******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241128_204433 produced at 2024-11-28 21:40:47.311951 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.83 0.0 0.00 0.00 0.00 0.00 -26.06 16.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.70 0.0 0.00 0.00 0.00 0.00 -8.58 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.14 -0.22 0.0 999.00 -999.00 -0.14 -0.15 -38.61 999999999.0 -25 -27 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.01 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 -5.26 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 -2.24 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 -2.85 12.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.06 0.0 0.62 -0.62 -0.13 -0.13 -1.45 14.0 -3 -3 caleb_strategy_v3 COPPER False False 0.03 -0.07 -0.05 0.0 999.00 -999.00 -0.07 -0.07 -1.39 999999999.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.05 0.0 0.91 -0.91 -0.11 -0.11 -1.52 25.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -4.17 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 -2.56 20.0 -2 -2 caleb_strategy_v3 MXP False False 0.01 -0.02 -0.04 0.0 0.49 -0.49 -0.02 -0.02 -5.30 60.0 -2 -2 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.59 -0.59 0.00 0.00 -1.66 22.0 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 -1.63 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 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.91 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 JPY False False 0.03 -0.06 -0.03 0.0 0.47 -0.47 -0.06 -0.06 -0.92 17.0 -2 -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 0.63 -0.63 0.00 0.00 -0.80 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 -1.24 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 -10.15 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 -0.93 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 -0.41 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 -0.02 -7.70 26.0 -10 -9 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -1.04 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 -0.49 4.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.48 -0.48 -0.05 -0.05 -0.23 10.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.01 0.0 0.50 -0.50 -0.02 -0.02 -1.21 56.0 -2 -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 -0.31 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 -0.14 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 -0.25 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 -0.09 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 -0.09 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 0.04 0.03 23.0 4 3 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.10 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 0.26 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 0.52 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 1.66 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 6.98 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.03 0.0 0.50 -0.50 0.02 0.01 4.15 66.0 2 1 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.01 2.58 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 0.90 26.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.04 0.0 0.07 -0.07 0.02 0.02 1.59 3.0 1 1 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 BOBL False False 0.04 0.00 0.04 0.0 0.80 -0.80 0.00 0.00 0.94 19.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.03 0.05 0.0 0.31 -0.31 0.03 0.03 6.36 36.0 4 4 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 14.35 59.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.05 0.0 0.40 -0.40 0.00 0.00 7.12 58.