******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241126_204445 produced at 2024-11-26 21:40:43.538783 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.81 0.0 0.00 0.00 0.00 0.00 -9.95 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.00 -0.71 0.0 0.00 0.00 0.00 0.00 -22.45 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 -0.21 0.0 999.00 -999.00 -0.14 -0.14 -36.98 999999999.0 -25 -25 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.12 0.0 0.70 -0.70 -0.05 -0.05 -4.81 29.0 -2 -2 caleb_strategy_v3 CHF False False 0.05 -0.38 -0.11 0.0 0.62 -0.62 -0.38 -0.38 -2.28 13.0 -8 -8 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.08 0.0 0.09 -0.09 -0.05 -0.05 -10.40 12.0 -7 -7 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.07 0.0 0.62 -0.62 -0.13 -0.13 -1.54 14.0 -3 -3 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.06 0.0 0.91 -0.91 -0.07 -0.07 -1.71 25.0 -2 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -2.52 12.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.06 0.0 0.58 -0.58 0.00 0.00 -2.28 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 -4.20 11.0 -5 -5 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.04 0.0 0.34 -0.34 -0.05 -0.03 -2.15 20.0 -3 -2 caleb_strategy_v3 NZD False True 0.02 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.98 21.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.07 -0.04 0.0 999.00 -999.00 -0.07 -0.07 -1.20 999999999.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 -0.08 -0.03 0.0 0.47 -0.47 -0.08 -0.08 -1.16 17.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.91 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -3.13 9.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.76 24.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.69 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.05 -1.66 7.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.02 -9.10 51.0 -5 -7 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.64 -0.64 0.00 0.00 -0.85 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 -2.88 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -1.02 3.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.02 -0.02 0.0 0.49 -0.49 -0.02 -0.02 -2.72 60.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -2.46 9.0 -2 -2 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.50 -0.50 -0.04 -0.04 -0.47 13.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.42 -0.42 0.00 -0.02 -1.13 19.0 0 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -7.09 26.0 -10 -10 caleb_strategy_v3 CRUDE_W False False 0.02 -0.05 -0.02 0.0 0.11 -0.11 -0.05 -0.05 -0.86 5.0 -2 -2 caleb_strategy_v3 BUND False True 0.05 -0.05 -0.02 0.0 0.00 -0.05 -0.05 -0.05 -0.36 10.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.16 -0.16 0.00 0.00 -0.83 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 -0.92 2.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 -0.01 0.0 0.50 -0.50 0.00 0.00 -1.18 56.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.23 999999999.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.93 5.0 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 GASOLINE False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.18 999999999.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.16 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.04 0.00 0.0 0.33 -0.33 0.04 0.06 0.11 23.0 3 4 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.34 10.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.03 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.11 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.00 0.0 0.25 -0.25 -0.08 -0.08 -0.11 6.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.24 18.0 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 1.87 3.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 0.27 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.40 -0.40 0.00 0.00 0.61 23.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 5.97 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.03 0.0 0.50 -0.50 0.01 0.01 3.84 66.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.06 0.03 0.0 0.81 -0.81 0.06 0.06 0.90 26.0 2 2 caleb_strategy_v3 SP400 False False 0.11 0.23 0.03 0.0 0.23 -0.23 0.23 0.23 0.29 2.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.03 0.0 0.49 -0.49 0.02 0.01 2.48 48.0 2 1 caleb_strategy_v3 BOBL False True 0.04 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.71 19.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.04 0.0 0.07 -0.07 0.02 0.02 1.51 3.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 14.24 59.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.04 0.0 0.40 -0.40 0.00 0.00 6.54 58.