6 -0.7 0.1 -0.7 0.2 US10 -0.0 -0.6 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 -0.0 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 0.0 -0.6 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 -0.0 -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 -0.1 0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.4 -0.4 -0.0 -0.5 0.7 0.6 US2 -0.4 -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 -0.3 -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 0.1 -0.6 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.1 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 -0.2 0.0 -0.3 0.7 0.6 US30 0.1 -0.6 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 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 -0.2 -0.6 -0.3 -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 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 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 -0.8 -0.4 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.5 -0.6 -0.4 -0.6 -0.1 -0.1 -0.1 -0.4 -0.2 NaN -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.2 0.1 -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 -0.6 -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 -5.2 -19.4 -3.0 -3.9 -1.5 -1.9 -3.5 -0.4 -4.7 0.8 -5.1 -8.8 -0.9 -12.9 -11.0 -0.4 -1.6 -0.5 -0.9 -11.0 -5.3 -7.1 -1.6 -11.9 2.8 -4.0 -0.9 -1.8 -2.4 -0.3 -4.3 -0.0 4.0 6.7 1.8 2.5 -0.5 -6.1 0.3 -3.4 BITCOIN 20.0 20.0 5.4 -0.2 -4.2 1.0 -3.8 0.1 -3.6 9.4 14.2 20.0 15.3 20.0 20.0 -7.5 -6.9 -6.8 -6.7 20.0 20.0 20.0 16.0 20.0 -20.0 7.7 3.7 4.4 8.4 3.6 9.9 -2.5 20.0 20.0 20.0 20.0 1.9 -2.3 -1.7 1.4 BOBL 1.2 -13.4 4.6 -2.5 3.7 -0.8 0.7 0.2 -1.9 10.3 2.3 6.6 -1.9 -4.7 -4.1 19.4 -2.5 13.2 4.5 -2.3 -0.0 8.3 -0.1 0.5 3.8 -0.8 7.7 0.5 4.3 0.9 0.5 2.6 5.0 7.0 10.5 5.4 -10.8 -14.7 4.5 -0.2 BTP -3.1 -9.7 2.9 -4.0 6.0 -1.3 