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.78 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 2.24 17.0 1 1 caleb_strategy_v3 OAT False False 0.04 0.04 0.08 0.0 0.45 -0.45 0.04 0.09 1.69 10.0 1 2 caleb_strategy_v3 BTP False False 0.04 0.00 0.08 0.0 0.43 -0.43 0.00 0.00 1.93 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 8.74 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 2.20 8.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.12 0.0 0.87 -0.87 0.00 0.00 12.89 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.3 Shocked risk 35.5 Sum abs risk 45.2 Leverage 5.22 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2965585.15, 'annual_cash_vol_target': 741396.2875, 'daily_cash_vol_target': 46337.26796875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6504 0.6352 10.1627 BITCOIN 2426.2813 96425.0000 2.5162 40.2598 BOBL 0.2310 118.8700 0.1943 3.1095 BTP 0.5031 121.6900 0.4134 6.6145 BUND 0.4497 134.3900 0.3346 5.3534 BUXL 1.1401 139.1000 0.8197 13.1144 CAC 61.2531 7195.5000 0.8513 13.6203 CAD 0.0028 0.7144 0.3860 6.1759 CANOLA 9.9338 584.2000 1.7004 27.2066 CHF 0.0056 1.1346 0.4954 7.9267 COCOA 176.3239 9068.0000 1.9445 31.1114 COFFEE 4.7834 323.0500 1.4807 23.6913 COPPER 0.0589 4.1315 1.4263 22.8212 CORN 3.7375 429.0000 0.8712 13.9396 COTTON2 0.8938 71.7500 1.2457 19.9319 CRUDE_W 1.0598 66.4400 1.5951 25.5212 DAX 148.2423 19460.0000 0.7618 12.1885 DOW 306.5924 44845.0000 0.6837 10.9387 DX 0.4473 105.8100 0.4228 6.7644 EUR 0.0057 1.0563 0.5375 8.6002 EURIBOR-ICE 0.0440 98.0750 0.0448 0.7170 EUROSTX 43.1349 4769.0000 0.9045 14.4718 FEEDCOW 1.5768 257.6500 0.6120 9.7918 GASOIL 10.8690 667.0000 1.6295 26.0725 GASOLINE 0.0365 1.9581 1.8652 29.8430 GAS_US_mini 0.1261 3.0550 4.1262 66.0186 GBP 0.0068 1.2688 0.5346 8.5541 GOLD_micro 27.1533 2661.9000 1.0201 16.3212 HEATOIL 0.0382 2.1975 1.7394 27.8306 JGB-SGX-mini 0.2146 142.9000 0.1502 2.4024 JPY 0.0000 0.0066 0.7393 11.8296 LEANHOG 1.0575 87.8750 1.2034 19.2548 LIVECOW 0.9821 188.7250 0.5204 8.3264 LUMBER-new 7.9360 612.5000 1.2957 20.7309 MILK 0.2544 18.6800 1.3618 21.7882 MXP 0.0004 0.0488 0.8704 13.9260 NASDAQ_micro 168.5335 20806.5000 0.8100 12.9601 NIKKEI 407.0063 38295.0000 1.0628 17.0051 NZD 0.0039 0.5894 0.6610 10.5765 OAT 0.4546 126.3500 0.3598 5.7565 OATIES 6.9098 356.7500 1.9369 30.9899 OJ 7.1457 486.5500 1.4686 23.4984 PALLAD 27.3372 986.5000 2.7711 44.3380 PLAT 15.1327 933.1000 1.6218 25.9482 REDWHEAT 8.6159 545.5000 1.5795 25.2712 RICE 0.1493 15.2650 0.9783 15.6531 ROBUSTA 92.0009 5525.0000 1.6652 26.6428 RUSSELL 27.3526 2436.8000 1.1225 17.9597 SHATZ 0.0803 107.2350 0.0749 1.1978 SILVER-mini 0.5100 30.7000 1.6613 26.5809 SMI 91.0741 11728.0000 0.7766 12.4248 SOFR 0.0602 96.3350 0.0625 1.0000 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 30.0470 3375.4000 0.8902 14.2428 SP500_micro 36.7606 6015.0000 0.6111 9.7784 SUGAR11 0.2874 20.3600 1.4117 22.5868 US10 0.3989 110.7656 0.3601 5.7615 US10U 0.5771 114.3438 0.5047 8.0753 US2 0.0944 102.9414 0.0917 1.4669 US20 0.8358 118.5625 0.7049 11.2791 US30 1.3431 126.2500 1.0639 17.0220 US5 0.2450 107.4609 0.2280 3.6478 VIX 0.5093 16.7500 3.0405 48.6481 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 650.40 0.64 413.11 1.00 413.11 46337.27 112.17 -4.26 -47.77 BITCOIN 96.42 2.52 242.63 1.00 242.63 46337.27 190.98 6.94 132.53 BOBL 1188.70 0.19 231.02 1.05 242.27 46337.27 191.26 4.85 92.82 BTP 1216.90 0.41 503.08 1.05 527.58 46337.27 87.83 6.43 56.46 BUND 1343.90 0.33 449.65 1.05 471.55 46337.27 98.27 -2.30 -22.56 BUXL 1391.00 0.82 1140.14 1.05 1195.66 46337.27 38.75 2.45 9.50 CAC 719.55 0.85 612.53 1.05 642.36 46337.27 72.14 -11.57 -83.43 CAD 714.35 0.39 275.74 1.00 275.74 46337.27 168.05 -12.07 -202.82 CANOLA 116.84 1.70 198.68 0.71 141.25 46337.27 328.06 -12.72 -417.31 CHF 1418.31 0.50 702.66 1.00 702.66 46337.27 65.95 -13.07 -86.17 COCOA 906.80 1.94 