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.04 0.0 0.43 -0.43 0.03 0.03 1.71 17.0 1 1 caleb_strategy_v3 OAT False True 0.04 0.04 0.06 0.0 0.04 0.00 0.04 0.04 1.30 10.0 1 1 caleb_strategy_v3 BTP False True 0.04 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.43 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.03 0.07 0.0 0.30 -0.30 0.03 0.03 8.31 36.0 3 4 caleb_strategy_v3 DX False False 0.04 0.00 0.09 0.0 999.00 -999.00 0.00 0.00 2.46 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.09 0.0 0.35 -0.35 0.13 0.13 2.03 8.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.10 0.0 0.16 -0.16 0.08 0.10 8.46 13.0 7 8 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.06 0.0 0.87 -0.87 0.00 0.00 12.22 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.1 Shocked risk 34.6 Sum abs risk 43.7 Leverage 5.08 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2951868.85, 'annual_cash_vol_target': 737967.2125, 'daily_cash_vol_target': 46122.95078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6462 0.6607 10.5705 BITCOIN 2402.0590 92800.0000 2.5884 41.4148 BOBL 0.2351 119.3900 0.1969 3.1501 BTP 0.5006 121.3000 0.4127 6.6026 BUND 0.4560 133.9000 0.3406 5.4491 BUXL 1.1521 137.4400 0.8382 13.4116 CAC 62.9758 7186.5000 0.8763 14.0209 CAD 0.0028 0.7114 0.3975 6.3603 CANOLA 10.0380 594.0000 1.6899 27.0385 CHF 0.0057 1.1294 0.5033 8.0527 COCOA 174.1008 9181.0000 1.8963 30.3411 COFFEE 4.4184 309.2500 1.4287 22.8600 COPPER 0.0615 4.1250 1.4906 23.8498 CORN 3.7879 429.7500 0.8814 14.1025 COTTON2 0.9073 71.6800 1.2658 20.2529 CRUDE_W 1.0775 66.5600 1.6188 25.9004 DAX 151.1222 19361.0000 0.7805 12.4888 DOW 310.8319 44897.0000 0.6923 11.0772 DX 0.4221 106.7000 0.3956 6.3299 EUR 0.0056 1.0483 0.5362 8.5795 EURIBOR-ICE 0.0436 98.0200 0.0444 0.7112 EUROSTX 44.4343 4766.0000 0.9323 14.9171 FEEDCOW 1.6075 256.7250 0.6262 10.0187 GASOIL 11.4496 669.7500 1.7095 27.3524 GASOLINE 0.0371 1.9689 1.8844 30.1504 GAS_US_mini 0.1146 3.4750 3.2977 52.7629 GBP 0.0065 1.2547 0.5204 8.3267 GOLD_micro 28.4264 2653.4000 1.0713 17.1411 HEATOIL 0.0384 2.2267 1.7246 27.5943 JGB-SGX-mini 0.2210 142.8900 0.1547 2.4747 JPY 0.0000 0.0065 0.7278 11.6446 LEANHOG 1.0655 88.3500 1.2060 19.2952 LIVECOW 0.9824 187.7250 0.5233 8.3729 LUMBER-new 8.0707 617.0000 1.3081 20.9289 MILK 0.2556 18.9700 1.3476 21.5612 MXP 0.0004 0.0481 0.9005 14.4084 NASDAQ_micro 167.4271 20932.2500 0.7999 12.7976 NIKKEI 413.1625 38305.0000 1.0786 17.2578 NZD 0.0038 0.5828 0.6511 10.4178 OAT 0.4398 125.5000 0.3504 5.6069 OATIES 6.6265 370.0000 1.7909 28.6551 OJ 7.2498 485.0000 1.4948 23.9169 PALLAD 27.9214 996.5000 2.8019 44.8311 PLAT 15.4045 931.4000 1.6539 26.4626 REDWHEAT 8.4212 558.2500 1.5085 24.1361 RICE 0.1521 15.2400 0.9982 15.9708 ROBUSTA 76.5350 5098.0000 1.5013 24.0204 RUSSELL 28.0916 2431.2000 1.1555 18.4874 SHATZ 0.0815 106.9950 0.0762 1.2194 SILVER-mini 0.5253 30.9625 1.6965 27.1447 SMI 92.6029 11636.0000 0.7958 12.7333 SOFR 0.0601 96.2700 0.0624 0.9984 SOYBEAN 9.0603 1012.7500 0.8946 14.3140 SOYMEAL 3.4897 295.5000 1.1809 18.8951 SOYOIL 0.8467 42.9200 1.9726 31.5620 SP400 30.6591 3381.5000 0.9067 14.5068 SP500_micro 36.8832 6032.5000 0.6114 9.7825 SUGAR11 0.2955 20.3300 1.4537 23.2591 US10 0.4009 110.5000 0.3628 5.8052 US10U 0.5776 113.7812 0.5076 8.1224 US2 0.0952 102.8906 0.0925 1.4804 US20 0.8460 118.0000 0.7169 11.4707 US30 1.3526 125.0312 1.0818 17.3094 US5 0.2428 106.9297 0.2270 3.6327 VIX 0.5175 16.7500 3.0898 49.4369 WHEAT 7.5921 603.2500 1.2585 20.1367 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 646.20 0.66 426.92 1.00 426.92 46122.95 108.04 -4.02 -43.47 BITCOIN 92.80 2.59 240.21 1.00 240.21 46122.95 192.01 6.85 131.46 BOBL 1193.90 0.20 235.06 1.05 246.20 46122.95 187.34 3.75 70.27 BTP 1213.00 0.41 500.56 1.05 524.29 46122.95 87.97 4.76 41.91 BUND 1339.00 0.34 456.03 1.05 477.64 46122.95 96.56 -3.67 -35.46 BUXL 1374.40 0.84 1152.06 1.05 1206.67 46122.95 38.22 0.90 3.43 CAC 718.65 0.88 629.76 1.05 659.61 46122.95 69.92 -10.59 -74.02 CAD 711.40 0.40 282.80 1.00 282.80 46122.95 163.10 -11.37 -185.38 CANOLA 118.80 1.69 200.76 0.72 143.91 46122.95 320.49 -11.68 -374.20 CHF 1411.69 0.50 710.49 1.00 710.49 46122.95 64.92 -13.52 -87.78 COCOA 918.10 1.90 1741.01 1.00 1741.01 46122.95 26.49 15.92 42.16 COFFEE 1159.69 1.43 1656.90 1.00 1656.90 46122.95 27.84 8.38 23.32 COPPER 1031.25 1.49 1537.20 1.00 1537.20 46122.95 30.00 -3.70 -11.09 CORN 214.88 0.88 189.39 1.00 189.39 46122.95 243.53 -17.55 -427.51 COTTON2 358.40 1.27 453.66 1.00 453.66 46122.95 101.67 -19.27 -195.88 CRUDE_W 665.60 1.62 1077.46 1.00 1077.46 46122.95 42.81 -1.86 -7.94 DAX 193.61 0.78 151.12 1.05 158.29 46122.95 291.39 6.58 191.68 DOW 224.48 0.69 155.42 1.00 155.42 46122.95 296.77 5.57 165.25 DX 1067.00 0.40 422.13 1.00 422.13 46122.95 109.26 8.67 94.72 EUR 1310.38 0.54 702.64 1.00 702.64 46122.95 65.64 -9.03 -59.30 EURIBOR-ICE 2450.50 0.04 108.92 1.05 114.08 46122.95 404.29 8.86 358.14 EUROSTX 476.60 0.93 444.34 1.05 465.41 46122.95 99.10 -6.35 -62.91 FEEDCOW 1283.63 0.63 803.77 1.00 803.77 46122.95 57.38 10.66 61.16 GASOIL 669.75 1.71 1144.96 1.00 1144.96 46122.95 40.28 -1.71 -6.89 GASOLINE 826.94 1.88 1558.28 1.00 1558.28 46122.95 29.60 -1.43 -4.24 