******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241127_204452 produced at 2024-11-27 21:41:07.733880 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 JGB-SGX-mini False True 0.03 0.00 -0.78 0.0 0.00 0.00 0.00 0.00 -24.54 16.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.67 0.0 0.00 0.00 0.00 0.00 -8.23 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.14 -0.22 0.0 999.00 -999.00 -0.14 -0.14 -38.48 999999999.0 -25 -25 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -2.95 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.13 0.0 0.70 -0.70 -0.05 -0.05 -5.30 29.0 -2 -2 caleb_strategy_v3 CHF False False 0.05 -0.38 -0.10 0.0 0.62 -0.62 -0.38 -0.38 -2.18 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 -11.01 12.0 -7 -7 caleb_strategy_v3 CAC True False 0.03 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -2.73 12.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.06 0.0 0.90 -0.90 -0.07 -0.11 -1.57 25.0 -2 -3 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.06 0.0 0.62 -0.62 -0.13 -0.13 -1.42 14.0 -3 -3 caleb_strategy_v3 GBP False False 0.03 0.00 -0.05 0.0 0.59 -0.59 0.00 0.00 -1.88 22.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.02 -0.05 0.0 0.49 -0.49 -0.02 -0.02 -5.53 60.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -4.19 11.0 -5 -5 caleb_strategy_v3 EUROSTX False False 0.02 -0.03 -0.04 0.0 0.34 -0.34 -0.03 -0.03 -2.34 20.0 -2 -2 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.04 0.0 999.00 -999.00 -0.07 -0.07 -1.27 999999999.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.05 24.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.04 0.0 0.09 -0.09 -0.03 -0.03 -1.14 3.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -2.85 8.0 -3 -3 caleb_strategy_v3 NZD False True 0.02 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.64 21.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -2.67 4.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.72 9.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.08 -0.03 0.0 0.48 -0.48 -0.08 -0.06 -0.93 17.0 -3 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.05 -1.68 7.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.64 -0.64 0.00 0.00 -0.77 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.42 -0.42 -0.02 -0.02 -1.19 19.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -3.25 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.14 -0.14 -0.02 -0.02 -9.84 51.0 -7 -7 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -2.39 9.0 -2 -2 caleb_strategy_v3 CRUDE_W False False 0.02 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -0.92 5.0 -2 -2 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.50 -0.50 -0.04 -0.04 -0.42 13.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -7.75 26.0 -10 -10 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -1.05 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 -0.41 4.0 -1 -1 caleb_strategy_v3 BUND False True 0.05 -0.05 -0.01 0.0 0.00 -0.05 -0.05 -0.05 -0.30 10.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 -0.01 0.0 0.50 -0.50 0.00 -0.02 -1.24 56.0 0 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.33 2.0 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 -0.30 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.16 -0.16 0.00 0.00 -0.91 10.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.13 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.26 999999999.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.09 -0.00 0.0 0.26 -0.26 -0.09 -0.09 -0.10 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 -0.30 18.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.08 -0.08 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.06 0.00 0.0 0.32 -0.32 0.06 0.06 0.02 23.0 4 4 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.07 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 -0.12 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.25 -0.25 0.00 0.00 0.24 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.43 -0.43 0.00 0.00 0.46 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 1.64 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.03 0.0 0.28 -0.28 0.00 0.00 6.95 68.0 0 0 caleb_strategy_v3 BOBL False True 0.04 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.82 19.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.03 0.0 0.50 -0.50 0.01 0.02 4.15 66.0 1 2 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.01 2.59 48.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.06 0.03 0.0 0.80 -0.80 0.06 0.06 0.92 26.0 2 2 caleb_strategy_v3 SP400 False False 0.11 0.23 0.04 0.0 0.23 -0.23 0.23 0.23 0.31 2.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.04 0.0 0.07 -0.07 0.02 0.02 1.58 3.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.05 0.0 0.40 -0.40 0.00 0.00 6.84 58.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 14.28 59.