1763.24 1.00 1763.24 46337.27 26.28 15.90 41.79 COFFEE 1211.44 1.48 1793.78 1.00 1793.78 46337.27 25.83 8.59 22.20 COPPER 1032.88 1.43 1473.22 1.00 1473.22 46337.27 31.45 -4.07 -12.80 CORN 214.50 0.87 186.88 1.00 186.88 46337.27 247.96 -18.25 -452.49 COTTON2 358.75 1.25 446.91 1.00 446.91 46337.27 103.68 -18.76 -194.56 CRUDE_W 664.40 1.60 1059.77 1.00 1059.77 46337.27 43.72 -1.96 -8.55 DAX 194.60 0.76 148.24 1.05 155.46 46337.27 298.06 7.00 208.73 DOW 224.22 0.68 153.30 1.00 153.30 46337.27 302.27 5.91 178.77 DX 1058.10 0.42 447.34 1.00 447.34 46337.27 103.58 6.61 68.52 EUR 1320.44 0.54 709.75 1.00 709.75 46337.27 65.29 -8.55 -55.85 EURIBOR-ICE 2451.88 0.04 109.88 1.05 115.23 46337.27 402.14 9.39 377.80 EUROSTX 476.90 0.90 431.35 1.05 452.36 46337.27 102.44 -7.34 -75.17 FEEDCOW 1288.25 0.61 788.39 1.00 788.39 46337.27 58.77 11.29 66.33 GASOIL 667.00 1.63 1086.90 1.00 1086.90 46337.27 42.63 -2.67 -11.40 GASOLINE 822.40 1.87 1533.94 1.00 1533.94 46337.27 30.21 -1.94 -5.85 GAS_US_mini 76.38 4.13 315.14 1.00 315.14 46337.27 147.04 -4.83 -71.07 GBP 793.00 0.53 423.96 1.00 423.96 46337.27 109.30 -5.87 -64.13 GOLD_micro 266.19 1.02 271.53 1.00 271.53 46337.27 170.65 -2.08 -35.50 HEATOIL 922.95 1.74 1605.39 1.00 1605.39 46337.27 28.86 -9.14 -26.37 JGB-SGX-mini 142900.00 0.15 21456.46 0.01 139.24 46337.27 332.80 -7.23 -240.62 JPY 826.75 0.74 611.26 1.00 611.26 46337.27 75.81 -4.69 -35.53 LEANHOG 351.50 1.20 423.00 1.00 423.00 46337.27 109.54 13.12 143.73 LIVECOW 754.90 0.52 392.85 1.00 392.85 46337.27 117.95 5.73 67.53 LUMBER-new 168.44 1.30 218.24 1.00 218.24 46337.27 212.32 3.66 77.64 MILK 373.60 1.36 508.75 1.00 508.75 46337.27 91.08 -5.36 -48.78 MXP 243.90 0.87 212.28 1.00 212.28 46337.27 218.28 -1.66 -36.13 NASDAQ_micro 416.13 0.81 337.07 1.00 337.07 46337.27 137.47 0.09 1.22 NIKKEI 38295.00 1.06 40700.63 0.01 267.53 46337.27 173.20 3.39 58.73 NZD 589.35 0.66 389.58 1.00 389.58 46337.27 118.94 -5.28 -62.81 OAT 1263.50 0.36 454.58 1.05 476.72 46337.27 97.20 5.09 49.50 OATIES 178.38 1.94 345.49 1.00 345.49 46337.27 134.12 -4.08 -54.74 OJ 729.82 1.47 1071.86 1.00 1071.86 46337.27 43.23 17.15 74.14 PALLAD 986.50 2.77 2733.72 1.00 2733.72 46337.27 16.95 -2.11 -3.58 PLAT 466.55 1.62 756.63 1.00 756.63 46337.27 61.24 -4.35 -26.65 REDWHEAT 272.75 1.58 430.80 1.00 430.80 46337.27 107.56 -20.00 -215.12 RICE 305.30 0.98 298.68 1.00 298.68 46337.27 155.14 -7.08 -109.91 ROBUSTA 552.50 1.67 920.01 1.00 920.01 46337.27 50.37 8.86 44.63 RUSSELL 121.84 1.12 136.76 1.00 136.76 46337.27 338.81 6.22 210.71 SHATZ 1072.35 0.07 80.28 1.05 84.19 46337.27 550.39 -1.63 -89.86 SILVER-mini 767.50 1.66 1275.05 1.00 1275.05 46337.27 36.34 -2.46 -8.95 SMI 1172.80 0.78 910.74 1.13 1029.23 46337.27 45.02 -4.51 -20.29 SOFR 2408.37 0.06 150.53 1.00 150.53 46337.27 307.83 -4.59 -141.19 SOYBEAN 507.12 0.88 446.78 1.00 446.78 46337.27 103.71 -17.41 -180.53 SOYMEAL 300.30 1.20 360.91 1.00 360.91 46337.27 128.39 -20.00 -256.78 SOYOIL 247.26 2.13 526.42 1.00 526.42 46337.27 88.02 -4.80 -42.21 SP400 3375.40 0.89 3004.70 1.00 3004.70 46337.27 15.42 6.06 9.34 SP500_micro 300.75 0.61 183.80 1.00 183.80 46337.27 252.10 4.40 110.85 SUGAR11 228.03 1.41 321.91 1.00 321.91 46337.27 143.95 -0.31 -4.41 US10 1107.66 0.36 398.86 1.00 398.86 46337.27 116.17 -5.42 -62.98 US10U 1143.44 0.50 577.10 1.00 577.10 46337.27 80.29 -4.01 -32.22 US2 2058.83 0.09 188.76 1.00 188.76 46337.27 245.48 -9.69 -237.80 US20 1185.62 0.70 835.80 1.00 835.80 46337.27 55.44 -1.96 -10.88 US30 1262.50 1.06 1343.14 1.00 1343.14 46337.27 34.50 -2.11 -7.27 US5 1074.61 0.23 245.00 1.00 245.00 46337.27 189.13 -6.33 -119.74 VIX 167.50 3.04 509.28 1.00 509.28 46337.27 90.99 -17.19 -156.41 WHEAT 298.12 1.27 378.38 1.00 378.38 46337.27 122.46 -20.00 -244.92 