GAS_US_mini 86.88 3.30 286.49 1.00 286.49 46122.95 161.00 -4.07 -65.47 GBP 784.19 0.52 408.10 1.00 408.10 46122.95 113.02 -7.76 -87.74 GOLD_micro 265.34 1.07 284.26 1.00 284.26 46122.95 162.25 -2.13 -34.59 HEATOIL 935.21 1.72 1612.91 1.00 1612.91 46122.95 28.60 -8.24 -23.56 JGB-SGX-mini 142890.00 0.15 22100.26 0.01 142.73 46122.95 323.15 -6.42 -207.36 JPY 818.44 0.73 595.65 1.00 595.65 46122.95 77.43 -5.80 -44.89 LEANHOG 353.40 1.21 426.18 1.00 426.18 46122.95 108.22 12.86 139.13 LIVECOW 750.90 0.52 392.95 1.00 392.95 46122.95 117.38 4.39 51.53 LUMBER-new 169.68 1.31 221.94 1.00 221.94 46122.95 207.81 4.20 87.24 MILK 379.40 1.35 511.27 1.00 511.27 46122.95 90.21 -4.83 -43.61 MXP 240.65 0.90 216.71 1.00 216.71 46122.95 212.83 -0.87 -18.51 NASDAQ_micro 418.64 0.80 334.85 1.00 334.85 46122.95 137.74 0.35 4.87 NIKKEI 38305.00 1.08 41316.25 0.01 267.81 46122.95 172.22 4.46 76.76 NZD 582.80 0.65 379.47 1.00 379.47 46122.95 121.55 -6.28 -76.30 OAT 1255.00 0.35 439.79 1.05 460.63 46122.95 100.13 3.80 38.06 OATIES 185.00 1.79 331.32 1.00 331.32 46122.95 139.21 -2.72 -37.91 OJ 727.50 1.49 1087.47 1.00 1087.47 46122.95 42.41 16.57 70.30 PALLAD 996.50 2.80 2792.14 1.00 2792.14 46122.95 16.52 -1.89 -3.13 PLAT 465.70 1.65 770.23 1.00 770.23 46122.95 59.88 -4.05 -24.26 REDWHEAT 279.12 1.51 421.06 1.00 421.06 46122.95 109.54 -20.00 -219.08 RICE 304.80 1.00 304.24 1.00 304.24 46122.95 151.60 -7.81 -118.36 ROBUSTA 509.80 1.50 765.35 1.00 765.35 46122.95 60.26 8.72 52.58 RUSSELL 121.56 1.16 140.46 1.00 140.46 46122.95 328.38 5.49 180.25 SHATZ 1069.95 0.08 81.54 1.05 85.41 46122.95 540.02 -1.39 -74.81 SILVER-mini 774.06 1.70 1313.23 1.00 1313.23 46122.95 35.12 -1.90 -6.66 SMI 1163.60 0.80 926.03 1.12 1039.61 46122.95 44.37 -4.58 -20.33 SOFR 2406.75 0.06 150.18 1.00 150.18 46122.95 307.12 -5.33 -163.70 SOYBEAN 506.38 0.89 453.02 1.00 453.02 46122.95 101.81 -17.55 -178.63 SOYMEAL 295.50 1.18 348.97 1.00 348.97 46122.95 132.17 -20.00 -264.34 SOYOIL 257.52 1.97 507.99 1.00 507.99 46122.95 90.79 -4.06 -36.91 SP400 3381.50 0.91 3065.91 1.00 3065.91 46122.95 15.04 5.83 8.77 SP500_micro 301.62 0.61 184.42 1.00 184.42 46122.95 250.10 4.27 106.80 SUGAR11 227.70 1.45 331.00 1.00 331.00 46122.95 139.34 -0.81 -11.24 US10 1105.00 0.36 400.92 1.00 400.92 46122.95 115.04 -5.80 -66.78 US10U 1137.81 0.51 577.61 1.00 577.61 46122.95 79.85 -4.67 -37.30 US2 2057.81 0.09 190.40 1.00 190.40 46122.95 242.24 -9.72 -235.52 US20 1180.00 0.72 845.97 1.00 845.97 46122.95 54.52 -2.31 -12.61 US30 1250.31 1.08 1352.64 1.00 1352.64 46122.95 34.10 -2.55 -8.70 US5 1069.30 0.23 242.78 1.00 242.78 46122.95 189.98 -7.11 -135.04 VIX 167.50 3.09 517.54 1.00 517.54 46122.95 89.12 -16.81 -149.83 WHEAT 301.62 1.26 379.61 1.00 379.61 46122.95 121.50 -19.43 -236.10 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -43.469 0.010 2.5 -1.128 BITCOIN 131.460 0.043 2.5 14.235 BOBL 70.266 0.004 2.5 0.713 BTP 41.911 0.014 2.5 1.430 BUND -35.458 0.004 2.5 -0.360 BUXL 3.425 0.004 2.5 0.035 CAC -74.018 0.014 2.5 -2.525 CAD -185.380 0.010 2.5 -4.810 CANOLA -374.201 0.010 2.5 -9.104 CHF -87.779 0.010 2.5 -2.277 COCOA 42.163 0.009 2.5 0.903 COFFEE 23.324 0.005 2.5 0.272 COPPER -11.090 0.043 2.5 -1.201 CORN -427.513 0.010 2.5 -10.401 COTTON2 -195.879 0.009 2.5 -4.195 CRUDE_W -7.942 0.043 2.5 -0.860 DAX 191.679 0.014 2.5 6.538 DOW 165.250 0.009 2.5 3.840 DX 94.719 0.010 2.5 2.458 EUR -59.302 0.010 2.5 -1.539 EURIBOR-ICE 358.137 0.014 2.5 12.215 EUROSTX -62.913 0.014 2.5 -2.146 FEEDCOW 61.156 0.013 2.5 2.027 GASOIL -6.887 0.017 2.5 -0.299 GASOLINE -4.239 0.017 2.5 -0.184 GAS_US_mini -65.466 0.043 2.5 -7.089 GBP -87.742 0.010 2.5 -2.277 GOLD_micro -34.587 0.014 2.5 -1.180 HEATOIL -23.559 0.017 2.5 -1.021 JGB-SGX-mini -207.361 0.043 2.5 -22.454 JPY -44.892 0.010 2.5 -1.165 LEANHOG 139.129 0.024 2.5 8.455 LIVECOW 51.531 0.013 2.5 1.708 LUMBER-new 87.236 0.009 2.5 1.868 MILK -43.611 0.009 2.5 -0.934 MXP -18.511 0.059 2.5 -2.717 NASDAQ_micro 4.869 0.009 2.5 0.113 NIKKEI 76.760 0.043 2.5 8.312 NZD -76.299 0.010 2.5 -1.980 OAT 38.055 0.014 2.5 1.298 OATIES -37.906 0.010 2.5 -0.922 OJ 70.295 0.009 2.5 1.506 PALLAD -3.129 0.014 2.5 -0.107 PLAT -24.256 0.014 2.5 -0.827 REDWHEAT -219.079 0.005 2.5 -2.906 RICE -118.356 0.010 2.5 -2.879 ROBUSTA 52.578 0.005 2.5 0.614 RUSSELL 180.246 0.013 2.5 5.973 SHATZ -74.811 0.004 2.5 -0.759 SILVER-mini -6.661 0.014 2.5 -0.227 SMI -20.326 0.014 2.5 -0.693 SOFR -163.697 0.024 2.5 -9.948 SOYBEAN -178.632 0.004 2.5 -1.661 SOYMEAL -264.339 0.004 2.5 -2.458 SOYOIL -36.908 0.004 2.5 -0.344 SP400 8.771 0.013 2.5 0.291 SP500_micro 106.796 0.009 2.5 2.482 SUGAR11 -11.244 0.009 2.5 -0.239 US10 -66.781 0.005 2.5 -0.846 US10U -37.303 0.005 2.5 -0.473 US2 -235.522 0.005 2.5 -2.984 US20 -12.610 0.005 2.5 -0.160 US30 -8.700 0.005 2.5 -0.110 US5 -135.045 0.005 2.5 -1.711 VIX -149.831 0.099 2.5 -36.984 WHEAT -236.098 0.005 2.5 -3.132 ===================== Position diags ===================== AUD 2.80 BITCOIN 