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.03 0.05 0.0 0.30 -0.30 0.03 0.03 6.23 36.0 4 4 caleb_strategy_v3 OAT False False 0.04 0.04 0.06 0.0 0.44 -0.44 0.04 0.04 1.38 10.0 1 1 caleb_strategy_v3 DX False False 0.04 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.80 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.06 0.0 0.43 -0.43 0.03 0.03 2.23 17.0 1 1 caleb_strategy_v3 BTP False True 0.04 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.69 10.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.10 0.0 0.15 -0.15 0.09 0.09 8.73 13.0 8 8 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.10 0.0 0.35 -0.35 0.13 0.13 2.19 8.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.09 0.0 0.87 -0.87 0.00 0.00 12.52 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.2 Shocked risk 35.4 Sum abs risk 44.8 Leverage 5.07 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2964220.78, 'annual_cash_vol_target': 741055.195, 'daily_cash_vol_target': 46315.9496875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6496 0.6452 10.3237 BITCOIN 2463.6623 97800.0000 2.5191 40.3053 BOBL 0.2339 119.4200 0.1959 3.1336 BTP 0.5020 121.8000 0.4121 6.5938 BUND 0.4548 134.0600 0.3393 5.4281 BUXL 1.1686 138.5800 0.8433 13.4928 CAC 61.4423 7160.0000 0.8581 13.7301 CAD 0.0028 0.7131 0.3897 6.2355 CANOLA 10.0375 579.5000 1.7321 27.7136 CHF 0.0057 1.1364 0.5047 8.0750 COCOA 174.0265 9134.0000 1.9053 30.4842 COFFEE 5.0195 326.0000 1.5397 24.6354 COPPER 0.0603 4.1500 1.4530 23.2483 CORN 3.7375 429.0000 0.8712 13.9396 COTTON2 0.8937 71.6500 1.2472 19.9560 CRUDE_W 1.0597 66.4500 1.5947 25.5151 DAX 148.4303 19318.0000 0.7684 12.2936 DOW 306.5924 44845.0000 0.6837 10.9387 DX 0.4635 105.6100 0.4388 7.0215 EUR 0.0058 1.0570 0.5449 8.7176 EURIBOR-ICE 0.0431 98.0150 0.0440 0.7037 EUROSTX 43.5003 4749.0000 0.9160 14.6558 FEEDCOW 1.5768 257.6500 0.6120 9.7918 GASOIL 11.2495 662.7500 1.6974 27.1583 GASOLINE 0.0365 1.9578 1.8657 29.8509 GAS_US_mini 0.1249 3.2100 3.8896 62.2329 GBP 0.0069 1.2672 0.5406 8.6491 GOLD_micro 27.7983 2660.3000 1.0449 16.7189 HEATOIL 0.0382 2.1993 1.7354 27.7667 JGB-SGX-mini 0.2171 142.8100 0.1520 2.4321 JPY 0.0001 0.0066 0.7537 12.0589 LEANHOG 1.0575 87.8750 1.2034 19.2548 LIVECOW 0.9821 188.7250 0.5204 8.3264 LUMBER-new 7.9472 612.0000 1.2986 20.7770 MILK 0.2557 18.6400 1.3719 21.9503 MXP 0.0004 0.0483 0.8735 13.9764 NASDAQ_micro 168.6198 20804.2500 0.8105 12.9681 NIKKEI 413.8917 37750.0000 1.0964 17.5424 NZD 0.0040 0.5898 0.6745 10.7915 OAT 0.4340 125.5600 0.3456 5.5299 OATIES 6.9098 356.7500 1.9369 30.9899 OJ 7.1534 486.0000 1.4719 23.5504 PALLAD 27.3418 985.0000 2.7758 44.4130 PLAT 15.1256 932.3000 1.6224 25.9583 REDWHEAT 8.6159 545.5000 1.5795 25.2712 RICE 0.1493 15.2650 0.9783 15.6531 ROBUSTA 95.3608 5507.0000 1.7316 27.7061 RUSSELL 27.3612 2435.8000 1.1233 17.9727 SHATZ 0.0812 107.1850 0.0758 1.2121 SILVER-mini 0.5190 30.5125 1.7009 27.2143 SMI 90.7892 11643.0000 0.7798 12.4764 SOFR 0.0609 96.3500 0.0632 1.0107 SOYBEAN 8.9356 1014.2500 0.8810 14.0961 SOYMEAL 3.6091 300.3000 1.2018 19.2291 SOYOIL 0.8774 41.2100 2.1290 34.0645 SP400 30.1048 3373.5000 0.8924 14.2782 SP500_micro 36.7173 6016.5000 0.6103 9.7644 SUGAR11 0.2924 20.2700 1.4427 23.0835 US10 0.4026 110.8750 0.3631 5.8091 US10U 0.5745 114.2656 0.5028 8.0444 US2 0.0951 102.9648 0.0924 1.4778 US20 0.8389 118.6875 0.7068 11.3095 US30 1.3387 126.0938 1.0617 16.9871 US5 0.2431 107.1875 0.2268 3.6284 VIX 0.5095 16.8000 3.0327 48.5225 WHEAT 7.5677 596.2500 1.2692 20.3074 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.65 0.65 419.18 1.00 419.18 46315.95 110.49 -4.17 -46.02 BITCOIN 97.80 2.52 246.37 1.00 246.37 46315.95 188.00 7.02 131.91 BOBL 1194.20 0.20 233.89 1.05 245.03 46315.95 189.02 4.27 80.76 BTP 1218.00 0.41 501.95 1.05 525.87 46315.95 88.07 5.63 49.57 BUND 1340.60 0.34 454.81 1.05 476.48 46315.95 97.20 -3.09 -30.07 BUXL 1385.80 0.84 1168.65 1.05 1224.33 46315.95 37.83 1.71 6.46 CAC 716.00 0.86 614.42 1.05 643.70 46315.95 71.95 -11.11 -79.96 CAD 713.15 0.39 277.93 1.00 277.93 46315.95 166.65 -12.26 -204.29 CANOLA 115.90 1.73 200.75 0.71 142.21 46315.95 325.69 -12.42 -404.62 CHF 1420.50 0.50 716.91 1.00 716.91 46315.95 64.60 -13.02 -84.12 COCOA 913.40 1.91 1740.27 1.00 1740.27 46315.95 26.61 16.08 42.79 COFFEE 1222.50 1.54 1882.30 1.00 1882.30 46315.95 24.61 8.38 20.62 COPPER 1037.50 1.45 1507.50 1.00 1507.50 46315.95 30.72 -3.82 -11.75 CORN 214.50 0.87 186.88 1.00 186.88 46315.95 247.84 -18.26 -452.54 COTTON2 358.25 1.25 446.83 1.00 446.83 46315.95 103.66 -18.87 -195.55 CRUDE_W 664.50 1.59 1059.67 1.00 1059.67 46315.95 43.71 -1.94 -8.49 DAX 193.18 0.77 148.43 1.05 155.50 46315.95 297.85 6.73 200.50 DOW 224.22 0.68 153.30 1.00 153.30 46315.95 302.13 5.91 178.47 DX 1056.10 0.44 463.46 1.00 463.46 46315.95 99.93 6.95 69.44 EUR 1321.25 0.54 719.88 1.00 719.88 46315.95 64.34 -8.50 -54.68 EURIBOR-ICE 2450.38 0.04 107.77 1.05 112.91 46315.95 410.21 8.95 367.06 EUROSTX 474.90 0.92 435.00 1.05 455.73 46315.95 101.63 -6.76 -68.73 FEEDCOW 1288.25 0.61 788.39 1.00 788.39 46315.95 58.75 11.26 66.16 GASOIL 662.75 1.70 1124.95 1.00 1124.95 46315.95 41.17 -2.30 -9.45 GASOLINE 822.28 1.87 1534.11 1.00 1534.11 46315.95 30.19 -1.95 -5.89 GAS_US_mini 80.25 3.89 312.14 1.00 312.14 46315.95 148.38 -4.82 -71.57 GBP 792.00 0.54 428.13 1.00 428.13 46315.95 108.18 -6.71 -72.58 GOLD_micro 266.03 1.04 277.98 1.00 277.98 46315.95 166.61 -2.19 -36.47 HEATOIL 923.71 1.74 1603.02 1.00 1603.02 46315.95 28.89 -9.11 -26.33 JGB-SGX-mini 142810.00 0.15 21708.11 0.01 140.71 46315.95 329.15 -6.88 -226.60 JPY 829.69 0.75 625.32 1.00 625.32 46315.95 74.07 -4.82 -35.72 LEANHOG 351.50 1.20 423.00 1.00 423.00 46315.95 109.49 13.12 143.60 LIVECOW 754.90 0.52 392.85 1.00 392.85 46315.95 117.90 5.71 67.36 LUMBER-new 168.30 1.30 218.55 1.00 218.55 46315.95 211.93 3.61 76.51 MILK 372.80 1.37 511.44 1.00 511.44 46315.95 90.56 -5.42 -49.10 MXP 241.55 0.87 211.00 1.00 211.00 46315.95 219.51 -1.72 -37.71 NASDAQ_micro 416.08 0.81 337.24 1.00 337.24 46315.95 137.34 0.06 0.89 NIKKEI 37750.00 1.10 41389.17 0.01 268.58 46315.95 172.45 3.34 57.52 NZD 589.80 0.67 397.80 1.00 397.80 46315.95 116.43 -5.42 -63.15 OAT 1255.60 0.35 433.96 1.05 454.64 46315.95 101.87 3.97 40.49 OATIES 178.38 1.94 345.49 1.00 345.49 46315.95 134.06 -4.08 -54.64 OJ 729.00 1.47 1073.01 1.00 1073.01 46315.95 43.16 17.10 73.80 PALLAD 985.00 2.78 2734.18 1.00 2734.18 46315.95 16.94 -2.13 -3.60 PLAT 466.15 1.62 756.28 1.00 756.28 46315.95 61.24 -4.38 -26.82 REDWHEAT 272.75 1.58 430.80 1.00 430.80 46315.95 107.51 -20.00 -215.03 RICE 305.30 0.98 298.68 1.00 298.68 46315.95 155.07 -7.08 -109.72 ROBUSTA 550.70 1.73 953.61 1.00 953.61 46315.95 48.57 8.17 39.70 RUSSELL 121.79 1.12 136.81 1.00 136.81 46315.95 338.55 6.19 209.62 SHATZ 1071.85 0.08 81.20 1.05 85.07 46315.95 544.45 -1.90 -103.51 SILVER-mini 762.81 1.70 1297.46 1.00 1297.46 46315.95 35.70 -2.43 -8.69 SMI 1164.30 0.78 907.89 1.13 1022.92 46315.95 45.28 -4.66 -21.08 SOFR 2408.75 0.06 152.15 1.00 152.15 46315.95 304.41 -4.45 -135.50 SOYBEAN 507.12 0.88 446.78 1.00 446.78 46315.95 103.67 -17.40 -180.39 SOYMEAL 300.30 1.20 360.91 1.00 360.91 46315.95 128.33 -20.00 -256.66 SOYOIL 247.26 2.13 526.42 1.00 526.42 46315.95 87.98 -4.79 -42.17 SP400 3373.50 0.89 3010.48 1.00 3010.48 46315.95 15.38 6.04 9.30 SP500_micro 300.82 0.61 183.59 1.00 183.59 46315.95 252.28 4.43 111.64 SUGAR11 227.02 1.44 327.53 1.00 327.53 46315.95 141.41 -1.00 -14.19 US10 1108.75 0.36 402.55 1.00 402.55 46315.95 115.06 -5.31 -61.06 US10U 1142.66 0.50 574.50 1.00 574.50 46315.95 80.62 -4.14 -33.35 US2 2059.30 0.09 190.21 1.00 190.21 46315.95 243.50 -9.57 -233.08 US20 1186.88 0.71 838.94 1.00 838.94 46315.95 55.21 -1.92 -10.61 US30 1260.94 1.06 1338.73 1.00 1338.73 46315.95 34.60 -2.17 -7.52 US5 1071.88 0.23 243.08 1.00 243.08 46315.95 190.54 -6.50 -123.86 VIX 168.00 3.03 509.49 1.00 509.49 46315.95 90.91 -17.15 -155.89 WHEAT 298.12 1.27 378.38 1.00 378.38 46315.95 122.40 -20.00 -244.81 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -46.022 0.010 2.5 -1.194 BITCOIN 131.914 0.043 2.5 14.285 BOBL 80.763 0.004 2.5 0.819 BTP 49.566 0.014 2.5 1.691 BUND -30.068 0.004 2.5 -0.305 BUXL 6.463 0.004 2.5 0.066 CAC -79.960 0.014 2.5 -2.727 CAD -204.292 0.010 2.5 -5.301 CANOLA -404.622 0.010 2.5 -9.844 CHF -84.118 0.010 2.5 -2.183 COCOA 42.787 0.009 2.5 0.916 COFFEE 20.624 0.005 2.5 0.241 COPPER -11.748 0.043 2.5 -1.272 CORN -452.541 0.010 2.5 -11.010 COTTON2 -195.548 0.009 2.5 -4.188 CRUDE_W -8.492 0.043 2.5 -0.920 DAX 200.505 0.014 2.5 6.839 DOW 178.473 0.009 2.5 4.148 DX 69.439 0.010 2.5 1.802 EUR -54.682 0.010 2.5 -1.419 EURIBOR-ICE 367.057 0.014 2.5 12.520 EUROSTX -68.732 0.014 2.5 -2.344 FEEDCOW 66.160 0.013 2.5 2.192 GASOIL -9.450 0.017 2.5 -0.410 GASOLINE -5.893 0.017 2.5 -0.255 GAS_US_mini -71.571 0.043 2.5 -7.750 GBP -72.577 0.010 2.5 -1.883 GOLD_micro -36.474 0.014 2.5 -1.244 HEATOIL -26.329 0.017 2.5 -1.141 JGB-SGX-mini -226.604 0.043 2.5 -24.538 JPY -35.716 0.010 2.5 -0.927 LEANHOG 143.602 0.024 2.5 8.727 LIVECOW 67.360 0.013 2.5 2.232 LUMBER-new 76.510 0.009 2.5 1.639 MILK -49.096 0.009 2.5 -1.052 MXP -37.711 0.059 2.5 -5.535 NASDAQ_micro 0.890 0.009 2.5 0.021 NIKKEI 57.523 0.043 2.5 6.229 NZD -63.153 0.010 2.5 -1.639 OAT 40.486 0.014 2.5 1.381 OATIES -54.637 0.010 2.5 -1.329 OJ 73.802 0.009 2.5 1.581 PALLAD -3.604 0.014 2.5 -0.123 PLAT -26.817 0.014 2.5 -0.915 REDWHEAT -215.025 0.005 2.5 -2.852 RICE -109.718 0.010 2.5 -2.669 ROBUSTA 39.699 0.005 2.5 0.464 RUSSELL 209.620 0.013 2.5 6.946 SHATZ -103.512 0.004 2.5 -1.050 SILVER-mini -8.687 0.014 2.5 -0.296 SMI -21.084 0.014 2.5 -0.719 SOFR -135.498 0.024 2.5 -8.235 SOYBEAN -180.390 0.004 2.5 -1.678 SOYMEAL -256.664 0.004 2.5 -2.387 SOYOIL -42.170 0.004 2.5 -0.393 SP400 9.299 0.013 2.5 0.308 SP500_micro 111.639 0.009 2.5 2.594 SUGAR11 -14.190 0.009 2.5 -0.302 US10 -61.063 0.005 2.5 -0.774 US10U -33.347 0.005 2.5 -0.423 US2 -233.079 0.005 2.5 -2.954 US20 -10.610 0.005 2.5 -0.134 US30 -7.521 0.005 2.5 -0.095 US5 -123.864 0.005 2.5 -1.570 VIX -155.890 0.099 2.5 -38.480 WHEAT -244.809 0.005 2.5 -3.247 ===================== Position diags ===================== AUD 2.87 BITCOIN 20.36 BOBL 1.92 BTP 3.00 BUND 0.99 BUXL 0.38 CAC 2.45 CAD 4.32 CANOLA 7.92 CHF 