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -47.773 0.010 2.5 -1.240 BITCOIN 132.531 0.043 2.5 14.351 BOBL 92.815 0.004 2.5 0.941 BTP 56.464 0.014 2.5 1.926 BUND -22.560 0.004 2.5 -0.229 BUXL 9.498 0.004 2.5 0.096 CAC -83.427 0.014 2.5 -2.846 CAD -202.815 0.010 2.5 -5.262 CANOLA -417.306 0.010 2.5 -10.152 CHF -86.173 0.010 2.5 -2.236 COCOA 41.790 0.009 2.5 0.895 COFFEE 22.197 0.005 2.5 0.259 COPPER -12.801 0.043 2.5 -1.386 CORN -452.493 0.010 2.5 -11.008 COTTON2 -194.555 0.009 2.5 -4.167 CRUDE_W -8.553 0.043 2.5 -0.926 DAX 208.726 0.014 2.5 7.119 DOW 178.770 0.009 2.5 4.155 DX 68.517 0.010 2.5 1.778 EUR -55.853 0.010 2.5 -1.449 EURIBOR-ICE 377.804 0.014 2.5 12.886 EUROSTX -75.169 0.014 2.5 -2.564 FEEDCOW 66.332 0.013 2.5 2.198 GASOIL -11.402 0.017 2.5 -0.494 GASOLINE -5.848 0.017 2.5 -0.254 GAS_US_mini -71.071 0.043 2.5 -7.696 GBP -64.125 0.010 2.5 -1.664 GOLD_micro -35.498 0.014 2.5 -1.211 HEATOIL -26.373 0.017 2.5 -1.143 JGB-SGX-mini -240.625 0.043 2.5 -26.056 JPY -35.526 0.010 2.5 -0.922 LEANHOG 143.735 0.024 2.5 8.735 LIVECOW 67.528 0.013 2.5 2.238 LUMBER-new 77.636 0.009 2.5 1.663 MILK -48.782 0.009 2.5 -1.045 MXP -36.131 0.059 2.5 -5.303 NASDAQ_micro 1.225 0.009 2.5 0.028 NIKKEI 58.729 0.043 2.5 6.360 NZD -62.814 0.010 2.5 -1.630 OAT 49.498 0.014 2.5 1.688 OATIES -54.736 0.010 2.5 -1.332 OJ 74.137 0.009 2.5 1.588 PALLAD -3.578 0.014 2.5 -0.122 PLAT -26.646 0.014 2.5 -0.909 REDWHEAT -215.124 0.005 2.5 -2.854 RICE -109.913 0.010 2.5 -2.674 ROBUSTA 44.628 0.005 2.5 0.521 RUSSELL 210.707 0.013 2.5 6.982 SHATZ -89.865 0.004 2.5 -0.911 SILVER-mini -8.951 0.014 2.5 -0.305 SMI -20.285 0.014 2.5 -0.692 SOFR -141.190 0.024 2.5 -8.581 SOYBEAN -180.527 0.004 2.5 -1.679 SOYMEAL -256.782 0.004 2.5 -2.388 SOYOIL -42.209 0.004 2.5 -0.393 SP400 9.344 0.013 2.5 0.310 SP500_micro 110.850 0.009 2.5 2.576 SUGAR11 -4.412 0.009 2.5 -0.094 US10 -62.980 0.005 2.5 -0.798 US10U -32.224 0.005 2.5 -0.408 US2 -237.799 0.005 2.5 -3.013 US20 -10.882 0.005 2.5 -0.138 US30 -7.272 0.005 2.5 -0.092 US5 -119.735 0.005 2.5 -1.517 VIX -156.412 0.099 2.5 -38.609 WHEAT -244.922 0.005 2.5 -3.249 ===================== Position diags ===================== AUD 2.91 BITCOIN 20.68 BOBL 1.94 BTP 3.00 BUND 1.00 BUXL 0.39 CAC 2.46 CAD 4.36 CANOLA 7.98 CHF 1.71 COCOA 0.56 COFFEE 0.30 COPPER 3.41 CORN 6.03 COTTON2 2.22 CRUDE_W 4.73 DAX 10.17 DOW 7.02 DX 2.69 EUR 1.69 EURIBOR-ICE 13.72 EUROSTX 3.49 FEEDCOW 1.95 GASOIL 1.85 GASOLINE 1.31 GAS_US_mini 15.92 GBP 2.84 GOLD_micro 5.82 HEATOIL 1.25 JGB-SGX-mini 36.04 JPY 1.97 LEANHOG 6.66 LIVECOW 3.91 LUMBER-new 4.55 MILK 1.95 MXP 32.04 NASDAQ_micro 3.19 NIKKEI 18.76 NZD 3.09 OAT 3.32 OATIES 3.26 OJ 0.93 PALLAD 0.58 PLAT 2.09 REDWHEAT 1.43 RICE 3.77 ROBUSTA 0.59 RUSSELL 11.23 SHATZ 5.58 SILVER-mini 1.24 SMI 1.54 SOFR 18.71 SOYBEAN 0.96 SOYMEAL 1.19 SOYOIL 0.82 SP400 0.51 SP500_micro 5.86 SUGAR11 3.06 US10 1.47 US10U 1.02 US2 3.11 US20 0.70 US30 0.44 US5 2.40 VIX 22.46 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 14.4 12.3 16.4 0.0 0 BOBL 0.9 0.7 1.1 0.0 0 BTP 1.9 1.6 2.2 0.0 0 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL 0.1 0.1 0.1 0.0 0 CAC -2.8 -3.1 -2.6 0.0 0 CAD -5.3 -5.7 -4.8 -2.0 -2 CANOLA -10.2 -11.0 -9.4 -7.0 -7 CHF -2.2 -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 -1.4 -1.7 -1.0 -2.0 -2 CORN -11.0 -11.6 -10.4 -7.0 -7 COTTON2 -4.2 -4.4 -3.9 -5.0 -5 CRUDE_W -0.9 -1.4 -0.5 -2.0 -2 DAX 7.1 6.1 8.1 0.0 0 DOW 4.2 3.5 4.9 2.0 2 DX 1.8 1.5 2.0 0.0 0 EUR -1.4 -1.6 -1.3 -3.0 -3 EURIBOR-ICE 12.9 11.5 14.3 0.0 0 EUROSTX -2.6 -2.9 -2.2 -2.0 -2 FEEDCOW 2.2 2.0 2.4 3.0 3 GASOIL -0.5 -0.7 -0.3 -1.0 -1 GASOLINE -0.3 -0.4 -0.1 0.0 0 GAS_US_mini -7.7 -9.3 -6.1 -10.0 -10 GBP -1.7 -1.9 -1.4 0.0 0 GOLD_micro -1.2 -1.8 -0.6 -2.0 -2 HEATOIL -1.1 -1.3 -1.0 -1.0 -1 JGB-SGX-mini -26.1 -29.7 -22.5 0.0 0 JPY -0.9 -1.1 -0.7 -2.0 -2 LEANHOG 8.7 8.1 9.4 8.0 8 LIVECOW 2.2 1.8 2.6 1.0 1 LUMBER-new 1.7 1.2 2.1 0.0 0 MILK -1.0 -1.2 -0.8 0.0 0 MXP -5.3 -8.5 -2.1 -2.0 -2 NASDAQ_micro 0.0 -0.3 0.3 4.0 4 NIKKEI 6.4 4.5 8.2 4.0 4 NZD -1.6 -1.9 -1.3 0.0 0 OAT 1.7 1.4 2.0 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 -3.1 -2.3 NaN 0 ROBUSTA 0.5 0.5 0.6 0.0 0 RUSSELL 7.0 5.9 8.1 0.0 0 SHATZ -0.9 -1.5 -0.4 NaN 0 SILVER-mini -0.3 -0.4 -0.2 0.0 0 SMI -0.7 -0.8 -0.5 0.0 0 SOFR -8.6 -10.5 -6.7 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 -0.1 -0.4 0.2 0.0 0 US10 -0.8 -0.9 -0.7 0.0 0 US10U -0.4 -0.5 -0.3 -1.0 -1 US2 -3.0 -3.3 -2.7 NaN 0 US20 -0.1 -0.2 -0.1 0.0 0 US30 -0.1 -0.1 -0.0 -2.0 -2 US5 -1.5 -1.8 -1.3 -3.0 -3 VIX -38.6 -40.9 -36.4 -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 -0.2 -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 0.4 -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 -0.0 0.0 -0.1 -0.0 -0.1 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 0.0 -0.1 -0.1 0.0 BOBL 0.3 -0.3 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 0.1 0.5 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.0 0.4 0.3 0.2 -0.3 -0.5 0.2 0.0 BTP 0.2 -0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.2 0.3 0.2 0.6 0.1 0.1 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 0.2 0.1 0.6 0.0 0.5 0.6 0.6 -0.3 -0.4 0.4 0.3 BUND 0.4 -0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.0 0.0 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.0 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.9 0.2 0.5 0.4 0.2 -0.7 -0.7 0.0 -0.0 BUXL 0.5 -0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 0.1 0.2 0.0 0.1 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 0.3 0.6 0.6 0.2 -0.7 -0.7 -0.3 -0.3 CAC -0.4 -0.4 -0.3 0.0 0.0 0.1 0.0 0.3 0.0 -0.1 -0.4 -0.2 -0.2 -0.2 -0.2 -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 -0.4 -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 -0.2 0.2 -0.3 -0.2 -0.2 -0.2 -0.3 -0.2 CANOLA -0.6 0.2 0.2 -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 -0.3 -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 -0.2 -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 -0.0 -0.1 -0.1 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.4 -0.2 -0.1 -0.3 -0.3 -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 0.2 -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 -1.5 -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 -0.2 -0.2 0.1 0.0 0.0 0.1 0.0 0.3 0.0 0.1 0.3 0.1 0.5 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.0 0.3 0.0 1.0 0.0 0.0 0.1 0.0 0.3 0.0 -0.3 0.2 -0.5 -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 0.5 0.6 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 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 -0.2 0.6 0.6 0.6 -0.1 0.2 -0.1 0.2 EUR -0.6 -0.6 -0.3 -0.0 0.0 -0.0 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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 0.0 -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 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 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 -0.2 -0.3 -0.2 0.1 0.2 -0.5 0.6 -0.5 GOLD_micro -0.6 -0.6 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.3 -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 -0.1 0.4 0.3 0.4 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 -0.4 -0.0 0.1 -0.7 -0.5 -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 -0.0 2.7 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.1 0.2 0.2 -0.0 -0.0 -0.4 -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 0.1 -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 -0.1 -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 0.1 -0.1 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 1.1 -0.2 0.1 0.3 -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 -0.2 0.0 0.