20.79 BOBL 1.90 BTP 3.00 BUND 0.98 BUXL 0.39 CAC 2.39 CAD 4.23 CANOLA 7.80 CHF 1.68 COCOA 0.57 COFFEE 0.33 COPPER 3.25 CORN 5.92 COTTON2 2.18 CRUDE_W 4.64 DAX 9.94 DOW 6.90 DX 2.83 EUR 1.70 EURIBOR-ICE 13.79 EUROSTX 3.38 FEEDCOW 1.90 GASOIL 1.75 GASOLINE 1.28 GAS_US_mini 17.43 GBP 2.93 GOLD_micro 5.53 HEATOIL 1.24 JGB-SGX-mini 34.99 JPY 2.01 LEANHOG 6.58 LIVECOW 3.89 LUMBER-new 4.45 MILK 1.93 MXP 31.24 NASDAQ_micro 3.20 NIKKEI 18.65 NZD 3.15 OAT 3.42 OATIES 3.39 OJ 0.91 PALLAD 0.56 PLAT 2.04 REDWHEAT 1.45 RICE 3.69 ROBUSTA 0.70 RUSSELL 10.88 SHATZ 5.48 SILVER-mini 1.20 SMI 1.51 SOFR 18.66 SOYBEAN 0.95 SOYMEAL 1.23 SOYOIL 0.85 SP400 0.50 SP500_micro 5.81 SUGAR11 2.96 US10 1.46 US10U 1.01 US2 3.07 US20 0.69 US30 0.43 US5 2.41 VIX 22.00 WHEAT 1.61 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.1 -1.4 -0.8 0.0 0 BITCOIN 14.2 12.2 16.3 0.0 0 BOBL 0.7 0.5 0.9 0.0 0 BTP 1.4 1.1 1.7 0.0 0 BUND -0.4 -0.5 -0.3 -1.0 -1 BUXL 0.0 -0.0 0.1 0.0 0 CAC -2.5 -2.8 -2.3 0.0 0 CAD -4.8 -5.2 -4.4 -2.0 -2 CANOLA -9.1 -9.9 -8.3 -5.0 -5 CHF -2.3 -2.4 -2.1 -8.0 -8 COCOA 0.9 0.8 1.0 2.0 2 COFFEE 0.3 0.2 0.3 0.0 0 COPPER -1.2 -1.5 -0.9 -2.0 -2 CORN -10.4 -11.0 -9.8 -7.0 -7 COTTON2 -4.2 -4.4 -4.0 -5.0 -5 CRUDE_W -0.9 -1.3 -0.4 -2.0 -2 DAX 6.5 5.5 7.5 0.0 0 DOW 3.8 3.2 4.5 1.0 1 DX 2.5 2.2 2.7 0.0 0 EUR -1.5 -1.7 -1.4 -3.0 -3 EURIBOR-ICE 12.2 10.8 13.6 0.0 0 EUROSTX -2.1 -2.5 -1.8 -3.0 -3 FEEDCOW 2.0 1.8 2.2 3.0 3 GASOIL -0.3 -0.5 -0.1 -1.0 -1 GASOLINE -0.2 -0.3 -0.1 0.0 0 GAS_US_mini -7.1 -8.8 -5.3 -10.0 -10 GBP -2.3 -2.6 -2.0 0.0 0 GOLD_micro -1.2 -1.7 -0.6 0.0 0 HEATOIL -1.0 -1.1 -0.9 -1.0 -1 JGB-SGX-mini -22.5 -26.0 -19.0 0.0 0 JPY -1.2 -1.4 -1.0 -3.0 -3 LEANHOG 8.5 7.8 9.1 7.0 7 LIVECOW 1.7 1.3 2.1 1.0 1 LUMBER-new 1.9 1.4 2.3 0.0 0 MILK -0.9 -1.1 -0.7 0.0 0 MXP -2.7 -5.8 0.4 -2.0 -2 NASDAQ_micro 0.1 -0.2 0.4 3.0 3 NIKKEI 8.3 6.4 10.2 3.0 3 NZD -2.0 -2.3 -1.7 0.0 0 OAT 1.3 1.0 1.6 1.0 1 OATIES -0.9 -1.3 -0.6 NaN 0 OJ 1.5 1.4 1.6 1.0 1 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT -0.8 -1.0 -0.6 0.0 0 REDWHEAT -2.9 -3.1 -2.8 -3.0 -3 RICE -2.9 -3.2 -2.5 NaN 0 ROBUSTA 0.6 0.5 0.7 0.0 0 RUSSELL 6.0 4.9 7.1 0.0 0 SHATZ -0.8 -1.3 -0.2 NaN 0 SILVER-mini -0.2 -0.3 -0.1 0.0 0 SMI -0.7 -0.8 -0.5 0.0 0 SOFR -9.9 -11.8 -8.1 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -3.0 -3 SOYMEAL -2.5 -2.6 -2.3 -2.0 -2 SOYOIL -0.3 -0.4 -0.3 0.0 0 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 2.5 1.9 3.1 2.0 2 SUGAR11 -0.2 -0.5 0.1 0.0 0 US10 -0.8 -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 -2.0 -2 US5 -1.7 -2.0 -1.5 -2.0 -2 VIX -37.0 -39.2 -34.8 -25.0 -25 WHEAT -3.1 -3.3 -3.0 -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 -0.1 -0.2 -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 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.2 0.0 0.1 -0.0 -0.2 -0.0 -0.1 BITCOIN 0.6 0.6 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.4 0.2 0.5 0.2 0.2 -0.2 -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 0.2 -0.4 0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.4 -0.0 0.3 0.1 -0.0 0.0 0.1 -0.0 0.0 0.5 -0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.1 0.3 0.3 0.2 -0.3 -0.5 0.2 -0.0 BTP -0.0 -0.3 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.2 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 0.1 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 0.6 0.2 0.4 0.6 0.6 -0.3 -0.4 0.3 0.3 BUND 0.1 -0.4 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 -0.9 0.2 0.4 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 0.2 -0.0 0.1 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 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 0.0 0.1 0.0 0.3 0.0 -0.1 -0.4 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.2 -0.6 -0.6 -0.6 0.1 0.2 -0.2 -0.1 CAD 0.0 -0.6 -0.2 -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 -0.0 0.3 -0.2 -0.1 -0.1 -0.2 -0.3 -0.2 CANOLA -0.6 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 -1.6 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 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.2 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.3 -0.3 -0.1 -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 0.1 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 0.3 0.2 -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 -0.6 -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 0.1 -0.3 -0.1 0.4 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 -0.2 -0.5 -0.1 -1.6 -0.1 -0.2 -0.3 -0.1 -0.5 -0.1 -1.1 -0.5 -0.3 -0.5 -0.4 0.3 -0.1 0.5 0.1 COTTON2 -0.2 -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 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -1.0 0.0 -0.4 -0.5 0.0 -0.6 -0.5 -0.5 -0.4 CRUDE_W 0.0 -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 -0.2 -0.2 -0.3 0.1 -0.1 0.2 -0.0 0.4 DAX -0.3 -0.1 0.1 0.0 0.0 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 0.0 0.1 0.0 0.3 -0.0 -0.3 0.3 -0.6 -0.1 0.2 0.7 0.4 0.4 0.1 