1.68 COCOA 0.57 COFFEE 0.29 COPPER 3.33 CORN 6.03 COTTON2 2.22 CRUDE_W 4.73 DAX 10.16 DOW 7.02 DX 2.59 EUR 1.67 EURIBOR-ICE 13.99 EUROSTX 3.47 FEEDCOW 1.95 GASOIL 1.78 GASOLINE 1.31 GAS_US_mini 16.07 GBP 2.81 GOLD_micro 5.68 HEATOIL 1.25 JGB-SGX-mini 35.64 JPY 1.92 LEANHOG 6.65 LIVECOW 3.91 LUMBER-new 4.54 MILK 1.94 MXP 32.22 NASDAQ_micro 3.19 NIKKEI 18.67 NZD 3.02 OAT 3.47 OATIES 3.26 OJ 0.92 PALLAD 0.58 PLAT 2.09 REDWHEAT 1.43 RICE 3.77 ROBUSTA 0.57 RUSSELL 11.22 SHATZ 5.52 SILVER-mini 1.22 SMI 1.54 SOFR 18.50 SOYBEAN 0.96 SOYMEAL 1.19 SOYOIL 0.82 SP400 0.51 SP500_micro 5.86 SUGAR11 3.01 US10 1.46 US10U 1.02 US2 3.09 US20 0.70 US30 0.44 US5 2.41 VIX 22.44 WHEAT 1.62 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.5 -0.9 -1.0 -1 BITCOIN 14.3 12.2 16.3 0.0 0 BOBL 0.8 0.6 1.0 0.0 0 BTP 1.7 1.4 2.0 0.0 0 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL 0.1 0.0 0.1 0.0 0 CAC -2.7 -3.0 -2.5 0.0 0 CAD -5.3 -5.7 -4.9 -2.0 -2 CANOLA -9.8 -10.6 -9.1 -7.0 -7 CHF -2.2 -2.4 -2.0 -8.0 -8 COCOA 0.9 0.9 1.0 2.0 2 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -1.3 -1.6 -0.9 -2.0 -2 CORN -11.0 -11.6 -10.4 -7.0 -7 COTTON2 -4.2 -4.4 -4.0 -5.0 -5 CRUDE_W -0.9 -1.4 -0.4 -2.0 -2 DAX 6.8 5.8 7.9 0.0 0 DOW 4.1 3.4 4.8 1.0 1 DX 1.8 1.5 2.1 0.0 0 EUR -1.4 -1.6 -1.3 -3.0 -3 EURIBOR-ICE 12.5 11.1 13.9 0.0 0 EUROSTX -2.3 -2.7 -2.0 -2.0 -2 FEEDCOW 2.2 2.0 2.4 3.0 3 GASOIL -0.4 -0.6 -0.2 -1.0 -1 GASOLINE -0.3 -0.4 -0.1 0.0 0 GAS_US_mini -7.8 -9.4 -6.1 -10.0 -10 GBP -1.9 -2.2 -1.6 0.0 0 GOLD_micro -1.2 -1.8 -0.7 0.0 0 HEATOIL -1.1 -1.3 -1.0 -1.0 -1 JGB-SGX-mini -24.5 -28.1 -21.0 0.0 0 JPY -0.9 -1.1 -0.7 -3.0 -3 LEANHOG 8.7 8.1 9.4 8.0 8 LIVECOW 2.2 1.8 2.6 1.0 1 LUMBER-new 1.6 1.2 2.1 0.0 0 MILK -1.1 -1.2 -0.9 0.0 0 MXP -5.5 -8.8 -2.3 -2.0 -2 NASDAQ_micro 0.0 -0.3 0.3 4.0 4 NIKKEI 6.2 4.4 8.1 4.0 4 NZD -1.6 -1.9 -1.3 0.0 0 OAT 1.4 1.0 1.7 1.0 1 OATIES -1.3 -1.7 -1.0 NaN 0 OJ 1.6 1.5 1.7 1.0 1 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT -0.9 -1.1 -0.7 0.0 0 REDWHEAT -2.9 -3.0 -2.7 -3.0 -3 RICE -2.7 -3.0 -2.3 NaN 0 ROBUSTA 0.5 0.4 0.5 0.0 0 RUSSELL 6.9 5.8 8.1 0.0 0 SHATZ -1.0 -1.6 -0.5 NaN 0 SILVER-mini -0.3 -0.4 -0.2 0.0 0 SMI -0.7 -0.9 -0.6 0.0 0 SOFR -8.2 -10.1 -6.4 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -3.0 -3 SOYMEAL -2.4 -2.5 -2.3 -2.0 -2 SOYOIL -0.4 -0.5 -0.3 0.0 0 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 2.6 2.0 3.2 1.0 1 SUGAR11 -0.3 -0.6 -0.0 0.0 0 US10 -0.8 -0.9 -0.6 0.0 0 US10U -0.4 -0.5 -0.3 -1.0 -1 US2 -3.0 -3.3 -2.6 NaN 0 US20 -0.1 -0.2 -0.1 0.0 0 US30 -0.1 -0.1 -0.1 -2.0 -2 US5 -1.6 -1.8 -1.3 -2.0 -2 VIX -38.5 -40.7 -36.2 -25.0 -25 WHEAT -3.2 -3.4 -3.1 -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 -0.0 -0.0 -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 -0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 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 0.1 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 0.3 -0.4 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 -0.1 -0.0 -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 0.1 -0.3 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 0.3 0.2 0.6 0.0 0.0 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.1 -2.7 0.0 0.1 0.1 0.1 0.3 0.1 0.6 0.1 0.5 0.6 0.6 -0.3 -0.4 0.3 0.3 BUND 0.3 -0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 -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 -0.7 0.0 -0.0 BUXL 0.4 -0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 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 0.2 -0.7 -0.7 -0.3 -0.3 CAC -0.4 -0.3 -0.3 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 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.1 -0.6 -0.6 -0.6 0.1 0.2 -0.2 -0.1 CAD -0.1 -0.6 -0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.5 -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 0.2 -0.3 -0.2 -0.2 -0.2 -0.3 -0.2 CANOLA -0.6 0.2 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 0.0 -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 -0.4 0.1 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 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -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 -0.3 -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 0.2 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 0.1 -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 -0.6 -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 -0.0 0.1 -0.3 -0.1 0.4 0.4 0.3 0.7 CORN -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.2 -0.3 -0.2 -0.3 -0.1 -0.2 -0.2 -0.5 -0.2 -1.5 -0.1 -0.1 -0.3 -0.1 -0.5 -0.1 -1.1 -0.5 -0.4 -0.6 -0.4 0.4 -0.1 0.6 0.1 COTTON2 -0.2 -0.1 0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.2 -0.5 0.0 -0.6 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.1 -0.1 0.0 -0.5 -0.1 -2.7 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -1.0 0.0 -0.3 -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 -0.3 -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 -0.0 -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 