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.1 0.2 -0.1 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 -0.4 -0.1 -0.5 0.7 0.4 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 -0.0 -0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.2 -0.1 -0.0 OAT 0.2 -0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 0.2 0.1 0.2 0.1 -0.0 -0.0 0.1 -0.1 0.0 0.5 -0.0 0.1 -0.0 0.1 0.0 0.0 0.6 -0.1 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 -0.4 -0.4 -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 0.2 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 0.3 -0.2 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 0.1 0.0 -1.1 -0.2 0.3 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 -0.1 0.0 0.1 0.2 -0.1 -0.1 0.3 SMI -0.4 -0.5 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.0 -0.1 0.3 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 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 -0.4 -0.2 0.1 -0.6 -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 0.2 -0.1 -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 -0.3 -0.1 0.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.0 0.2 -0.1 -0.2 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.1 -0.0 -2.7 0.0 0.0 0.1 0.0 0.0 -0.0 1.1 0.3 -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 -0.3 -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 -0.1 -0.1 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.0 -0.1 -0.2 2.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.4 -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 0.1 -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 -0.0 -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 -0.1 -0.5 -0.3 -0.0 -0.5 0.4 0.2 VIX -0.9 -0.5 -0.1 -0.1 -0.1 -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 -6.2 -19.9 -4.7 -4.0 2.1 -2.2 -1.1 -0.6 -3.8 1.2 -6.6 -10.0 -1.6 -13.4 -12.3 -0.4 -1.6 -0.5 -0.9 -12.1 -6.4 -6.1 -2.2 -11.8 3.1 -4.4 -0.3 -2.2 -2.1 -0.5 -4.2 -0.0 -3.0 6.4 -0.7 2.8 -1.2 -5.8 -0.6 -3.5 BITCOIN 20.0 20.0 6.8 -1.3 -4.8 0.5 -5.7 -0.1 -4.8 1.1 14.5 17.6 15.2 20.0 20.0 -8.1 -7.0 -7.1 -6.9 20.0 20.0 20.0 16.3 20.0 -20.0 7.4 1.6 4.6 5.2 3.7 8.2 -2.8 20.0 20.0 20.0 20.0 1.5 -2.4 -2.3 1.1 BOBL 10.3 -10.1 4.7 -2.0 5.1 -0.7 3.0 0.2 -0.4 10.7 2.8 10.4 -1.8 0.6 -2.7 19.4 -2.2 13.6 5.0 0.2 0.8 13.6 0.1 5.4 3.9 0.4 8.1 0.9 6.6 1.0 2.8 3.3 0.9 12.2 9.9 6.2 -9.8 -14.5 5.3 0.1 BTP 6.7 -7.2 2.7 -3.1 8.1 -1.2 4.7 0.4 -0.7 17.4 11.7 16.8 16.5 5.0 5.0 7.8 5.4 7.0 5.8 6.5 9.1 20.0 11.9 11.2 -20.0 4.0 15.2 5.3 11.7 6.6 6.3 11.7 2.0 16.6 20.0 20.0 -9.0 -12.8 10.7 10.2 BUND 11.4 -10.7 0.8 -2.4 6.1 -0.9 3.6 0.3 -0.5 13.0 2.1 12.3 0.6 0.1 -4.8 -20.0 -8.6 -19.4 -14.2 -0.7 -0.2 18.5 0.1 7.0 1.0 0.2 11.3 0.4 8.9 1.1 3.7 -16.7 6.9 14.7 13.2 4.8 -20.0 -19.7 1.1 -1.1 BUXL 15.6 -2.8 1.4 -2.7 6.8 -1.0 4.0 0.3 -0.6 14.7 2.8 15.9 0.5 6.4 0.6 0.2 -1.3 -0.0 -0.7 3.8 0.7 20.0 -1.3 13.5 -2.6 2.2 14.8 1.0 12.2 0.9 6.7 0.5 11.1 20.0 20.0 6.4 -20.0 -20.0 -8.4 -7.9 CAC -11.3 -11.2 -8.6 3.4 3.3 5.1 3.1 7.6 2.9 -9.5 -14.1 -15.6 -4.2 -17.1 -14.1 -5.4 -3.6 -5.4 -4.8 -16.4 -12.9 -14.6 -6.5 -17.9 -6.1 -6.1 -3.7 -4.4 -5.5 -1.6 -6.7 4.0 -17.1 -20.0 -20.0 -20.0 4.1 6.6 -5.0 -2.8 CAD -3.2 -18.6 -6.4 -5.8 3.0 -3.2 -1.6 -0.8 -5.5 1.1 -17.0 -11.1 -17.9 -18.6 -19.6 -6.1 -4.4 -5.7 -5.2 -20.0 -17.2 -10.2 -12.1 -18.6 0.6 -7.2 -1.4 -5.3 -3.3 -3.5 -6.1 -6.0 -8.5 5.7 -9.1 -6.0 -4.7 -7.4 -8.2 -6.7 CANOLA -20.0 5.1 7.6 -0.5 3.0 -1.5 1.3 -2.5 0.1 -6.4 -1.1 -7.1 -5.3 -5.2 -0.2 -14.9 -12.5 -15.0 -14.3 -3.3 -1.7 -14.9 -3.7 -9.5 -11.7 -0.2 -4.2 0.2 -4.3 -1.0 -2.4 -20.0 -20.0 -13.8 1.5 5.2 -8.4 -12.0 -1.2 -6.3 CHF -15.2 -20.0 -5.4 -3.3 1.7 -1.8 -0.9 -0.5 -3.1 8.4 -3.8 -6.3 -4.4 -10.1 -9.7 -14.9 -16.0 -15.3 -15.4 -13.7 -6.7 -5.4 -2.2 -13.6 3.7 -3.8 0.7 -1.7 -1.6 -0.3 -3.8 -20.0 -1.0 -11.3 -7.6 -4.3 -10.3 -10.5 -18.1 -13.4 COCOA 20.0 19.7 5.4 -0.8 2.1 -2.0 0.5 -3.2 -0.5 6.5 4.9 9.2 6.2 9.5 9.2 5.8 20.0 20.0 20.0 19.9 14.2 20.0 14.8 20.0 -20.0 3.3 2.4 2.7 3.8 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 9.2 4.8 -1.8 4.8 -4.6 1.2 -7.3 -1.1 20.0 19.3 20.0 20.0 20.0 17.9 2.2 4.7 2.4 3.3 20.0 20.0 20.0 20.0 20.0 -20.0 6.7 13.9 4.7 13.5 4.7 10.6 5.1 20.0 20.0 20.0 20.0 -10.9 -7.8 -2.4 0.7 COPPER -17.6 -13.4 -4.5 -0.5 -2.0 0.2 -2.3 -0.0 -2.0 -4.4 -5.3 -8.2 -1.2 -8.5 -4.6 -4.9 -3.5 -4.3 -3.6 -6.1 -2.5 -6.2 0.7 -8.2 -11.1 -1.6 -1.1 0.0 -2.2 1.2 -2.8 3.1 -1.6 1.9 -9.5 -1.6 12.3 11.9 8.7 20.0 CORN -2.3 -1.7 -3.2 -2.0 5.2 -5.0 1.3 -7.9 -1.2 -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 -13.9 -19.9 -11.8 10.7 -1.9 16.7 2.5 COTTON2 -6.3 -4.5 5.6 -1.6 4.3 -4.1 1.1 -6.6 -1.0 17.3 -16.7 0.7 -17.6 -9.3 -7.3 -14.5 -7.5 -14.0 -11.4 -8.6 -11.3 2.8 -16.8 -6.9 -20.0 -4.5 6.3 -4.1 1.4 -3.7 -3.8 -18.0 1.5 -8.2 -15.8 0.8 -17.9 -16.0 -13.8 -11.4 CRUDE_W -0.2 -1.3 -10.4 -0.9 -5.0 -3.2 -0.8 -2.9 0.3 -2.3 -9.3 -3.3 -5.3 -8.8 -6.1 3.8 9.9 5.6 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 -0.9 -5.0 -8.0 2.4 -2.0 7.1 -0.9 11.9 DAX -7.1 -4.7 2.4 3.3 3.2 4.9 3.0 7.4 2.8 12.5 11.9 5.1 15.3 -3.6 11.1 -8.1 -9.7 -8.4 -8.8 4.1 8.2 4.9 11.9 1.6 7.5 1.9 5.4 4.7 2.8 8.2 0.6 -4.9 7.2 -15.7 -3.9 4.5 20.0 11.6 11.8 3.3 DOW 16.2 0.4 8.9 2.4 0.3 3.8 1.6 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 19.2 20.0 17.7 20.0 0.9 2.6 -13.5 -8.6 DX 16.6 20.0 9.6 -3.6 1.9 -2.0 -1.0 -0.5 -3.5 -8.1 8.6 10.6 7.6 13.1 13.2 5.8 6.6 6.0 6.2 19.2 11.0 7.4 4.6 18.5 -20.0 4.4 -1.3 2.5 1.5 1.0 4.1 13.2 -10.2 20.0 20.0 17.0 -2.7 5.0 -2.5 7.2 EUR -17.5 -20.0 -10.3 -3.2 1.6 -1.7 -0.9 -0.5 -3.0 4.8 -7.7 -7.9 -5.6 -10.2 -11.0 -6.1 -7.0 -6.5 -6.7 -15.0 -8.8 -7.7 -3.8 -15.3 13.9 -4.0 0.6 -2.2 -1.9 -0.7 -4.0 -9.5 -6.2 -13.5 -10.6 -7.5 0.0 -12.6 -1.8 -15.3 EURIBOR-ICE 9.9 -5.0 8.8 -1.6 4.1 -0.6 2.4 0.2 -0.3 7.8 6.9 8.7 6.5 4.8 4.2 5.8 0.2 4.9 2.8 4.9 6.6 8.8 6.5 5.9 10.9 2.5 5.5 3.3 4.4 3.4 2.9 4.7 -6.2 10.7 13.4 13.4 -4.5 -15.0 10.9 6.3 EUROSTX -10.3 -11.4 -8.5 3.1 3.0 4.6 2.8 6.9 2.6 -5.9 -2.5 -11.5 8.9 -13.8 -5.4 -3.8 -3.4 -3.9 -4.0 -9.2 -4.3 -7.3 3.1 -10.6 -2.5 -4.5 -1.9 -1.9 -3.4 2.4 -5.1 4.7 -9.1 -20.0 -20.0 -13.0 4.4 3.7 -14.7 -9.4 FEEDCOW 20.0 20.0 6.4 -2.0 5.2 -5.0 1.3 -7.9 -1.2 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 4.1 2.7 -10.7 -1.0 -5.0 -3.0 -1.9 -2.7 -0.3 -3.1 -11.6 0.1 -7.6 1.0 -4.5 2.8 6.5 2.0 2.7 -2.7 -8.7 -1.5 -7.5 1.2 4.2 -1.6 -5.1 -4.9 -0.9 -4.6 0.5 0.1 1.1 7.4 -0.4 -7.8 0.7 -7.3 2.9 -11.7 GASOLINE -0.7 -0.3 -8.0 -0.8 -4.3 -2.7 -0.7 -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 -2.2 -20.0 -0.5 -5.3 -1.0 -2.5 -0.2 -1.0 20.0 -1.5 -4.0 -2.1 5.6 3.1 9.6 7.8 17.2 GAS_US_mini 14.4 3.5 16.7 -0.8 -4.4 -2.8 -0.7 -2.5 0.3 0.1 -13.1 7.2 -16.3 0.7 -3.4 -20.0 -20.0 -20.0 -20.0 -1.0 -5.8 6.8 -11.7 5.1 20.0 -0.9 -1.6 -3.3 4.4 -5.4 3.0 -20.0 6.5 6.0 -17.2 2.5 -13.2 -18.7 -10.2 -15.7 GBP -17.1 -20.0 -6.5 -4.6 2.3 -2.5 -1.2 -0.7 -4.4 13.2 -1.4 -11.3 6.0 -14.9 -13.5 0.5 -0.2 0.4 0.2 -16.0 -5.0 -9.0 3.2 -19.0 -1.3 -4.8 2.4 -1.1 -2.7 1.7 -5.8 2.2 -9.6 -8.8 -5.2 3.6 5.3 -14.8 17.1 -14.3 GOLD_micro -20.0 -20.0 -3.0 -0.6 -2.1 0.2 -2.5 -0.0 -2.1 -0.6 6.1 -2.8 8.9 -3.6 2.9 -9.8 -13.1 -11.8 -12.2 1.4 7.0 -2.4 9.8 -2.9 -8.7 0.8 -0.6 2.9 -1.0 4.0 -1.1 -12.7 10.2 -5.5 2.8 10.9 20.0 2.6 20.0 7.9 HEATOIL 1.5 1.6 -8.3 -0.8 -4.4 -2.8 -0.7 -2.5 0.3 -4.9 -11.6 -2.2 -10.2 -7.0 -5.9 0.8 2.6 -2.0 -2.0 -3.6 -8.3 -2.8 -8.3 -1.0 -19.6 -0.8 -4.9 -3.2 -1.5 -3.6 -0.2 -7.7 -3.9 -0.7 -0.1 0.0 -0.2 2.9 2.5 4.2 JGB-SGX-mini -20.0 -19.2 0.6 -2.0 