1.2 0.4 -3.1 16.6 10.4 10.4 15.9 -2.4 1.5 7.7 5.4 6.9 5.7 2.7 7.8 10.7 11.3 3.3 -20.0 2.4 10.4 5.4 6.8 7.4 2.6 11.6 8.4 10.2 20.0 17.8 -10.8 -12.8 9.8 10.2 BUND 1.0 -14.3 0.6 -3.0 4.5 -0.9 0.9 0.3 -2.3 12.3 1.3 6.9 0.4 -7.3 -7.1 -20.0 -8.2 -18.9 -13.7 -4.2 -1.3 10.1 -0.2 -0.2 1.0 -1.6 10.6 -0.1 5.5 1.0 0.3 -15.9 7.0 9.3 13.3 3.3 -20.0 -19.4 0.6 -1.1 BUXL 7.8 -6.9 0.6 -3.3 5.0 -1.0 1.0 0.3 -2.6 13.9 0.8 14.0 0.1 -2.2 -3.8 0.3 -1.3 0.0 -0.7 -0.8 -1.1 12.8 -1.8 4.6 -2.4 0.0 14.5 0.2 9.1 0.9 3.5 0.5 10.3 20.0 20.0 3.9 -20.0 -20.0 -8.0 -7.8 CAC -12.2 -9.1 -7.4 3.1 6.5 4.9 3.2 7.4 2.4 -6.4 -12.8 -14.5 -3.5 -16.1 -12.1 -5.4 -3.5 -5.4 -4.7 -14.4 -11.3 -11.7 -5.5 -16.0 -6.1 -5.7 -1.4 -4.1 -4.8 -1.3 -6.5 4.1 -14.4 -20.0 -20.0 -17.0 4.1 6.4 -5.3 -2.8 CAD 1.8 -20.0 -4.3 -5.9 -2.2 -2.8 -5.2 -0.6 -7.0 8.1 -16.2 -6.2 -17.4 -17.9 -18.9 -6.1 -4.4 -5.7 -5.1 -20.0 -16.1 -7.3 -11.2 -18.2 0.4 -6.9 0.1 -4.9 -2.3 -3.2 -5.9 -5.8 11.4 9.6 -5.0 -4.0 -4.0 -7.5 -7.6 -6.4 CANOLA -16.2 9.5 10.1 -0.8 -0.8 -1.7 -1.1 -2.6 -1.0 -7.0 -0.1 -6.8 -5.3 -3.0 1.9 -15.1 -12.4 -15.1 -14.3 -0.5 -0.6 -11.9 -3.4 -5.4 -12.4 0.9 -4.6 0.7 -3.8 -1.1 -1.2 -20.0 -20.0 -7.9 6.3 7.1 -7.5 -12.2 -0.6 -6.6 CHF -14.7 -20.0 -2.7 -3.5 -1.3 -1.7 -3.1 -0.4 -4.2 -2.0 -3.0 -9.6 -4.1 -12.2 -10.0 -15.1 -16.1 -15.3 -15.5 -14.3 -6.1 -13.1 -1.7 -17.4 3.8 -3.9 -1.7 -1.5 -3.7 -0.1 -4.9 -20.0 -0.5 -10.4 -8.6 -0.8 -10.6 -11.0 -19.4 -13.3 COCOA 20.0 18.2 5.0 -1.0 -1.0 -2.0 -1.2 -3.0 -1.2 7.4 4.0 8.8 5.7 8.9 8.4 9.0 20.0 20.0 20.0 16.9 12.2 20.0 13.4 20.0 -20.0 3.0 3.1 2.6 4.1 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 6.2 4.4 -2.3 -2.3 -4.7 -2.9 -7.2 -2.8 19.6 18.2 20.0 19.3 18.2 16.1 1.7 4.7 2.2 3.3 20.0 20.0 20.0 20.0 20.0 -20.0 6.3 12.7 4.8 13.3 5.2 10.3 4.8 20.0 20.0 20.0 20.0 -10.9 -7.9 -2.3 0.5 COPPER -16.3 -11.6 -4.2 -0.1 -1.6 0.4 -1.4 0.0 -1.4 -1.0 -4.5 -6.9 -0.9 -7.5 -3.3 -4.5 -3.4 -4.1 -3.5 -5.0 -1.7 -6.4 0.9 -7.7 -10.6 -1.2 -0.8 0.3 -2.3 1.2 -2.6 3.3 -5.5 -0.5 -7.3 -2.0 13.5 11.6 9.8 20.0 CORN 0.7 1.3 -3.4 -2.5 -2.6 -5.2 -3.2 -8.0 -3.1 -20.0 -18.7 -19.3 -20.0 -17.3 -4.8 -7.7 -13.8 -10.9 -13.5 -10.9 -20.0 -14.9 -20.0 -10.6 -11.8 -7.2 -13.5 -10.9 -10.1 -15.7 -7.2 -20.0 -20.0 -4.5 -13.8 -10.1 10.1 -2.0 16.1 2.3 COTTON2 -8.6 -4.3 7.5 -2.1 -2.1 -4.2 -2.6 -6.5 -2.5 11.6 -16.7 -4.6 -17.3 -12.0 -7.7 -14.9 -7.4 -14.1 -11.4 -9.5 -11.1 -2.8 -16.2 -10.6 -20.0 -4.8 6.2 -3.9 -1.6 -3.5 -5.6 -18.2 -9.4 -13.5 -17.1 0.2 -18.1 -15.7 -13.6 -11.1 CRUDE_W 1.8 -0.0 -10.4 -0.8 -0.2 -3.2 1.9 -2.8 1.0 3.8 -9.0 0.4 -4.8 -6.9 -5.7 4.2 10.0 5.9 8.1 -5.2 -7.6 0.4 -4.8 -2.0 -1.3 -2.5 -1.2 -4.2 0.3 -3.1 -1.2 8.4 -5.4 -5.3 -7.6 2.3 -2.2 7.2 -1.0 12.0 DAX -12.2 -2.4 3.4 3.0 6.3 4.7 3.1 7.1 2.3 10.6 11.5 -1.3 14.8 -5.2 10.8 -8.0 -9.7 -8.3 -8.8 3.4 7.8 2.9 11.2 -0.5 7.4 1.5 7.2 4.4 1.6 7.7 -0.7 -5.0 5.2 -17.4 -2.8 4.6 20.0 11.0 11.2 3.2 DOW 9.4 -0.5 8.3 2.3 4.9 3.7 2.4 5.6 1.8 10.7 11.7 10.3 12.9 9.2 11.6 -9.7 -10.6 -9.8 -10.1 13.4 13.3 15.6 13.1 13.6 -11.1 4.5 6.0 4.7 4.7 5.0 4.3 -6.7 14.1 20.0 15.1 19.9 1.8 2.9 -13.4 -8.6 DX 13.6 20.0 7.3 -3.7 -1.4 -1.8 -3.3 -0.4 -4.5 10.5 7.8 13.7 7.2 14.6 13.3 5.8 6.6 6.0 6.2 20.0 10.6 18.6 4.1 20.0 -20.0 4.5 1.9 2.2 3.7 0.8 5.1 13.3 20.0 20.0 20.0 14.3 -2.2 5.5 -2.0 8.0 EUR -12.5 -20.0 -8.3 -3.3 -1.3 -1.6 -3.0 -0.3 -4.0 -5.2 -7.6 -11.0 -5.4 -12.2 -11.6 -6.2 -7.0 -6.6 -6.7 -15.3 -8.2 -16.7 -3.3 -19.0 14.2 -4.1 -2.4 -2.0 -4.2 -0.6 -4.9 -9.5 -7.5 -9.3 -12.4 -5.8 -0.5 -13.6 -2.9 -16.6 EURIBOR-ICE 2.4 -7.1 9.6 -2.0 3.1 -0.6 0.6 0.2 -1.6 7.8 6.4 7.9 6.2 1.5 3.3 5.9 0.0 4.8 2.6 3.7 6.1 6.5 6.2 3.8 10.8 2.0 4.9 3.2 3.4 3.4 1.9 4.5 1.4 8.9 14.7 12.7 -4.7 -15.4 10.4 6.0 EUROSTX -12.6 -9.2 -7.2 2.8 5.9 4.4 2.9 6.7 2.1 1.9 -1.5 -10.0 9.0 -12.3 -2.4 -3.8 -3.3 -3.9 -4.0 -8.2 -3.4 -5.6 3.4 -10.2 -2.5 -4.2 1.3 -1.5 -2.7 2.6 -5.0 4.7 -0.5 -20.0 -18.5 -11.0 4.7 3.5 -15.4 -9.3 FEEDCOW 15.6 20.0 3.5 -2.5 -2.5 -5.1 -3.2 -7.9 -3.0 20.0 -0.0 20.0 -11.5 20.0 14.1 10.7 -4.2 13.8 8.3 20.0 1.8 20.0 -9.9 20.0 -12.3 5.3 13.0 0.4 13.5 -2.0 9.8 1.1 20.0 20.0 20.0 -2.7 16.0 20.0 20.0 20.0 GASOIL 8.2 5.7 -11.3 -0.7 -0.2 -2.8 1.7 -2.6 0.9 5.7 -11.5 5.9 -7.0 1.6 -5.0 2.4 6.6 1.8 2.6 -2.8 -8.4 4.5 -7.0 2.6 4.0 -1.7 0.8 -4.9 2.5 -4.4 1.4 0.1 0.6 6.0 -2.1 -8.3 0.4 -7.4 2.9 -11.8 GASOLINE 1.8 1.5 -8.2 -0.7 -0.1 -2.7 1.6 -2.4 0.9 1.3 -7.7 1.9 -2.5 -5.2 -1.9 -2.4 20.0 7.0 16.5 -2.2 -4.1 0.4 -2.0 -0.4 -20.0 -0.0 -2.2 -0.8 0.2 -0.1 0.1 20.0 -2.7 -3.0 -1.4 6.0 2.9 9.8 7.7 17.4 GAS_US_mini 12.1 1.4 13.6 -0.8 -0.2 -3.0 1.8 -2.7 1.0 7.6 -14.6 9.8 -17.7 -0.5 -5.4 -20.0 -20.0 -20.0 -20.0 -2.2 -7.5 14.1 -14.1 6.2 20.0 -1.5 7.2 -3.8 7.9 -5.8 3.2 -20.0 20.0 5.3 -20.0 2.9 -13.7 -19.4 -10.2 -16.2 GBP -17.6 -20.0 -4.3 -4.6 -1.7 -2.2 -4.1 -0.5 -5.6 -12.0 -0.1 -16.2 6.7 -17.6 -13.0 0.5 -0.2 0.4 0.2 -16.3 -3.9 -20.0 4.0 -20.0 -1.4 -4.8 -5.0 -0.7 -7.0 1.9 -7.3 2.2 -18.8 -9.8 -6.9 3.0 5.4 -16.0 17.2 -15.5 GOLD_micro -20.0 -20.0 -3.3 -0.1 -2.0 0.5 -1.8 0.0 -1.7 1.3 7.2 -2.9 9.9 -3.3 4.0 -10.5 -13.2 -12.1 -12.5 2.1 7.8 -0.5 10.3 -2.5 -9.4 1.1 0.1 3.2 -0.4 4.1 -0.9 -12.9 5.6 -4.1 3.7 12.6 20.0 2.3 20.0 7.6 HEATOIL 4.7 4.0 -8.3 -0.7 -0.2 -2.8 1.6 -2.5 0.9 5.7 -11.4 4.2 -9.8 -5.5 -5.7 -0.5 2.5 -2.7 -2.4 -3.1 -8.0 2.2 -7.9 0.7 -19.3 -0.5 0.2 -3.1 1.3 -3.4 0.8 -8.0 0.4 1.6 -0.1 -0.0 -0.4 3.1 2.4 4.5 JGB-SGX-mini -16.6 -18.9 2.2 -2.3 0.8 -0.7 -0.7 0.2 -2.3 -6.0 1.3 -8.7 2.0 -9.4 -3.1 20.0 16.7 17.0 16.0 -7.2 -1.5 -11.2 0.8 -12.0 -10.9 -2.5 -1.8 -0.7 -3.9 -0.3 -4.1 20.0 -17.3 -4.9 2.1 5.7 -20.0 -12.8 -20.0 -8.5 JPY -4.4 -20.0 -0.3 -2.3 -0.8 -1.1 -2.0 -0.2 -2.7 5.0 -3.2 -3.6 -4.6 -7.7 -6.9 -10.4 -13.6 -10.9 -11.9 -9.4 -5.8 -3.3 -5.3 -8.4 20.0 -2.4 0.3 -1.4 -0.9 -1.4 -2.3 -19.8 5.5 3.3 -4.6 0.7 -14.6 -19.9 -11.4 -20.0 LEANHOG -9.5 17.3 20.0 -2.7 -2.7 -5.5 -3.4 -8.5 -3.2 16.0 8.3 8.9 2.9 18.8 20.0 -20.0 11.0 -0.9 16.0 20.0 20.0 12.1 3.3 16.3 0.2 7.7 6.8 6.2 3.5 2.0 4.8 20.0 3.3 19.5 20.0 20.0 4.1 -5.1 8.9 0.9 LIVECOW -11.6 2.0 10.8 -2.8 -2.8 -5.7 -3.5 -8.7 -3.3 17.7 20.0 4.3 17.4 0.6 17.8 -13.9 4.5 -5.7 0.9 12.6 18.2 11.0 18.5 7.0 -20.0 4.0 7.3 6.0 5.8 7.6 2.9 3.9 20.0 -11.0 16.9 7.4 -6.5 20.0 1.0 20.0 LUMBER-new 11.6 20.0 15.1 -2.1 -2.1 -4.2 -2.6 -6.2 -2.5 -15.9 3.0 5.8 -5.6 13.0 16.5 -20.0 -18.7 -19.7 -19.0 20.0 10.1 0.4 -2.5 16.9 NaN 6.0 -4.3 3.3 0.4 -0.1 5.1 -20.0 -1.1 20.0 20.0 20.0 10.0 3.2 18.1 9.7 MILK -20.0 -20.0 2.8 -1.5 -1.5 -3.0 -1.9 -4.6 -1.8 -11.4 5.9 -12.2 6.9 -13.3 -7.6 3.7 -2.3 12.5 8.9 -12.8 0.4 -17.8 5.8 -19.0 14.2 -3.6 -4.5 -0.3 -4.8 1.0 -5.1 2.9 -15.0 -20.0 -20.0 3.5 -6.9 -20.0 -1.2 -20.0 MXP 1.8 -2.3 -15.9 -3.5 -1.3 -1.7 -3.2 -0.4 -4.2 1.8 -12.7 -4.1 -10.4 -8.5 -11.2 11.9 13.3 11.6 11.8 -10.6 -13.8 -2.8 -10.7 -6.7 -20.0 -4.7 0.3 -6.0 -1.2 -4.5 -3.0 20.0 13.9 9.2 14.2 -12.7 18.0 20.0 20.0 20.0 NASDAQ_micro 4.8 6.9 7.2 2.4 5.1 3.8 2.5 5.8 1.8 0.3 10.1 4.7 11.5 6.2 11.1 -9.7 -9.7 -9.2 -9.2 10.6 11.7 2.8 14.6 7.2 -20.0 4.0 0.8 5.0 0.8 7.1 2.4 -5.2 -6.5 3.6 8.6 9.5 8.1 3.9 -5.9 -6.1 NIKKEI -1.2 4.1 4.6 2.1 4.4 3.3 2.2 5.1 1.6 -1.1 4.9 -3.8 5.8 -1.0 8.6 0.9 6.5 2.1 4.0 2.0 3.0 -1.3 6.3 -0.5 -8.3 -0.5 1.9 -0.9 -0.5 2.0 -0.5 20.0 -4.2 -1.5 0.3 -15.1 20.0 9.8 20.0 11.9 NZD -7.9 -20.0 -3.7 -3.6 -1.3 -1.7 -3.2 -0.4 -4.3 -9.4 -7.1 -11.5 -2.6 -13.4 -10.9 -1.2 -0.3 -0.8 -0.5 -13.1 -7.0 -11.6 -2.7 -14.8 1.3 -4.0 -2.6 -2.0 -3.7 -0.7 -4.7 1.6 -3.9 1.4 -4.0 2.5 -2.1 -6.4 -1.7 -1.2 OAT -1.1 -10.8 1.0 -2.9 4.4 -0.9 0.9 0.3 -2.3 11.3 -0.7 4.5 -2.2 -7.1 -7.1 8.7 5.4 7.5 6.0 -4.8 -3.0 4.4 -2.4 -2.1 3.9 -2.2 6.1 -0.9 2.9 -0.0 -0.7 11.8 -0.9 5.5 15.0 3.2 -4.5 -14.9 13.8 5.2 OATIES -20.0 -4.6 20.0 -1.4 -1.4 -2.8 -1.7 -4.3 -1.6 0.0 1.3 -6.3 -7.3 -5.5 6.3 -11.1 0.8 -3.3 -0.1 1.8 3.9 -3.6 -0.4 -3.8 -20.0 0.2 -0.5 1.3 -2.1 0.2 -2.2 -1.1 5.1 -6.9 -2.0 15.3 20.0 4.9 20.0 14.2 OJ -3.1 0.2 6.3 -2.2 -2.2 -4.6 -2.8 -7.0 -2.7 17.0 19.2 16.2 20.0 13.7 16.6 20.0 13.9 17.8 14.7 16.1 20.0 20.0 20.0 19.2 -20.0 5.9 14.5 7.8 12.6 13.2 7.8 20.0 20.0 17.9 16.3 20.0 14.9 10.1 20.0 20.0 PALLAD -20.0 -2.2 17.5 -0.1 -1.5 0.4 -1.3 0.0 -1.3 1.4 0.9 -4.5 -2.9 -4.7 -0.2 -2.3 -2.1 -2.2 -2.1 -1.0 0.9 -2.7 -1.6 -3.7 12.9 0.3 -0.9 0.8 -0.8 -0.2 -0.9 5.6 3.8 -4.0 1.6 2.5 -12.4 -20.0 -20.0 -20.0 PLAT -16.5 -1.7 0.8 -0.1 -2.4 0.6 -2.2 0.0 -2.0 -5.1 -5.0 -9.5 -2.6 -8.8 -2.7 -4.0 -4.4 -4.2 -4.4 -3.9 -0.9 -7.4 -0.3 -7.4 5.0 -1.7 -4.4 -0.5 -3.7 -0.3 -3.6 1.6 -3.4 -4.5 -3.0 -7.3 7.0 -8.3 -0.5 -1.7 REDWHEAT -11.1 -7.0 6.3 -2.3 -2.3 -4.6 -2.9 -7.1 -2.7 0.5 -17.3 -7.4 -18.7 -15.1 -10.6 -9.7 -7.7 -10.2 -9.7 -13.9 -13.7 -10.5 -19.4 -15.1 -4.2 -6.0 -3.7 -5.4 -4.5 -6.4 -6.5 -17.3 -11.9 -16.9 -12.2 -7.7 -20.0 -20.0 -20.0 -20.0 RICE 2.5 -9.5 -8.9 -2.0 -2.1 -4.2 -2.6 -6.4 -2.5 -0.3 3.3 9.1 8.1 -2.9 -6.5 -11.1 18.1 -6.9 6.7 -6.6 -4.8 1.8 2.2 -1.8 -13.9 -4.0 -2.9 -3.0 0.7 -0.4 -1.5 20.0 20.0 -7.1 -15.2 -10.4 -16.0 -20.0 -16.4 -20.0 ROBUSTA 15.2 -15.3 -3.5 -1.3 -1.3 -2.6 -1.6 -4.1 -1.6 11.0 7.7 11.5 10.3 1.3 3.6 6.3 20.0 16.4 20.0 7.4 13.0 20.0 20.0 12.8 -20.0 2.3 9.1 4.2 7.3 8.0 4.1 20.0 20.0 20.0 -6.7 18.8 4.5 0.8 9.4 7.3 RUSSELL 14.1 6.5 6.5 2.2 4.6 3.4 2.3 5.2 1.7 8.6 8.8 7.5 10.3 6.7 8.7 -6.2 -6.4 -6.2 -6.2 11.3 9.2 14.8 7.6 12.8 0.4 4.1 5.9 3.8 4.4 3.5 4.2 0.3 8.6 20.0 16.1 12.7 -5.9 -13.2 -20.0 -20.0 SHATZ 1.4 -8.9 14.6 -2.0 3.0 -0.6 0.6 0.2 -1.5 6.6 4.6 5.8 0.1 -1.3 0.5 -20.0 -20.0 -20.0 -20.0 1.6 3.4 6.5 1.0 2.3 5.9 1.0 5.3 2.1 3.5 1.3 1.3 -20.0 3.7 6.5 11.2 10.1 -8.5 -14.8 1.3 -5.5 SILVER-mini -20.0 -3.9 1.9 -0.1 -2.1 0.5 -1.9 0.0 -1.7 -4.9 4.0 -9.2 6.9 -8.7 1.7 -6.1 -6.4 -6.2 -6.2 -0.6 4.5 -6.7 6.7 -6.2 0.6 0.4 -2.4 2.1 -2.4 2.8 -1.9 -1.6 0.7 -5.7 2.1 2.8 6.7 -1.8 -2.4 8.7 SMI -17.0 -14.5 -13.0 2.1 4.5 3.4 2.3 5.2 1.6 -0.8 1.6 -8.7 8.1 -10.2 -6.7 0.6 0.3 0.2 -0.2 -9.1 -2.5 -7.7 3.9 -11.7 7.2 -3.1 0.1 0.1 -2.8 3.0 -4.3 10.9 -7.8 -20.0 -17.1 -7.5 -6.4 1.5 -20.0 -8.3 SOFR -3.7 -20.0 -9.7 -3.0 4.6 -1.0 0.9 0.3 -2.4 8.1 -1.4 -5.4 3.2 -12.9 -12.5 -0.4 0.1 0.7 0.5 -16.9 -7.8 -1.8 -0.7 -14.0 -5.8 -4.2 2.6 -2.2 -0.4 -0.2 -3.3 2.9 -4.7 -5.2 -16.4 -12.4 0.7 -9.2 17.8 15.3 SOYBEAN -0.2 -6.1 -9.3 -1.8 -1.9 -3.8 -2.4 -5.8 -2.2 -11.2 -15.2 -14.3 -15.6 -15.6 -12.5 -0.7 0.5 -2.1 -2.4 -14.9 -20.0 -13.6 -20.0 -13.6 -20.0 -5.9 -4.2 -7.4 -5.7 -8.2 -5.6 -4.5 -20.0 -7.2 -20.0 -17.9 2.0 -7.9 7.6 -2.8 SOYMEAL -9.1 -19.3 -7.4 -2.0 -2.0 -4.1 -2.6 -6.3 -2.4 9.2 -17.3 -10.5 -17.6 -18.3 -17.4 -9.2 0.5 -5.9 -3.3 -20.0 -20.0 -7.2 -20.0 -18.4 -20.0 -6.3 2.7 -5.4 -2.2 -4.6 -5.7 -4.7 -3.3 -18.8 -20.0 -14.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -3.9 11.2 16.4 -0.9 -0.9 -1.8 -1.1 -2.7 -1.0 -7.4 -0.3 -6.4 -5.8 -2.7 1.7 -2.6 0.4 -1.2 -0.4 1.8 0.7 -11.3 -3.0 -3.0 -15.7 1.0 -5.2 0.6 -3.7 -0.7 -0.7 -2.5 -20.0 1.3 5.2 5.3 3.5 -6.0 12.7 -0.5 SP400 12.5 6.3 6.5 2.5 5.4 4.0 2.7 6.1 2.0 11.9 11.4 10.7 13.4 9.3 11.8 -7.1 -6.5 -7.2 -6.8 14.2 11.7 20.0 10.5 16.8 -10.2 4.8 8.8 4.5 6.3 4.4 5.3 -0.3 20.0 20.0 19.7 17.5 -0.5 -6.7 -16.8 -20.0 SP500_micro 6.1 3.9 10.6 3.0 6.4 4.8 3.2 7.2 2.3 8.5 16.6 11.3 17.5 11.3 16.0 -11.4 -11.7 -11.2 -11.3 17.5 20.0 10.2 20.0 13.6 -20.0 5.6 3.7 7.2 3.2 9.3 4.1 -8.7 2.7 8.6 14.1 19.0 5.9 3.7 -12.3 -8.6 SUGAR11 -11.8 -2.5 20.0 -1.8 -1.8 -3.7 -2.3 -5.8 -2.2 -8.7 7.4 -9.1 -5.6 -9.4 7.9 20.0 20.0 20.0 20.0 4.6 7.4 -6.9 2.1 -3.4 -20.0 1.7 -4.3 2.8 -2.9 0.6 -1.5 20.0 -1.5 -3.0 -6.0 20.0 -20.0 3.3 -20.0 7.2 US10 -0.5 -20.0 -8.1 -2.1 3.3 -0.7 0.6 0.2 -1.7 5.6 -2.7 -3.0 0.2 -9.1 -9.0 -3.0 -6.5 -4.5 -5.5 -11.5 -6.1 -0.2 -2.3 -9.0 1.5 -3.0 2.2 -1.6 -0.0 -0.4 -2.2 -8.0 -3.5 -2.3 -11.5 -8.5 -3.3 -20.0 11.2 8.8 US10U 1.2 -20.0 -6.6 -2.9 4.3 -0.9 0.9 0.3 -2.3 6.6 -3.9 -2.5 -0.0 -11.8 -11.8 -4.0 -3.6 -4.3 -4.2 -13.3 -7.3 0.1 -3.2 -10.3 -1.4 -4.0 3.1 -2.3 0.0 -0.6 -2.9 -4.4 -5.8 -1.1 -12.1 -11.0 -1.2 -14.4 20.0 16.9 US2 -13.2 -20.0 -4.7 -2.3 3.6 -0.7 0.7 0.2 -1.9 3.2 -3.2 -8.5 -1.9 -10.9 -10.1 -16.2 -20.0 -20.0 -20.0 -16.7 -8.0 -8.1 -4.2 -16.4 15.4 -3.2 0.1 -1.4 -1.6 -0.3 -3.2 -20.0 -11.4 -10.1 -17.4 -4.3 -5.5 -17.3 3.0 -7.8 US20 3.2 -20.0 -7.5 -2.0 3.0 -0.6 0.6 0.2 -1.6 4.1 -2.7 -1.4 1.6 -8.2 -8.2 -1.3 -1.3 -1.7 -1.5 -8.4 -4.7 0.1 -1.8 -6.3 -2.8 -2.7 2.1 -1.6 0.0 -0.3 -1.9 0.3 -6.1 1.7 -6.4 -7.6 0.7 -8.8 20.0 18.9 US30 3.3 -20.0 -5.5 -2.1 3.2 -0.7 0.6 0.2 -1.7 4.2 -3.8 -2.6 0.1 -8.6 -8.7 -0.7 -4.1 -2.1 -3.2 -7.8 -4.6 0.1 -2.5 -5.9 -1.9 -3.0 2.6 -1.8 0.0 -0.5 -2.1 -4.0 -7.3 3.2 -3.4 -7.2 0.2 -7.8 20.0 18.7 US5 -5.3 -20.0 -8.1 -2.5 3.8 -0.8 0.8 0.2 -2.0 5.3 -3.4 -6.4 -1.5 -11.2 -10.7 -6.1 -9.7 -7.6 -8.8 -15.9 -8.2 -3.4 -3.2 -13.6 6.3 -3.5 1.5 -1.8 -0.6 -0.4 -2.9 -13.7 -6.9 -5.9 -16.2 -9.2 -1.2 -16.7 12.2 5.1 VIX -16.1 -8.2 -2.2 -2.6 -2.2 -0.8 -2.9 -2.6 -4.0 -1.7 -11.0 -12.2 -12.0 -12.8 -13.8 -17.2 -20.0 -13.4 -17.4 -7.4 -4.0 -7.2 -8.2 -10.2 NaN -3.1 -2.5 -1.0 -3.4 -3.1 -4.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -11.4 -7.2 4.5 -2.4 -2.4 -4.8 -3.0 -7.4 -2.8 -3.0 -15.7 -8.4 -17.0 -15.8 -6.6 -13.7 -14.4 -13.5 -14.0 -13.8 -13.4 -13.5 -19.2 -16.6 4.9 -6.3 -5.3 -5.2 -6.1 -5.8 -7.4 -20.0 -20.0 -17.2 -17.0 -6.5 -20.0 -18.7 -20.0 -16.4 End of report for caleb_strategy_v3