0.4 -0.5 -0.1 0.1 0.7 0.4 0.4 0.1 DOW 0.5 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 0.1 0.0 0.1 0.1 0.2 0.1 -0.4 0.5 0.6 0.6 0.6 0.0 0.1 -0.5 -0.3 DX 0.4 0.6 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.2 -2.7 0.0 -0.0 0.1 0.0 0.0 0.0 0.7 0.1 0.6 0.6 0.5 -0.1 0.2 -0.1 0.2 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 -0.0 -0.5 -0.1 -0.4 -0.4 -0.2 -0.0 -0.4 -0.1 -0.5 EURIBOR-ICE 0.3 -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 -0.1 0.3 0.4 0.4 -0.2 -0.5 0.4 0.2 EUROSTX -0.4 -0.4 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 -0.1 -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 0.1 -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 0.1 0.2 -0.4 0.2 0.2 0.2 -0.1 0.3 0.2 0.2 0.1 0.2 -0.2 0.2 -1.7 0.1 0.1 0.0 0.1 -0.1 0.1 0.1 0.5 0.6 0.6 0.2 0.5 0.7 0.7 0.7 GASOIL 0.2 0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 0.0 -0.3 0.0 -0.0 0.1 0.1 0.0 0.1 -0.0 -0.1 0.0 -0.2 0.0 0.6 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.0 -0.0 0.2 -0.0 -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 -0.1 -0.2 -0.1 -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 -0.0 -0.1 -0.1 0.2 0.1 0.3 0.3 0.6 GAS_US_mini 0.5 0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 -0.4 0.1 -0.6 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.1 2.7 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -1.1 0.2 0.2 -0.6 0.1 -0.4 -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 -0.1 0.2 -0.2 -0.1 0.0 -0.0 0.0 0.0 -0.2 -0.1 -0.1 0.1 -0.2 -0.2 -0.1 0.0 -0.0 -0.0 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 -0.2 0.1 0.4 0.7 0.1 0.7 0.3 HEATOIL 0.0 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 0.0 -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 -0.3 0.0 0.1 -0.7 -0.4 -0.7 -0.3 JPY 0.0 -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 0.3 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 0.3 0.2 0.1 0.2 0.2 -0.4 0.2 -0.1 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 0.4 0.6 0.6 0.6 0.2 -0.2 0.3 0.0 LIVECOW -0.2 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.2 0.5 0.2 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 0.1 0.1 0.2 0.1 0.3 0.0 0.2 0.5 -0.0 0.5 0.3 -0.2 0.7 0.0 0.7 LUMBER-new 0.2 0.7 0.6 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.1 0.1 0.0 -0.2 0.1 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 -0.6 0.7 0.7 0.7 0.4 0.1 0.7 0.4 MILK -0.5 -0.6 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.1 -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 -0.3 -0.6 -0.6 0.1 -0.2 -0.7 -0.1 -0.7 MXP 0.0 -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 -0.0 0.1 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 0.0 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 -0.1 0.2 -0.0 -1.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 1.1 -0.3 -0.4 -0.1 -0.5 0.7 0.3 0.7 0.4 NZD -0.2 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -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 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.0 OAT 0.1 -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 0.1 -0.1 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.6 -0.2 0.2 0.4 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 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 0.1 -0.3 0.0 -0.1 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.4 -0.2 0.5 0.7 0.2 0.7 0.5 OJ 0.3 0.1 0.3 -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 -0.1 -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 -0.6 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -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 -0.2 -0.1 -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 -0.1 -0.5 -0.1 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.5 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.9 -0.3 -0.6 -0.6 -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 0.1 0.1 0.0 -1.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.2 0.0 -0.4 -0.4 -0.5 -0.7 -0.5 -0.7 ROBUSTA 0.6 -0.5 -0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.4 0.1 0.1 0.1 0.4 0.3 0.4 0.1 0.1 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.1 0.6 0.1 0.0 0.3 0.3 RUSSELL 0.5 0.3 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.6 0.6 0.4 -0.2 -0.4 -0.7 -0.7 SHATZ 0.2 -0.2 0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.0 0.0 0.0 -0.4 -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 0.1 0.0 -1.1 -0.1 0.2 0.3 0.3 -0.3 -0.5 0.0 -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 -0.1 -0.2 0.1 0.1 0.2 -0.1 -0.1 0.3 SMI -0.5 -0.5 -0.5 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 -0.0 -0.6 -0.6 -0.3 -0.2 0.1 -0.7 -0.3 SOFR 0.0 -0.6 -0.4 -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 0.1 -0.0 -0.1 -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 -0.1 -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 -0.0 -0.3 -0.1 -0.2 -0.4 -0.2 -0.6 -0.6 0.1 -0.3 0.3 -0.1 SOYMEAL -0.2 -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 -0.0 -0.5 