DOW 0.4 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 0.2 0.2 0.2 0.4 0.2 -1.5 0.0 0.1 0.1 0.1 0.2 0.1 -0.4 0.4 0.6 0.5 0.6 0.0 0.1 -0.4 -0.3 DX 0.5 0.6 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.2 0.2 0.3 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 -2.7 0.1 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 -0.5 -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 -0.1 -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 -0.4 -0.1 -0.5 EURIBOR-ICE 0.2 -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 0.1 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 0.4 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 0.1 -0.6 -0.6 -0.4 0.2 0.1 -0.5 -0.3 FEEDCOW 0.6 0.6 0.2 -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 -0.2 0.2 -1.7 0.1 0.1 0.0 0.2 -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 0.0 -0.3 0.1 -0.3 0.0 -0.0 0.1 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 0.0 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 -0.1 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 -0.1 0.2 0.1 0.3 0.3 0.6 GAS_US_mini 0.4 0.1 0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 -0.4 0.1 -0.6 0.0 -0.0 -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 -0.2 -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 -0.1 -0.2 0.1 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.3 -0.4 -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 0.3 -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 0.2 -0.1 0.1 0.4 0.7 0.1 0.7 0.3 HEATOIL 0.1 0.1 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.3 0.0 -0.4 -0.1 -0.1 0.0 0.1 -0.0 -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 -0.1 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 JGB-SGX-mini -0.6 -0.6 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 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 -0.5 -0.2 0.0 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 0.1 -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 -0.1 -0.0 -1.1 0.2 0.2 -0.1 -0.0 -0.5 -0.7 -0.4 -0.7 LEANHOG -0.3 0.5 0.6 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.2 0.2 0.2 0.1 0.2 0.2 -0.4 0.2 -0.0 0.3 0.2 0.2 0.2 0.1 0.2 0.0 0.1 0.1 0.2 0.1 0.1 0.1 1.1 0.3 0.6 0.6 0.6 0.1 -0.2 0.3 0.0 LIVECOW -0.3 0.1 0.4 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 0.1 0.5 0.1 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 0.0 0.2 0.1 0.3 0.0 0.2 0.5 -0.3 0.5 0.3 -0.2 0.7 0.0 0.7 LUMBER-new 0.3 0.7 0.6 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.1 0.1 0.0 -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 -0.3 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 -0.0 0.2 -0.1 0.2 -0.1 -0.1 -0.0 -0.1 0.2 0.2 -0.1 0.0 -0.1 0.1 -0.2 1.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 -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 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -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 0.2 0.2 0.3 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 -0.1 0.1 0.1 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 -0.2 -0.1 -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 -0.2 -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 -0.3 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.6 -0.1 0.2 0.5 0.1 -0.1 -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 0.2 -0.3 -0.1 0.5 0.7 0.2 0.7 0.5 OJ 0.1 0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 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 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.5 0.3 0.7 0.7 PALLAD -0.6 -0.1 0.5 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -0.2 -0.1 -0.2 0.2 -0.3 -0.0 -0.1 REDWHEAT -0.4 -0.3 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 -0.2 -0.1 -0.5 -0.2 -0.6 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.9 -0.2 -0.6 -0.5 -0.3 -0.7 -0.7 -0.7 -0.7 RICE 0.2 -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 -0.0 0.0 0.1 -0.0 -1.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.4 -0.2 -0.5 -0.4 -0.5 -0.7 -0.5 -0.7 ROBUSTA 0.6 -0.4 -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 0.2 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.3 0.1 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 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.6 0.6 0.4 -0.2 -0.4 -0.7 -0.7 SHATZ 0.2 -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 0.0 0.2 0.4 0.3 -0.3 -0.5 0.1 -0.2 SILVER-mini -0.6 -0.2 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 0.0 -0.1 0.2 -0.1 -0.3 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 -0.5 -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 -0.1 -0.6 -0.6 -0.3 -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 -0.0 0.1 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.0 -0.0 -0.1 -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 -0.0 -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 -0.2 -0.6 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 