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.3 -0.0 -0.5 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.3 0.3 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 -2.0 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 0.6 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 0.0 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 0.4 0.1 0.4 0.0 0.0 0.1 0.0 0.3 0.0 0.1 0.5 0.2 0.7 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 0.0 0.2 0.0 0.3 0.1 -0.5 0.2 0.4 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 0.1 -0.1 -0.2 0.6 -0.7 0.1 -0.7 0.2 US10 0.1 -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 -0.3 -0.3 -0.1 -0.7 0.4 0.3 US10U 0.1 -0.6 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -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 -0.3 -0.1 -0.5 0.7 0.6 US2 -0.3 -0.6 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.0 -0.1 -0.1 2.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.3 -0.5 -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 0.1 -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 -0.0 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.2 0.0 -0.3 0.7 0.6 US30 0.1 -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 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -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 -0.1 -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 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.5 -0.3 -0.7 -0.3 -0.3 -0.6 -0.6 -0.4 -0.6 -0.2 -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 -0.1 -0.4 -0.2 -0.6 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 0.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.4 -0.6 -0.6 -0.3 -0.7 -0.6 -0.7 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -6.4 -20.0 -4.2 -4.0 1.3 -2.1 -1.9 -0.5 -4.2 -0.9 -6.1 -10.2 -1.4 -13.5 -12.0 -0.3 -1.6 -0.5 -0.9 -11.8 -6.0 -7.4 -2.0 -12.2 3.0 -4.3 -1.2 -2.1 -2.6 -0.5 -4.3 -0.0 -2.1 6.8 0.1 3.0 -1.0 -5.9 -0.3 -3.5 BITCOIN 20.0 20.0 5.9 -1.0 -5.7 0.6 -5.6 -0.0 -4.5 5.7 14.3 18.0 15.1 20.0 20.0 -7.7 -6.9 -7.0 -6.8 20.0 20.0 20.0 15.6 20.0 -20.0 7.4 2.1 4.5 5.8 3.6 8.6 -2.7 20.0 20.0 20.0 20.0 1.6 -2.4 -2.1 1.2 BOBL 8.2 -11.4 4.6 -2.2 4.1 -0.8 2.0 0.2 -1.1 10.3 2.6 9.4 -1.9 -1.9 -3.3 19.7 -2.1 13.7 5.0 -0.8 0.5 11.6 0.0 3.6 3.9 -0.0 7.5 0.7 5.8 1.0 2.0 3.4 2.7 10.6 10.2 6.0 -10.2 -14.6 5.1 0.0 BTP 3.0 -8.6 2.8 -3.5 6.5 -1.3 3.2 0.3 -1.7 17.2 11.2 15.4 16.3 2.2 3.6 7.8 5.4 7.0 5.8 5.0 8.6 17.6 11.7 8.3 -20.0 3.5 13.3 5.5 10.2 7.0 5.2 11.7 5.7 14.4 20.0 20.0 -9.6 -12.8 10.4 10.2 BUND 8.0 -12.1 0.7 -2.6 4.9 -0.9 2.4 0.3 -1.3 12.7 1.8 11.0 0.5 -3.1 -5.7 -20.0 -8.5 -19.2 -14.0 -2.0 -0.7 15.5 0.0 4.4 1.0 -0.5 10.8 0.2 8.0 1.1 2.6 -16.4 7.2 13.3 13.2 4.3 -20.0 -19.6 0.9 -1.1 BUXL 12.3 -4.1 1.1 -3.0 5.4 -1.1 2.7 0.3 -1.4 14.4 2.0 15.3 0.3 4.0 -1.0 0.3 -1.3 0.0 -0.7 2.0 -0.0 20.0 -1.5 10.3 -2.5 1.6 16.1 0.8 11.9 0.9 6.0 0.5 10.3 20.0 20.0 5.5 -20.0 -20.0 -8.3 -7.9 CAC -11.9 -10.7 -8.2 3.2 0.5 5.0 2.2 7.5 2.5 -15.1 -13.7 -16.5 -4.0 -17.2 -13.6 -5.4 -3.6 -5.4 -4.7 -15.9 -12.4 -15.5 -6.2 -17.8 -6.1 -6.0 -5.6 -4.3 -6.0 -1.5 -6.8 4.1 -5.1 -20.0 -20.0 -19.2 4.1 6.5 -5.1 -2.8 CAD -2.0 -19.2 -5.7 -5.9 1.9 -3.1 -2.8 -0.8 -6.1 -4.4 -16.8 -11.7 -17.7 -18.9 -19.6 -6.0 -4.4 -5.7 -5.1 -20.0 -16.8 -12.5 -11.7 -19.4 0.6 -7.1 -3.4 -5.1 -4.1 -3.3 -6.3 -5.9 -11.1 4.7 -8.2 -5.3 -4.5 -7.5 -8.0 -6.6 CANOLA -20.0 6.4 8.0 -0.6 1.4 -1.6 0.3 -2.5 -0.4 -7.0 -0.8 -7.3 -5.3 -4.7 0.5 -14.9 -12.5 -15.0 -14.3 -2.5 -1.4 -15.2 -3.6 -8.6 -11.9 0.1 -5.4 0.4 -4.5 -1.0 -2.2 -20.0 -20.0 -12.4 3.2 5.9 -8.1 -12.1 -1.0 -6.4 CHF -15.1 -20.0 -4.6 -3.4 1.1 -1.8 -1.6 -0.4 -3.5 7.9 -3.5 -7.1 -4.3 -10.7 -9.8 -15.0 -16.1 -15.3 -15.4 -13.7 -6.4 -7.0 -2.1 -14.6 3.7 -3.8 0.8 -1.6 -2.0 -0.2 -4.1 -20.0 -0.8 -9.9 -7.7 -3.6 -10.4 -10.6 -18.5 -13.3 COCOA 20.0 20.0 6.0 -0.8 1.8 -2.0 0.4 -3.2 -0.5 7.5 4.9 9.4 6.3 9.7 9.3 7.3 20.0 20.0 20.0 20.0 14.6 20.0 15.2 20.0 -20.0 3.3 2.6 2.7 3.9 3.7 4.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 20.0 7.9 3.4 -1.8 4.0 -4.6 0.9 -7.3 -1.2 20.0 19.2 20.0 19.9 20.0 17.8 2.2 4.7 2.4 3.3 20.0 20.0 20.0 20.0 20.0 -20.0 6.7 14.7 4.7 13.7 4.6 10.6 5.1 20.0 20.0 20.0 20.0 -11.0 -7.9 -2.5 0.7 COPPER -19.3 -13.0 -4.3 -0.4 -2.3 0.3 -2.3 -0.0 -1.8 -2.3 -5.0 -7.6 -1.1 -8.0 -4.1 -5.0 -3.5 -4.3 -3.7 -5.7 -2.2 -6.0 0.7 -7.9 -10.8 -1.4 -0.8 0.1 -2.1 1.2 -2.7 3.1 -1.4 2.9 -9.1 -1.8 12.7 11.8 9.0 20.0 CORN -2.3 -1.7 -3.2 -2.0 4.4 -5.0 0.9 -7.9 -1.3 -20.0 -19.3 -20.0 -20.0 -20.0 -7.5 -7.5 -13.7 -10.7 -13.3 -13.6 -20.0 -20.0 -20.0 -16.2 -11.6 -7.6 -15.8 -9.7 -13.3 -13.5 -9.3 -20.0 -20.0 -13.7 -19.9 -11.8 10.7 -1.9 16.7 2.5 COTTON2 -6.4 -4.6 5.6 -1.7 3.6 -4.1 0.8 -6.6 -1.1 16.7 -16.7 0.4 -17.6 -9.4 -7.3 -14.5 -7.5 -14.0 -11.4 -8.7 -11.3 2.4 -16.8 -7.1 -20.0 -4.5 5.8 -4.1 1.2 -3.7 -3.9 -18.0 1.2 -8.3 -15.8 0.8 -17.9 -16.0 -13.8 -11.4 CRUDE_W -0.2 -1.3 -10.4 -0.9 -4.7 -3.1 -0.7 -2.9 0.3 -2.2 -9.3 -3.3 -5.3 -8.8 -6.1 3.9 9.9 5.7 7.9 -5.7 -8.0 -3.1 -5.1 -3.3 -1.4 -2.8 -4.5 -4.3 -2.3 -3.2 -2.1 8.1 -1.1 -5.1 -8.0 2.4 -2.0 7.1 -0.8 12.0 DAX -9.9 -3.7 2.9 3.1 0.5 4.8 2.2 7.3 2.4 6.0 11.7 1.4 15.1 -4.8 10.9 -8.1 -9.7 -8.4 -8.8 3.7 8.1 2.5 11.7 0.3 7.5 1.6 2.1 4.6 1.3 8.1 -0.2 -4.9 16.9 -16.3 -4.0 4.5 20.0 11.4 11.6 3.3 DOW 16.2 0.4 8.9 2.4 0.4 3.8 1.7 5.7 1.9 11.0 12.3 12.1 13.4 11.0 12.4 -9.8 -10.6 -9.9 -10.1 15.9 14.9 19.6 14.2 17.5 -11.5 4.7 4.7 4.8 5.2 4.9 4.9 -6.7 19.0 20.0 17.6 20.0 0.9 2.6 -13.5 -8.6 DX 12.5 20.0 8.6 -3.7 1.2 -1.9 -1.8 -0.5 -3.9 -4.4 8.4 11.6 7.4 13.7 13.3 5.7 6.6 6.0 6.2 18.9 10.4 9.9 4.3 19.6 -20.0 4.4 -1.2 2.4 2.1 0.9 4.5 13.2 2.1 20.0 20.0 16.3 -2.5 5.1 -2.3 7.5 EUR -15.3 -20.0 -9.6 -3.3 1.0 -1.7 -1.6 -0.4 -3.4 3.0 -7.7 -8.9 -5.6 -11.0 -11.2 -6.1 -7.0 -6.5 -6.7 -15.2 -8.6 -10.4 -3.6 -16.6 13.9 -4.0 0.3 -2.2 -2.6 -0.7 -4.3 -9.6 -5.7 -11.9 -11.0 -7.1 -0.1 -12.9 -2.1 -15.7 EURIBOR-ICE 8.0 -5.8 9.4 -1.8 3.3 -0.6 1.6 0.2 -0.9 6.9 6.7 8.4 6.4 3.7 3.7 5.9 0.1 4.9 2.8 4.5 6.5 7.0 6.5 4.9 10.9 2.3 3.4 3.3 3.5 3.5 2.4 4.6 -5.1 9.1 13.7 13.3 -4.6 -15.2 10.7 6.2 EUROSTX -11.7 -11.2 -8.0 2.9 0.5 4.5 2.0 6.8 2.2 -9.2 -2.2 -11.5 8.9 -13.3 -4.5 -3.7 -3.4 -3.9 -4.0 -8.9 -4.0 -7.8 3.2 -10.7 -2.5 -4.4 -3.1 -1.8 -3.7 2.5 -5.2 4.7 5.7 -20.0 -20.0 -12.4 4.5 3.6 -14.9 -9.3 FEEDCOW 20.0 20.0 6.4 -2.0 4.4 -5.0 0.9 -7.9 -1.3 20.0 1.9 20.0 -11.1 20.0 16.5 10.7 -4.0 13.6 8.4 20.0 5.2 20.0 -8.6 20.0 -12.7 6.0 13.1 1.1 13.7 -1.4 10.6 1.8 20.0 20.0 20.0 6.4 16.5 19.9 20.0 20.0 GASOIL 5.6 5.4 -10.7 -0.8 -4.3 -2.9 -0.6 -2.6 0.3 -2.6 -11.5 2.4 -7.4 1.6 -4.5 2.8 6.5 2.0 2.7 -2.5 -8.4 0.1 -7.2 1.9 4.1 -1.6 -5.6 -4.9 -0.0 -4.5 1.0 0.1 -0.2 7.3 -1.2 -8.0 0.6 -7.3 3.0 -11.7 GASOLINE -0.7 -0.3 -8.0 -0.8 -4.1 -2.7 -0.6 -2.5 0.3 -7.5 -8.0 -4.8 -2.7 -7.6 -2.4 -3.8 20.0 5.9 15.6 -2.9 -4.5 -4.1 -2.3 -2.3 -20.0 -0.5 -5.3 -1.0 -2.6 -0.2 -1.1 20.0 -1.8 -4.1 -2.1 5.6 3.1 9.6 7.8 17.2 GAS_US_mini 14.5 3.4 16.6 -0.8 -4.2 -2.8 -0.6 -2.6 0.3 0.7 -13.2 7.6 -16.5 0.9 -3.4 -20.0 -20.0 -20.0 -20.0 -1.0 -5.9 7.3 -12.0 5.4 20.0 -0.8 -1.1 -3.3 4.7 -5.4 3.1 -20.0 7.0 6.3 -17.4 2.6 -13.3 -18.7 -10.3 -15.7 GBP -18.0 -20.0 -5.9 -4.7 1.5 -2.4 -2.3 -0.6 -4.9 6.1 -1.1 -13.6 6.2 -16.3 -13.6 0.5 -0.2 0.4 0.2 -16.4 -4.7 -14.3 3.4 -20.0 -1.4 -4.9 0.7 -1.0 -4.3 1.7 -6.5 2.2 -11.2 -12.2 -6.6 3.4 5.4 -15.2 17.2 -14.7 GOLD_micro -20.0 -20.0 -3.2 -0.4 -2.6 0.3 -2.5 -0.0 -2.0 -0.7 6.4 -3.1 9.1 -3.5 3.2 -10.0 -13.1 -11.9 -12.3 1.5 7.2 -2.4 9.9 -2.9 -8.7 0.8 -0.8 2.9 -1.0 4.0 -1.0 -12.8 8.3 -6.0 3.0 11.4 20.0 2.5 20.0 7.8 HEATOIL 1.5 1.6 -8.3 -0.8 -4.2 -2.8 -0.6 -2.5 0.3 -4.5 -11.6 -2.0 -10.2 -7.0 -5.9 0.8 2.6 -2.0 -2.0 -3.6 -8.3 -2.7 -8.3 -1.0 -19.6 -0.8 -4.7 -3.1 -1.4 -3.6 -0.1 -7.7 -3.9 -0.7 -0.1 0.0 -0.2 2.9 2.5 4.2 JGB-SGX-mini -19.2 -18.9 1.1 -2.1 2.8 -0.7 1.0 0.2 -1.5 -4.5 0.9 -8.8 1.8 -9.6 -4.4 20.0 16.9 17.4 16.3 -8.1 -2.2 -9.4 0.6 -12.0 -11.2 -2.7 -1.3 -0.9 -3.1 -0.4 -3.9 20.0 -20.0 -9.4 0.7 4.1 -20.0 -13.4 -20.0 -9.2 JPY 0.3 -20.0 -0.4 -2.3 0.7 -1.2 -1.1 -0.3 -2.4 7.7 -3.3 1.7 -4.7 -6.0 -6.7 -10.5 -13.6 -10.9 -11.8 -7.8 -5.4 3.1 -5.1 -4.8 20.0 -2.2 3.6 -1.4 1.1 -1.5 -1.4 -19.8 11.0 7.2 -2.2 -0.9 -13.8 -20.0 -10.8 -20.0 LEANHOG -8.2 16.4 20.0 -2.1 4.7 -5.3 1.0 -8.4 -1.4 19.7 9.3 16.8 3.7 20.0 20.0 -20.0 10.0 -4.2 13.7 20.0 20.0 20.0 4.1 20.0 -0.0 8.1 11.7 6.2 8.5 2.1 7.1 20.0 15.2 20.0 20.0 20.0 4.5 -5.2 9.3 0.8 LIVECOW -7.0 0.7 11.5 -2.2 4.8 -5.5 1.0 -8.7 -1.4 20.0 20.0 14.5 17.7 3.0 18.7 -12.8 4.3 -5.8 0.6 13.7 18.7 13.7 19.0 9.6 -20.0 4.7 9.4 6.3 7.3 7.8 4.4 3.7 20.0 -0.3 15.1 10.3 -6.3 20.0 1.1 20.0 LUMBER-new 6.5 20.0 16.0 -1.6 3.5 -4.0 0.7 -6.0 -1.0 -10.5 4.0 0.9 -5.1 11.2 15.5 -20.0 -18.7 -19.7 -19.1 18.7 10.2 -0.6 -2.1 13.4 NaN 5.9 -2.0 3.5 0.1 0.0 4.2 -20.0 -20.0 20.0 20.0 20.0 10.5 3.3 18.8 10.1 MILK -16.8 -20.0 0.5 -1.1 2.5 -2.8 0.5 -4.5 -0.7 -8.9 5.2 -10.2 6.5 -12.5 -8.3 -2.4 -2.8 9.6 7.5 -12.6 -0.5 -13.3 5.1 -17.0 13.9 -3.6 -2.6 -0.5 -3.7 0.8 -4.7 1.8 -11.3 -20.0 -20.0 2.0 -7.3 -20.0 -1.7 -20.0 MXP 1.1 -2.9 -14.4 -3.4 1.1 -1.8 -1.7 -0.4 -3.6 -9.3 -12.6 -8.9 -10.4 -10.1 -11.5 11.9 13.3 11.6 11.8 -10.7 -13.3 -8.2 -10.3 -8.5 -20.0 -4.8 -4.8 -5.7 -3.9 -4.3 -3.9 20.0 -2.0 4.4 11.5 -11.3 18.4 20.0 20.0 20.0 NASDAQ_micro 6.4 5.8 7.8 2.5 0.4 3.9 1.8 5.9 1.9 3.4 10.6 5.6 11.8 6.7 11.4 -9.8 -9.8 -9.3 -9.3 10.8 12.2 3.2 15.1 7.4 -20.0 4.1 -0.1 5.3 1.0 7.4 2.5 -5.3 -8.5 0.4 9.2 10.2 8.5 3.9 -5.4 -6.4 NIKKEI -3.7 1.7 3.9 2.2 0.4 3.5 1.6 5.2 1.7 -10.2 4.9 -8.9 5.9 -4.5 7.9 0.9 6.4 2.0 3.9 0.7 2.6 -7.2 6.3 -3.3 -8.4 -1.2 -5.8 -1.2 -3.8 2.0 -2.0 20.0 -11.1 -11.1 -2.4 -14.8 20.0 10.4 20.0 12.7 NZD -6.7 -20.0 -4.9 -3.6 1.1 -1.9 -1.7 -0.5 -3.8 1.1 -7.8 -10.1 -3.1 -13.1 -11.5 -1.2 -0.3 -0.8 -0.6 -12.8 -7.3 -7.1 -3.0 -13.0 1.4 -4.1 0.9 -2.2 -2.3 -0.8 -4.2 1.5 -3.0 1.4 -4.1 2.1 -2.6 -6.1 -2.3 -1.0 OAT 3.1 -9.5 0.7 -2.6 4.8 -0.9 2.4 0.3 -1.2 10.9 -0.6 9.0 -2.3 -5.2 -6.7 9.0 5.5 7.7 6.1 -4.1 -3.0 5.6 -2.5 -0.4 3.9 -1.7 4.8 -0.9 3.7 -0.0 0.3 12.0 -6.6 5.4 13.5 3.8 -3.9 -14.9 14.5 5.3 OATIES -20.0 -5.8 20.0 -1.0 2.3 -2.6 0.5 -4.1 -0.7 -6.9 1.1 -7.8 -7.0 -6.6 5.6 -13.2 0.4 -4.7 -0.9 0.9 3.2 -5.6 -0.4 -4.3 -20.0 -0.2 -3.5 1.1 -2.9 0.2 -2.5 -1.8 1.5 -12.9 -4.8 14.0 20.0 5.0 20.0 14.2 OJ 7.9 4.3 7.8 -1.8 3.8 -4.4 0.8 -6.9 -1.1 17.8 19.5 18.6 20.0 16.3 17.6 20.0 14.1 18.3 15.0 19.9 20.0 20.0 20.0 20.0 -20.0 6.3 11.2 7.2 12.1 11.5 8.7 20.0 20.0 20.0 20.0 20.0 15.0 9.8 20.0 20.0 PALLAD -20.0 -3.7 15.7 -0.4 -2.1 0.2 -2.1 -0.0 -1.7 -1.4 0.5 -4.8 -3.0 -5.3 -1.0 -2.2 -2.1 -2.2 -2.1 -1.6 0.6 -4.3 -1.7 -4.4 13.1 0.1 -1.6 0.8 -1.5 -0.3 -1.3 5.5 4.0 -3.0 2.5 2.3 -12.8 -20.0 -20.0 -20.0 PLAT -17.8 -3.8 0.5 -0.6 -3.3 0.4 -3.3 -0.0 -2.6 -11.2 -5.7 -11.7 -2.9 -10.5 -4.4 -4.1 -4.4 -4.2 -4.4 -5.5 -1.7 -12.4 -0.6 -10.2 5.2 -2.3 -6.4 -0.8 -5.7 -0.4 -4.5 1.5 -6.6 -3.7 -4.4 -7.5 7.4 -8.4 -0.1 -1.9 REDWHEAT -11.9 -8.9 5.8 -1.8 3.9 -4.4 0.8 -7.0 -1.2 -13.5 -17.8 -12.9 -18.9 -16.8 -12.4 -9.5 -7.7 -10.2 -9.6 -15.2 -14.3 -17.0 -19.5 -17.5 -4.1 -6.3 -9.2 -5.4 -7.2 -6.2 -7.3 -17.0 -12.1 -20.0 -19.0 -9.6 -20.0 -20.0 -20.0 -20.0 RICE 7.5 -8.5 -8.4 -1.6 3.5 -4.0 0.7 -6.4 -1.0 11.9 2.5 13.1 7.9 0.5 -5.3 -10.3 17.7 -6.9 6.3 -5.2 -4.4 5.7 2.1 0.4 -13.8 -3.5 3.4 -3.0 2.7 -0.4 -0.4 20.0 6.9 1.4 -13.2 -11.4 -14.8 -20.0 -15.2 -20.0 ROBUSTA 20.0 -16.1 -14.0 -1.0 2.2 -2.5 0.5 -4.0 -0.7 11.1 8.2 12.0 10.5 5.2 5.3 6.2 20.0 15.7 20.0 10.0 12.0 20.0 17.6 18.3 -20.0 2.8 12.2 3.5 9.0 6.0 5.3 20.0 20.0 20.0 1.8 20.0 4.0 0.9 8.8 7.5 RUSSELL 16.9 8.3 7.3 2.3 0.4 3.5 1.6 5.4 1.8 8.9 9.5 9.8 10.8 8.6 9.7 -6.3 -6.4 -6.2 -6.2 13.1 10.6 15.5 8.6 14.9 0.4 4.3 3.4 4.0 4.2 3.7 4.5 0.3 13.3 20.0 18.8 13.6 -6.2 -13.0 -20.0 -20.0 SHATZ 6.8 -7.5 14.5 -1.7 3.2 -0.6 1.6 0.2 -0.8 5.0 4.8 6.6 0.2 0.1 0.7 -20.0 -20.0 -20.0 -20.0 2.2 3.7 6.0 1.2 3.2 5.9 1.3 2.8 2.2 3.2 1.4 1.7 -20.0 -5.7 7.2 10.1 10.1 -9.0 -15.3 1.2 -5.8 SILVER-mini -20.0 -5.6 1.8 -0.5 -3.0 0.3 -2.9 -0.0 -2.4 -9.4 3.5 -10.8 6.9 -10.1 0.8 -5.7 -6.4 -5.9 -6.0 -1.7 4.1 -9.1 7.0 -7.8 -2.1 -0.0 -3.7 2.0 -3.4 2.9 -2.6 -1.5 -4.6 -5.0 1.7 3.2 7.1 -1.8 -1.9 7.8 SMI -15.1 -16.0 -14.5 2.2 0.4 3.5 1.6 5.3 1.7 -2.2 1.1 -7.8 8.0 -10.2 -7.5 0.6 0.3 0.2 -0.2 -9.7 -3.1 -7.0 3.7 -11.4 7.3 -3.2 -0.8 -0.1 -2.5 3.0 -4.1 11.0 -1.0 -20.0 -18.1 -9.8 -6.4 1.6 -19.7 -8.5 SOFR 0.0 -20.0 -11.3 -2.6 4.8 -0.9 2.4 0.3 -1.3 11.3 -1.6 3.3 3.0 -11.2 -12.0 -0.5 0.1 0.5 0.5 -14.9 -7.7 4.4 -0.9 -9.4 -5.8 -3.9 3.6 -2.3 1.1 -0.3 -2.3 2.8 -2.1 -3.8 -15.5 -12.5 0.6 -8.7 17.7 15.2 SOYBEAN -1.5 -6.5 -10.1 -1.5 3.3 -3.7 0.7 -5.9 -1.0 -5.7 -15.9 -13.4 -16.1 -15.9 -13.4 -1.1 0.5 -2.1 -2.4 -15.7 -20.0 -10.2 -20.0 -13.3 -20.0 -6.1 -1.3 -7.7 -4.1 -8.6 -5.4 -4.3 -16.4 -6.1 -20.0 -18.5 2.0 -7.7 7.6 -2.5 SOYMEAL -5.1 -17.0 -5.6 -1.6 3.5 -3.9 0.7 -6.2 -1.0 11.3 -17.3 -5.5 -17.5 -17.1 -17.2 -9.7 0.3 -6.3 -3.6 -19.0 -19.4 -2.8 -20.0 -14.4 -20.0 -6.1 3.3 -5.5 -0.8 -4.7 -4.7 -4.8 -0.1 -14.5 -20.0 -15.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -10.3 9.1 15.4 -0.7 1.4 -1.6 0.3 -2.6 -0.4 -6.2 -0.5 -6.6 -5.7 -4.1 0.8 -2.8 0.3 -1.3 -0.5 0.5 0.2 -10.0 -2.8 -4.4 -15.1 0.6 -3.9 0.4 -3.5 -0.7 -1.3 -2.3 -19.9 -1.2 3.2 5.0 3.2 -6.0 12.4 -0.5 SP400 17.0 7.5 7.1 2.6 0.4 4.1 1.8 6.1 2.0 9.6 11.7 11.7 13.6 10.6 12.4 -7.0 -6.5 -7.1 -6.8 16.3 12.9 20.0 11.2 19.6 -10.2 5.0 4.7 4.5 5.8 4.3 5.5 -0.3 20.0 20.0 20.0 18.7 -1.1 -6.7 -17.0 -20.0 SP500_micro 11.0 3.9 11.2 3.2 0.5 4.9 2.2 7.5 2.5 12.0 17.3 14.6 18.1 13.7 17.0 -11.6 -11.8 -11.3 -11.3 19.4 20.0 14.6 20.0 16.5 -20.0 6.0 4.1 7.4 4.6 9.4 5.0 -8.8 6.3 11.3 16.4 20.0 5.6 3.8 -12.3 -9.0 SUGAR11 -11.2 -3.3 20.0 -1.6 4.3 -3.7 0.2 -5.8 -1.3 -1.1 7.5 -7.2 -5.5 -9.1 8.0 20.0 20.0 20.0 20.0 4.5 7.2 -3.4 2.1 -2.5 -20.0 1.8 0.6 2.9 -1.4 0.6 -1.1 20.0 5.7 -3.1 -6.8 20.0 -20.0 3.0 -20.0 7.0 US10 2.3 -20.0 -9.3 -1.9 3.4 -0.7 1.7 0.2 -0.9 8.0 -2.8 3.5 0.1 -7.8 -8.5 -3.1 -6.4 -4.5 -5.5 -10.2 -6.0 3.9 -2.5 -5.9 1.5 -2.7 2.6 -1.7 1.0 -0.4 -1.5 -8.0 -0.7 -1.7 -10.6 -8.7 -3.6 -19.8 10.8 8.9 US10U 3.4 -20.0 -7.6 -2.5 4.5 -0.9 2.2 0.2 -1.2 10.2 -3.9 5.2 -0.1 -9.8 -10.9 -4.0 -3.6 -4.3 -4.2 -11.5 -7.0 4.9 -3.3 -6.3 -1.4 -3.6 3.5 -2.3 1.4 -0.7 -1.9 -4.4 -1.5 -1.0 -10.8 -10.8 -1.6 -13.9 20.0 16.8 US2 -9.4 -20.0 -6.4 -2.1 3.8 -0.7 1.9 0.2 -1.0 8.9 -3.6 -4.4 -2.2 -10.3 -10.1 -16.0 -20.0 -20.0 -20.0 -16.2 -8.5 -3.1 -4.7 -13.7 15.6 -3.1 1.3 -1.5 -0.5 -0.4 -2.7 -20.0 -12.9 -10.7 -16.9 -6.0 -5.8 -17.1 2.9 -7.6 US20 3.7 -20.0 -8.6 -1.7 3.2 -0.6 1.6 0.2 -0.8 7.6 -2.8 3.8 1.5 -6.9 -7.9 -1.2 -1.3 -1.6 -1.5 -7.5 -4.7 3.7 -2.0 -3.8 -2.8 -2.5 2.6 -1.6 1.1 -0.3 -1.3 0.3 -2.4 1.3 -5.7 -7.5 0.7 -8.5 20.0 18.7 US30 3.3 -19.5 -6.2 -1.9 3.4 -0.7 1.7 0.2 -0.9 7.8 -3.9 2.9 0.0 -6.8 -8.2 -1.2 -4.1 -2.3 -3.2 -6.7 -4.5 3.8 -2.6 -3.2 -1.9 -2.7 3.1 -1.8 1.3 -0.6 -1.3 -4.1 -3.2 1.7 -2.6 -6.9 0.1 -7.7 20.0 18.3 US5 -1.7 -20.0 -9.6 -2.2 4.1 -0.8 2.0 0.2 -1.1 9.7 -3.6 1.4 -1.7 -10.0 -10.4 -6.1 -9.7 -7.6 -8.7 -14.6 -8.3 2.1 -3.5 -9.8 6.3 -3.3 2.6 -1.9 0.6 -0.4 -2.1 -13.6 -4.0 -5.0 -15.1 -9.9 -1.5 -16.1 11.8 5.3 VIX -16.8 -9.5 -2.6 -3.0 -3.3 -1.1 -4.0 -2.7 -4.5 -14.3 -11.8 -15.3 -12.5 -14.8 -15.0 -17.5 -20.0 -13.8 -17.5 -8.8 -4.8 -9.9 -8.9 -11.8 NaN -3.5 -3.8 -1.3 -4.6 -3.2 -5.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -12.9 -9.5 4.1 -1.9 4.1 -4.7 0.9 -7.4 -1.2 -13.9 -16.4 -14.1 -17.3 -17.7 -8.5 -14.0 -14.4 -13.6 -14.1 -15.8 -14.6 -18.9 -20.0 -19.4 5.1 -6.6 -8.4 -5.4 -7.9 -5.7 -8.1 -20.0 -16.1 -20.0 -20.0 -8.6 -20.0 -19.1 -20.0 -16.6 End of report for caleb_strategy_v3