0.3 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -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 0.1 0.2 0.1 -0.2 0.4 -0.0 SP400 0.5 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 0.3 0.1 0.4 0.0 0.0 0.1 0.0 0.3 0.0 0.1 0.5 0.2 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.1 0.2 0.0 0.3 0.1 -0.5 0.2 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 0.0 0.1 -0.0 0.1 -0.0 -2.7 0.0 0.0 0.1 -0.0 0.0 -0.0 1.1 0.2 -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 -0.0 -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 -0.0 -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 0.1 -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 -0.2 -0.3 -0.6 -0.2 -0.2 -0.6 0.1 -0.3 US20 0.1 -0.6 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.1 -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 0.1 -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 -0.1 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 0.1 -0.1 -0.0 -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 -0.1 -0.0 -0.0 -0.0 -0.7 -0.1 -0.2 -0.5 -0.3 -0.0 -0.5 0.4 0.2 VIX -0.9 -0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.6 -0.6 -0.4 -0.6 -0.1 -0.1 -0.1 -0.4 -0.2 NaN -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.3 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 -0.2 -0.2 -0.1 -0.5 -0.2 0.7 -0.1 -0.1 -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 -5.3 -19.9 -3.6 -4.0 -1.7 -2.0 -3.4 -0.5 -4.7 -7.4 -5.7 -10.8 -1.2 -13.5 -11.6 -0.3 -1.6 -0.5 -0.9 -11.5 -5.7 -9.1 -1.8 -12.6 2.9 -4.2 -3.1 -2.0 -3.2 -0.4 -4.5 -0.0 0.9 7.4 1.1 2.8 -0.8 -6.0 -0.0 -3.4 BITCOIN 20.0 20.0 5.7 -0.6 -6.5 0.8 -5.3 0.0 -4.2 -3.0 14.0 17.6 15.0 20.0 20.0 -7.7 -6.9 -7.0 -6.7 20.0 20.0 20.0 15.5 20.0 -20.0 7.4 0.2 4.4 6.0 3.6 8.9 -2.7 20.0 20.0 20.0 20.0 1.8 -2.3 -1.9 1.3 BOBL 4.9 -12.3 4.6 -2.4 3.4 -0.8 1.3 0.2 -1.6 10.6 2.5 8.4 -1.9 -3.2 -3.6 19.5 -2.3 13.4 4.8 -1.4 0.3 11.1 -0.0 2.5 3.8 -0.3 8.4 0.6 5.6 0.9 1.5 3.0 4.7 9.4 10.6 5.8 -10.5 -14.6 4.8 -0.1 BTP -0.2 -9.1 2.9 -3.8 5.5 -1.3 2.0 0.3 -2.5 17.0 10.8 13.4 16.1 -0.3 2.4 7.8 5.4 7.0 5.8 3.8 8.2 13.7 11.6 5.6 -20.0 3.0 11.0 5.5 8.4 7.3 3.8 11.6 7.4 12.6 20.0 19.1 -10.2 -12.8 10.1 10.2 BUND 4.5 -13.1 0.6 -2.8 4.1 -1.0 1.5 0.3 -1.9 12.7 1.5 9.4 0.4 -5.1 -6.4 -20.0 -8.4 -19.0 -13.9 -3.0 -1.0 14.0 -0.1 2.5 1.0 -1.0 11.4 0.1 7.3 1.0 1.7 -16.2 7.7 12.5 13.3 3.8 -20.0 -19.5 0.7 -1.1 BUXL 9.7 -5.6 0.7 -3.2 4.6 -1.1 1.7 0.3 -2.1 14.2 1.3 14.8 0.2 1.1 -2.6 0.3 -1.3 0.0 -0.7 0.5 -0.6 17.3 -1.7 7.5 -2.5 0.9 15.5 0.5 10.9 0.9 4.9 0.5 8.9 20.0 20.0 4.6 -20.0 -20.0 -8.2 -7.8 CAC -11.4 -9.6 -7.6 3.2 4.3 4.9 3.5 7.4 2.7 -12.0 -13.2 -15.4 -3.7 -16.5 -12.8 -5.4 -3.5 -5.4 -4.7 -14.8 -11.6 -13.4 -5.7 -16.5 -6.1 -5.8 -4.2 -4.2 -5.4 -1.4 -6.6 4.1 -7.9 -20.0 -20.0 -17.9 4.1 6.5 -5.2 -2.8 CAD 0.9 -19.6 -4.9 -5.9 -2.6 -2.9 -5.0 -0.7 -6.9 -7.6 -16.5 -11.0 -17.5 -18.8 -19.4 -6.1 -4.4 -5.7 -5.1 -20.0 -16.2 -13.0 -11.3 -19.4 0.5 -7.0 -4.9 -5.0 -4.2 -3.2 -6.3 -5.9 -2.0 7.9 -6.4 -4.5 -4.3 -7.5 -7.8 -6.5 CANOLA -19.1 7.9 10.2 -0.7 1.4 -1.7 -0.2 -2.6 -0.7 -7.1 -0.4 -7.2 -5.3 -4.0 1.3 -15.0 -12.5 -15.0 -14.3 -1.5 -0.9 -13.3 -3.5 -6.9 -12.1 0.5 -4.9 0.5 -4.1 -1.1 -1.7 -20.0 -20.0 -9.5 5.0 6.6 -7.8 -12.1 -0.8 -6.5 CHF -16.1 -20.0 -3.9 -3.5 -1.5 -1.7 -2.9 -0.4 -4.0 -0.3 -3.3 -9.1 -4.2 -11.8 -10.0 -15.0 -16.1 -15.3 -15.5 -14.5 -6.5 -11.8 -2.0 -17.0 3.8 -3.9 -1.3 -1.6 -3.2 -0.2 -4.6 -20.0 -0.8 -9.9 -8.2 -2.5 -10.5 -10.8 -19.0 -13.3 COCOA 20.0 19.8 5.8 -0.9 1.7 -2.0 -0.2 -3.1 -0.8 8.3 4.5 9.3 6.0 9.4 8.9 7.2 20.0 20.0 20.0 19.0 13.6 20.0 14.5 20.0 -20.0 3.2 3.2 2.7 4.1 3.7 4.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 20.0 8.6 5.0 -2.1 3.9 -4.7 -0.4 -7.3 -1.9 19.9 18.8 20.0 19.7 19.4 17.1 2.1 4.7 2.3 3.3 20.0 20.0 20.0 20.0 20.0 -20.0 6.6 11.4 4.8 12.8 5.0 10.4 5.0 20.0 20.0 20.0 20.0 -10.8 -7.8 -2.3 0.6 COPPER -17.8 -12.7 -4.2 -0.2 -2.5 0.3 -2.1 0.0 -1.6 -4.4 -4.8 -7.6 -1.0 -7.9 -3.7 -4.5 -3.4 -4.1 -3.5 -5.4 -2.0 -6.8 0.8 -8.0 -10.6 -1.4 -1.5 0.2 -2.4 1.2 -2.7 3.2 -3.7 1.7 -8.1 -2.0 13.1 11.7 9.4 20.0 CORN -0.5 0.8 -2.6 -2.3 4.3 -5.1 -0.5 -7.9 -2.1 -20.0 -19.0 -20.0 -20.0 -18.8 -6.2 -7.6 -13.7 -10.8 -13.4 -12.2 -20.0 -20.0 -20.0 -13.6 -11.7 -7.4 -17.0 -10.2 -12.5 -14.4 -8.5 -20.0 -20.0 -9.8 -16.9 -11.0 10.4 -1.9 16.4 2.4 COTTON2 -7.4 -4.4 6.5 -1.9 3.5 -4.2 -0.4 -6.5 -1.7 15.5 -16.7 -1.5 -17.4 -10.5 -7.5 -14.7 -7.5 -14.1 -11.4 -9.0 -11.2 0.6 -16.5 -8.6 -20.0 -4.6 6.7 -4.0 0.2 -3.6 -4.6 -18.1 0.8 -11.5 -16.2 0.6 -18.0 -15.8 -13.7 -11.2 CRUDE_W 0.6 -0.7 -10.4 -0.7 -0.5 -3.1 1.6 -2.8 1.1 -0.4 -9.2 -1.8 -5.0 -7.9 -5.9 4.1 10.0 5.8 8.0 -5.5 -7.8 -1.8 -4.9 -2.8 -1.3 -2.7 -3.8 -4.2 -1.4 -3.1 -1.7 8.2 -6.9 -6.4 -8.3 2.2 -2.1 7.2 -0.9 12.0 DAX -10.6 -2.9 3.1 3.1 4.2 4.8 3.4 7.2 2.6 9.1 11.6 1.1 14.9 -4.7 10.9 -8.0 -9.7 -8.3 -8.8 3.6 7.9 3.4 11.4 0.2 7.5 1.6 4.7 4.6 1.9 7.9 -0.2 -5.0 12.0 -17.7 -3.8 4.7 20.0 11.2 11.3 3.2 DOW 13.4 0.3 8.7 2.5 3.3 3.8 2.7 5.6 2.1 11.9 12.0 11.6 13.1 10.3 12.0 -9.7 -10.6 -9.9 -10.1 14.8 14.1 18.9 13.7 15.9 -11.3 4.6 5.9 4.7 5.3 4.9 4.7 -6.7 17.4 20.0 16.3 20.0 1.3 2.8 -13.5 -8.6 DX 15.2 20.0 8.6 -3.9 -1.7 -1.9 -3.3 -0.4 -4.5 13.1 8.4 14.5 7.6 15.1 13.9 5.9 6.6 6.1 6.2 20.0 11.6 19.5 4.6 20.0 -20.0 4.6 2.2 2.4 3.8 0.9 5.2 13.3 20.0 20.0 20.0 16.3 -2.3 5.3 -2.2 7.7 EUR -15.0 -20.0 -9.3 -3.4 -1.5 -1.7 -2.8 -0.4 -3.9 -5.0 -7.8 -10.8 -5.5 -12.0 -11.6 -6.2 -7.0 -6.6 -6.7 -16.1 -8.8 -16.1 -3.6 -19.3 14.1 -4.1 -2.1 -2.1 -3.9 -0.6 -4.8 -9.6 -7.2 -10.5 -11.8 -6.6 -0.3 -13.3 -2.5 -16.1 EURIBOR-ICE 5.1 -6.3 9.6 -1.9 2.8 -0.6 1.0 0.2 -1.3 7.9 6.6 8.4 6.3 2.6 3.6 5.9 0.1 4.8 2.7 4.2 6.3 7.4 6.4 4.7 10.8 2.2 4.5 3.3 3.8 3.4 2.3 4.5 -1.5 9.3 14.5 13.1 -4.6 -15.3 10.5 6.1 EUROSTX -11.8 -10.0 -7.7 2.9 3.9 4.5 3.2 6.7 2.5 -3.5 -1.8 -10.2 8.9 -12.6 -3.4 -3.8 -3.3 -4.0 -4.0 -8.4 -3.6 -6.3 3.3 -10.1 -2.5 -4.3 -1.3 -1.6 -3.1 2.5 -5.0 4.7 2.9 -20.0 -19.7 -11.5 4.6 3.6 -15.2 -9.3 FEEDCOW 19.6 20.0 5.1 -2.3 4.2 -5.0 -0.5 -7.9 -2.1 20.0 0.9 20.0 -11.3 20.0 15.3 10.7 -4.1 13.7 8.4 20.0 3.4 20.0 -9.1 20.0 -12.5 5.7 14.1 0.8 13.9 -1.7 10.3 1.5 20.0 20.0 20.0 1.9 16.2 20.0 20.0 20.0 GASOIL 7.9 5.8 -10.8 -0.6 -0.4 -2.8 1.4 -2.6 1.0 3.9 -11.5 6.6 -7.2 2.5 -4.5 2.7 6.6 2.0 2.7 -2.4 -8.3 3.8 -7.0 3.0 4.1 -1.5 -1.5 -4.9 2.1 -4.5 1.6 0.1 -0.3 5.6 -1.9 -8.1 0.6 -7.3 3.0 -11.7 GASOLINE 0.6 0.6 -8.1 -0.6 -0.4 -2.6 1.4 -2.4 1.0 -3.4 -7.8 -1.5 -2.6 -6.3 -2.1 -3.0 20.0 6.5 16.0 -2.6 -4.3 -1.9 -2.2 -1.2 -20.0 -0.2 -4.1 -0.9 -1.2 -0.1 -0.4 20.0 -4.9 -4.4 -2.0 5.7 3.0 9.7 7.8 17.3 GAS_US_mini 13.6 2.3 14.3 -0.6 -0.5 -2.9 1.5 -2.7 1.1 11.9 -14.0 12.1 -17.4 1.8 -3.6 -20.0 -20.0 -20.0 -20.0 -1.0 -6.9 16.2 -13.8 8.1 20.0 -0.8 8.4 -3.5 8.6 -5.6 4.1 -20.0 18.9 5.4 -18.5 2.9 -13.6 -19.1 -10.4 -16.0 GBP -18.9 -20.0 -4.9 -4.8 -2.1 -2.4 -4.1 -0.6 -5.6 -13.4 -0.7 -16.9 6.4 -18.0 -13.8 0.5 -0.2 0.4 0.2 -17.7 -4.7 -20.0 3.8 -20.0 -1.4 -5.0 -4.6 -0.9 -6.8 1.8 -7.3 2.2 -14.1 -13.2 -7.1 3.2 5.4 -15.6 17.2 -15.1 GOLD_micro -20.0 -20.0 -2.9 -0.3 -2.9 0.4 -2.4 0.0 -1.9 -0.7 6.7 -3.5 9.5 -3.5 3.6 -10.2 -13.1 -12.0 -12.4 1.7 7.4 -2.2 10.0 -2.9 -8.9 0.9 -1.0 3.0 -0.9 4.0 -1.1 -12.8 6.6 -4.5 3.0 11.9 20.0 2.4 20.0 7.7 HEATOIL 3.2 3.4 -8.3 -0.6 -0.4 -2.7 1.4 -2.5 1.0 2.4 -11.5 2.0 -10.0 -5.9 -5.7 0.3 2.5 -2.3 -2.2 -3.2 -8.2 0.5 -8.2 0.3 -19.5 -0.5 -1.6 -3.1 0.4 -3.5 0.5 -7.9 -3.2 0.2 -0.3 -0.0 -0.3 3.0 2.5 4.4 JGB-SGX-mini -17.6 -18.6 1.7 -2.2 3.0 -0.7 0.5 0.2 -1.8 -4.8 1.1 -8.5 1.9 -9.4 -3.7 20.0 16.8 17.2 16.1 -7.6 -1.8 -9.8 0.7 -11.8 -11.0 -2.6 -1.1 -0.8 -3.3 -0.3 -4.0 20.0 -20.0 -7.5 1.3 4.7 -20.0 -13.1 -20.0 -8.9 JPY -3.1 -20.0 -0.9 -2.3 -1.0 -1.2 -2.0 -0.3 -2.7 7.1 -3.3 -1.9 -4.7 -7.2 -7.0 -10.5 -13.6 -10.9 -11.9 -9.0 -5.9 -1.1 -5.4 -7.2 20.0 -2.4 1.4 -1.4 -0.2 -1.4 -2.0 -19.8 9.1 5.4 -3.8 -0.3 -14.2 -20.0 -11.1 -20.0 LEANHOG -10.4 15.9 20.0 -2.4 4.5 -5.4 -0.5 -8.4 -2.2 20.0 8.8 14.6 3.3 20.0 20.0 -20.0 10.6 -2.3 14.9 20.0 19.6 20.0 3.6 20.0 0.1 7.9 13.6 6.2 7.5 2.0 6.3 20.0 14.4 20.0 20.0 20.0 4.3 -5.2 9.1 0.9 LIVECOW -9.2 1.6 11.2 -2.5 4.7 -5.6 -0.5 -8.7 -2.3 15.9 20.0 8.4 17.5 0.8 18.1 -13.4 4.4 -5.8 0.8 12.9 18.5 10.0 18.9 7.5 -20.0 4.3 4.9 6.1 5.3 7.8 3.2 3.8 20.0 -9.3 16.5 8.7 -6.4 20.0 1.0 20.0 LUMBER-new 8.1 20.0 15.8 -1.8 3.4 -4.1 -0.4 -6.1 -1.7 -8.9 3.6 3.8 -5.3 12.2 16.0 -20.0 -18.7 -19.7 -19.0 19.2 10.0 1.1 -2.2 15.2 NaN 6.0 -1.7 3.4 0.6 -0.0 4.7 -20.0 -9.5 20.0 20.0 20.0 10.3 3.3 18.4 9.9 MILK -18.3 -20.0 1.7 -1.3 2.5 -2.9 -0.3 -4.6 -1.2 -5.4 5.6 -9.3 6.7 -12.4 -7.8 -0.1 -2.6 10.8 8.1 -12.3 0.1 -12.5 5.5 -16.9 14.1 -3.6 -1.4 -0.4 -3.5 0.9 -4.7 2.2 -9.4 -20.0 -20.0 2.9 -7.1 -20.0 -1.4 -20.0 MXP 1.7 -1.8 -14.3 -3.5 -1.5 -1.7 -3.0 -0.4 -4.1 -7.8 -12.6 -7.4 -10.3 -9.5 -11.3 11.8 13.3 11.6 11.8 -10.3 -12.9 -7.2 -10.0 -7.8 -20.0 -4.7 -5.5 -5.8 -3.5 -4.3 -3.7 20.0 8.4 6.5 13.3 -11.6 18.2 20.0 20.0 20.0 NASDAQ_micro 6.5 6.8 8.2 2.6 3.4 3.9 2.7 5.8 2.1 3.0 10.4 5.8 11.7 6.7 11.4 -9.8 -9.7 -9.3 -9.2 11.0 12.2 4.4 15.1 7.9 -20.0 4.1 1.7 5.2 1.4 7.2 2.6 -5.3 -7.1 1.6 9.0 9.7 8.3 3.9 -5.7 -6.2 NIKKEI -1.9 3.0 4.4 2.3 3.0 3.4 2.4 5.2 1.9 -6.8 4.9 -6.7 5.9 -2.5 8.4 0.9 6.4 2.1 4.0 1.5 2.9 -3.7 6.4 -1.6 -8.4 -0.8 -1.7 -1.0 -1.8 2.0 -1.1 20.0 -9.5 -5.9 -1.6 -14.9 20.0 10.1 20.0 12.3 NZD -8.3 -20.0 -4.6 -3.7 -1.6 -1.8 -3.1 -0.4 -4.3 -11.9 -7.6 -12.6 -2.9 -13.9 -11.5 -1.2 -0.3 -0.8 -0.5 -14.0 -7.6 -12.7 -3.1 -15.7 1.4 -4.2 -3.2 -2.2 -4.0 -0.7 -4.8 1.5 -5.5 0.9 -4.3 2.4 -2.3 -6.2 -2.0 -1.1 OAT 0.9 -10.2 0.8 -2.8 4.0 -0.9 1.5 0.3 -1.8 10.6 -0.7 7.0 -2.2 -6.2 -6.9 8.8 5.5 7.6 6.0 -4.4 -3.0 5.1 -2.4 -1.2 3.9 -2.0 5.2 -0.9 3.4 -0.0 -0.2 11.9 -3.2 6.3 14.2 3.6 -4.2 -14.9 14.2 5.3 OATIES -20.0 -5.1 20.0 -1.2 2.3 -2.7 -0.3 -4.2 -1.1 2.0 1.3 -5.7 -7.3 -5.3 6.2 -12.2 0.6 -4.0 -0.5 1.7 3.8 -2.3 -0.4 -3.2 -20.0 0.1 0.4 1.3 -1.5 0.2 -2.0 -1.5 8.6 -8.2 -3.3 15.0 20.0 4.9 20.0 14.2 OJ 3.0 3.2 6.7 -2.0 3.7 -4.4 -0.4 -6.9 -1.8 18.3 19.2 17.8 20.0 15.1 17.0 20.0 14.0 18.1 14.9 17.9 20.0 20.0 20.0 20.0 -20.0 6.0 13.3 7.4 12.5 12.2 8.3 20.0 20.0 20.0 19.8 20.0 14.9 10.0 20.0 20.0 PALLAD -20.0 -3.2 16.8 -0.2 -2.4 0.3 -1.9 0.0 -1.5 0.4 0.7 -4.6 -2.9 -5.0 -0.6 -2.2 -2.1 -2.2 -2.1 -1.3 0.7 -3.4 -1.6 -4.0 13.1 0.2 -1.2 0.8 -1.1 -0.2 -1.1 5.5 5.4 -3.9 2.2 2.5 -12.6 -20.0 -20.0 -20.0 PLAT -16.9 -2.7 0.6 -0.4 -3.8 0.5 -3.1 0.0 -2.4 -9.8 -5.4 -10.8 -2.7 -9.7 -3.6 -4.0 -4.4 -4.2 -4.4 -4.7 -1.3 -11.0 -0.4 -9.0 5.2 -2.0 -7.1 -0.6 -5.3 -0.3 -4.2 1.5 -5.6 -5.6 -3.6 -7.3 7.2 -8.4 -0.3 -1.8 REDWHEAT -11.1 -8.2 5.0 -2.0 3.8 -4.6 -0.4 -7.1 -1.9 -1.8 -17.6 -8.6 -18.9 -15.6 -11.3 -9.4 -7.7 -10.1 -9.6 -14.6 -14.2 -11.6 -19.9 -15.7 -4.2 -6.2 -4.1 -5.5 -5.0 -6.5 -6.6 -17.1 -7.1 -19.2 -14.3 -8.6 -20.0 -20.0 -20.0 -20.0 RICE 5.0 -8.7 -9.1 -1.8 3.4 -4.1 -0.4 -6.4 -1.7 7.9 2.9 11.2 8.0 -1.1 -5.9 -10.8 17.9 -7.0 6.5 -5.8 -4.5 4.0 2.1 -0.7 -13.8 -3.7 1.7 -3.0 1.8 -0.4 -1.0 20.0 14.7 -5.8 -14.6 -10.9 -15.4 -20.0 -15.8 -20.0 ROBUSTA 20.0 -13.4 -3.7 -1.2 2.2 -2.7 -0.3 -4.1 -1.1 11.3 8.1 12.1 10.7 3.5 4.5 6.5 20.0 16.1 20.0 9.5 14.2 20.0 20.0 16.4 -20.0 2.7 9.0 4.1 7.8 7.6 4.7 20.0 20.0 20.0 -4.7 20.0 4.4 0.9 9.2 7.5 RUSSELL 15.7 7.6 6.8 2.3 3.1 3.5 2.5 5.3 1.9 8.2 9.1 8.7 10.5 7.6 9.2 -6.2 -6.4 -6.2 -6.2 12.0 9.8 14.8 8.0 13.6 0.4 4.2 4.2 3.9 4.3 3.6 4.3 0.3 7.8 20.0 17.1 12.9 -6.0 -13.1 -20.0 -20.0 SHATZ 4.7 -7.8 14.7 -1.9 2.7 -0.6 1.0 0.2 -1.2 8.1 4.7 7.2 0.1 -0.2 0.8 -20.0 -20.0 -20.0 -20.0 2.2 3.6 7.9 1.1 3.5 5.9 1.2 5.2 2.1 4.1 1.3 1.8 -20.0 0.8 7.6 11.2 10.2 -8.2 -14.8 1.5 -5.4 SILVER-mini -20.0 -4.7 2.2 -0.3 -3.3 0.4 -2.7 0.0 -2.1 -6.7 3.9 -10.0 7.0 -9.5 1.4 -5.8 -6.4 -6.0 -6.0 -1.1 4.4 -7.3 7.0 -6.7 -2.0 0.2 -2.3 2.1 -2.7 2.9 -2.2 -1.5 -0.7 -4.7 2.2 3.1 6.9 -1.7 -2.1 7.9 SMI -16.1 -15.1 -13.8 2.3 3.0 3.5 2.4 5.2 1.9 -1.8 1.3 -8.0 8.0 -10.1 -7.1 0.6 0.3 0.2 -0.2 -9.3 -2.8 -7.3 3.8 -11.5 7.2 -3.1 -0.7 0.0 -2.6 3.0 -4.2 11.0 -4.2 -20.0 -17.7 -8.4 -6.4 1.6 -20.0 -8.4 SOFR -3.1 -20.0 -10.7 -2.9 4.1 -1.0 1.5 0.3 -1.9 7.7 -1.6 -2.4 3.1 -12.4 -12.4 -0.5 0.1 0.6 0.5 -16.5 -8.0 -0.1 -0.9 -12.5 -5.8 -4.1 2.2 -2.3 0.1 -0.2 -3.0 2.8 -3.5 -5.5 -16.2 -12.5 0.6 -8.9 17.6 15.2 SOYBEAN -0.8 -6.5 -9.3 -1.7 3.2 -3.7 -0.4 -5.8 -1.5 -8.2 -15.5 -14.0 -15.8 -15.8 -13.0 -0.9 0.5 -2.1 -2.4 -15.3 -20.0 -12.0 -20.0 -13.6 -20.0 -6.0 -2.6 -7.5 -5.0 -8.3 -5.5 -4.4 -20.0 -5.8 -20.0 -18.3 2.0 -7.8 7.6 -2.7 SOYMEAL -8.0 -18.6 -7.0 -1.8 3.4 -4.0 -0.4 -6.3 -1.7 -0.3 -17.4 -11.3 -17.6 -18.2 -17.6 -9.4 0.4 -6.1 -3.4 -20.0 -20.0 -7.7 -20.0 -17.6 -20.0 -6.3 -0.1 -5.5 -2.5 -4.6 -5.6 -4.8 -7.0 -18.4 -20.0 -15.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -6.8 10.4 17.1 -0.8 1.4 -1.7 -0.2 -2.7 -0.7 -4.4 -0.3 -6.0 -5.7 -3.2 1.4 -2.6 0.4 -1.2 -0.5 1.3 0.5 -9.1 -2.9 -3.2 -15.4 0.9 -2.7 0.6 -3.1 -0.7 -0.8 -2.4 -20.0 1.3 4.6 5.3 3.3 -6.1 12.4 -0.5 SP400 15.0 7.1 6.7 2.7 3.6 4.1 2.9 6.1 2.2 10.4 11.5 11.2 13.4 10.0 12.1 -7.0 -6.5 -7.1 -6.8 15.1 12.1 20.0 10.7 18.3 -10.1 4.9 6.6 4.5 6.2 4.4 5.4 -0.3 19.7 20.0 20.0 17.9 -0.8 -6.7 -16.9 -20.0 SP500_micro 9.2 3.9 11.5 3.2 4.3 4.9 3.5 7.4 2.7 14.5 17.0 14.1 17.8 13.1 16.7 -11.5 -11.7 -11.2 -11.3 18.8 20.0 14.5 20.0 15.8 -20.0 5.9 5.6 7.3 4.6 9.3 4.8 -8.8 6.4 10.2 15.4 19.9 5.8 3.8 -12.2 -8.8 SUGAR11 -11.2 -3.4 20.0 -1.7 3.1 -3.7 -0.4 -5.7 -1.5 0.3 7.5 -6.6 -5.5 -8.8 8.0 20.0 20.0 20.0 20.0 4.5 7.2 -2.7 2.1 -2.2 -20.0 1.9 1.3 2.9 -1.0 0.6 -0.9 20.0 7.5 -2.4 -6.5 20.0 -20.0 3.1 -20.0 7.1 US10 -0.5 -20.0 -8.9 -2.0 2.9 -0.7 1.1 0.2 -1.4 6.2 -2.8 0.3 0.1 -8.6 -8.8 -3.3 -6.5 -4.6 -5.5 -11.1 -6.2 1.4 -2.4 -7.7 1.5 -2.9 2.0 -1.7 0.4 -0.4 -1.9 -8.1 -0.7 -2.1 -11.1 -8.6 -3.4 -20.0 11.0 8.8 US10U 1.3 -20.0 -7.2 -2.7 3.9 -0.9 1.4 0.2 -1.8 6.6 -3.9 1.0 -0.1 -11.0 -11.4 -4.0 -3.6 -4.3 -4.2 -12.4 -7.1 2.1 -3.2 -8.4 -1.4 -3.8 2.8 -2.3 0.6 -0.6 -2.4 -4.4 -1.9 -0.8 -11.4 -10.8 -1.4 -14.2 20.0 16.8 US2 -12.2 -20.0 -5.7 -2.2 3.2 -0.8 1.2 0.2 -1.5 6.6 -3.4 -6.7 -2.1 -10.7 -10.1 -16.2 -20.0 -20.0 -20.0 -16.7 -8.4 -6.1 -4.5 -15.4 15.5 -3.2 0.5 -1.4 -1.1 -0.3 -3.0 -20.0 -8.6 -10.7 -17.1 -5.1 -5.7 -17.2 2.9 -7.8 US20 2.1 -20.0 -8.2 -1.9 2.7 -0.6 1.0 0.2 -1.3 5.4 -2.8 0.8 1.6 -7.7 -8.1 -1.2 -1.3 -1.6 -1.5 -8.1 -4.7 1.5 -1.9 -5.3 -2.8 -2.7 2.0 -1.6 0.4 -0.3 -1.7 0.3 -3.7 1.8 -6.1 -7.6 0.7 -8.7 20.0 18.8 US30 2.3 -20.0 -5.9 -2.0 2.9 -0.7 1.1 0.2 -1.3 4.9 -3.9 -0.3 0.0 -7.8 -8.5 -0.7 -4.1 -2.1 -3.2 -7.3 -4.6 1.6 -2.5 -4.7 -1.9 -2.8 2.5 -1.8 0.6 -0.5 -1.7 -4.1 -5.3 3.0 -3.0 -7.0 0.1 -7.8 20.0 18.4 US5 -4.8 -20.0 -9.0 -2.4 3.4 -0.8 1.3 0.2 -1.6 6.8 -3.5 -3.4 -1.6 -10.8 -10.7 -6.1 -9.7 -7.6 -8.7 -15.5 -8.4 -1.4 -3.4 -12.2 6.3 -3.4 1.6 -1.9 -0.2 -0.4 -2.6 -13.6 -3.7 -5.9 -15.7 -9.6 -1.3 -16.4 11.9 5.2 VIX -17.1 -9.1 -2.4 -2.8 -4.0 -0.9 -4.0 -2.6 -4.4 -12.3 -11.4 -14.2 -12.2 -13.9 -14.4 -17.4 -20.0 -13.6 -17.5 -8.2 -4.4 -9.7 -8.5 -11.4 NaN -3.3 -4.6 -1.2 -4.6 -3.1 -5.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -11.8 -8.4 4.2 -2.1 4.0 -4.7 -0.5 -7.4 -2.0 -4.6 -16.0 -10.4 -17.1 -16.4 -7.4 -13.8 -14.4 -13.6 -14.1 -14.7 -14.0 -15.1 -19.7 -17.6 5.0 -6.4 -5.8 -5.4 -6.6 -5.8 -7.6 -20.0 -18.9 -20.0 -19.5 -7.6 -20.0 -18.9 -20.0 -16.5 End of report for caleb_strategy_v3