3.4 -0.7 1.7 0.2 -1.0 0.8 0.7 -8.6 1.7 -9.6 -4.9 20.0 17.0 17.7 16.5 -8.4 -2.5 -8.0 0.5 -11.6 -11.4 -2.8 -0.5 -1.0 -2.6 -0.4 -3.8 20.0 -20.0 -12.6 -0.4 3.3 -20.0 -13.8 -20.0 -9.6 JPY 0.8 -20.0 -1.4 -2.3 1.2 -1.2 -0.6 -0.3 -2.2 6.9 -3.3 3.6 -4.7 -5.0 -6.6 -10.5 -13.6 -10.9 -11.8 -7.4 -5.5 4.5 -5.3 -3.6 20.0 -2.1 3.2 -1.4 1.5 -1.5 -1.0 -19.7 10.3 7.1 -1.2 -1.3 -13.4 -20.0 -10.5 -20.0 LEANHOG -8.2 16.4 20.0 -2.1 5.5 -5.3 1.4 -8.4 -1.2 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 14.7 20.0 20.0 20.0 4.5 -5.2 9.3 0.8 LIVECOW -7.0 0.7 11.5 -2.1 5.7 -5.4 1.4 -8.7 -1.3 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 -0.4 15.0 10.3 -6.3 20.0 1.1 20.0 LUMBER-new 6.6 20.0 16.0 -1.6 4.2 -4.0 1.0 -6.0 -0.9 -10.1 4.0 1.1 -5.1 11.3 15.5 -20.0 -18.7 -19.7 -19.1 18.7 10.2 -0.4 -2.1 13.5 NaN 5.9 -1.9 3.5 0.1 0.1 4.3 -20.0 -20.0 20.0 20.0 20.0 10.6 3.3 18.8 10.1 MILK -16.8 -20.0 0.6 -1.1 2.9 -2.8 0.7 -4.5 -0.7 -8.4 5.2 -10.0 6.5 -12.5 -8.3 -2.5 -2.8 9.5 7.5 -12.7 -0.4 -13.0 5.2 -17.0 13.9 -3.6 -2.4 -0.5 -3.6 0.9 -4.7 1.8 -10.9 -20.0 -20.0 2.0 -7.3 -20.0 -1.7 -20.0 MXP 1.7 -3.7 -13.9 -3.4 1.7 -1.8 -0.9 -0.5 -3.2 -3.8 -12.6 -7.5 -10.4 -9.7 -11.3 11.9 13.3 11.7 11.8 -10.3 -13.0 -5.4 -10.2 -7.6 -20.0 -4.7 -1.2 -5.8 -2.7 -4.3 -3.6 20.0 -6.6 4.0 10.0 -11.1 18.7 20.0 20.0 20.0 NASDAQ_micro 6.4 5.9 7.8 2.5 0.3 3.9 1.7 5.9 1.9 3.5 10.6 5.7 11.8 6.7 11.4 -9.9 -9.8 -9.3 -9.3 10.8 12.2 3.3 15.2 7.4 -20.0 4.1 -0.1 5.3 1.0 7.4 2.5 -5.3 -8.3 0.5 9.2 10.2 8.5 3.9 -5.4 -6.4 NIKKEI -5.2 0.8 3.8 2.4 2.3 3.6 2.2 5.4 2.0 -4.3 5.0 -8.8 6.1 -5.0 7.9 2.2 6.5 2.5 4.1 0.6 2.7 -5.5 6.5 -3.1 -8.6 -1.2 -2.1 -1.2 -2.8 2.0 -1.8 20.0 -10.3 -13.7 -3.7 -14.5 20.0 10.7 20.0 13.1 NZD -6.4 -20.0 -5.7 -3.6 1.8 -2.0 -1.0 -0.5 -3.4 4.3 -8.1 -8.8 -3.3 -12.6 -11.6 -1.2 -0.3 -0.9 -0.6 -12.9 -7.7 -4.8 -3.2 -12.1 1.5 -4.1 1.5 -2.3 -1.5 -0.8 -3.9 1.5 -2.8 1.7 -4.0 1.8 -2.8 -5.9 -2.5 -0.9 OAT 6.7 -8.4 1.1 -2.3 5.9 -0.9 3.4 0.3 -0.5 12.0 -0.3 10.6 -2.2 -2.7 -5.9 9.0 5.6 7.7 6.2 -2.8 -2.5 9.8 -2.3 2.0 3.9 -1.0 10.4 -0.6 6.5 0.0 1.8 12.1 -5.0 6.6 13.3 4.2 -3.6 -14.9 14.8 5.3 OATIES -20.0 -5.8 20.0 -1.0 2.7 -2.6 0.7 -4.1 -0.6 -6.9 1.1 -7.8 -7.0 -6.6 5.6 -13.3 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 1.3 -13.0 -4.8 14.0 20.0 5.0 20.0 14.2 OJ 7.9 4.3 7.8 -1.7 4.5 -4.4 1.1 -6.9 -1.0 18.2 19.5 18.8 20.0 16.3 17.6 20.0 14.1 18.3 15.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.3 11.4 7.2 12.2 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 -1.3 0.5 -4.8 -3.0 -5.3 -1.0 -2.2 -2.1 -2.2 -2.1 -1.6 0.6 -4.2 -1.7 -4.4 13.1 0.1 -1.5 0.8 -1.5 -0.3 -1.2 5.5 4.0 -2.9 2.5 2.3 -12.8 -20.0 -20.0 -20.0 PLAT -17.7 -3.8 0.5 -0.6 -3.3 0.4 -3.3 -0.0 -2.6 -10.9 -5.7 -11.6 -2.9 -10.5 -4.4 -4.1 -4.4 -4.2 -4.4 -5.5 -1.7 -12.2 -0.6 -10.1 5.2 -2.3 -6.3 -0.8 -5.7 -0.4 -4.5 1.5 -6.6 -3.6 -4.4 -7.5 7.4 -8.4 -0.1 -1.9 REDWHEAT -11.9 -8.9 5.8 -1.7 4.6 -4.4 1.1 -7.0 -1.0 -13.5 -17.8 -12.9 -18.9 -16.8 -12.4 -9.6 -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 -12.5 -20.0 -19.1 -9.6 -20.0 -20.0 -20.0 -20.0 RICE 7.5 -8.5 -8.4 -1.6 4.2 -4.0 1.0 -6.3 -0.9 11.9 2.5 13.1 7.9 0.5 -5.3 -10.4 17.7 -7.0 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 6.5 1.2 -13.2 -11.4 -14.8 -20.0 -15.2 -20.0 ROBUSTA 20.0 -13.4 -13.9 -0.7 4.9 -2.4 2.1 -4.0 0.1 11.1 8.5 12.1 10.5 6.6 6.0 6.0 20.0 15.3 20.0 12.5 13.3 20.0 18.4 20.0 -20.0 3.0 10.4 3.3 8.9 5.3 5.5 20.0 20.0 20.0 7.2 20.0 3.7 0.9 8.4 7.5 RUSSELL 16.9 8.3 7.3 2.3 0.3 3.5 1.5 5.4 1.7 9.0 9.5 9.8 10.8 8.6 9.7 -6.3 -6.4 -6.2 -6.2 13.2 10.6 15.6 8.6 15.0 0.4 4.3 3.5 4.0 4.2 3.7 4.5 0.3 13.6 20.0 18.8 13.6 -6.2 -13.0 -20.0 -20.0 SHATZ 8.0 -6.7 14.5 -1.5 4.0 -0.6 2.3 0.2 -0.3 7.0 4.9 7.4 0.2 1.7 0.8 -20.0 -20.0 -20.0 -20.0 2.6 3.8 6.6 1.3 3.9 5.9 1.5 3.5 2.3 3.5 1.4 2.1 -20.0 -8.2 8.2 9.3 9.9 -8.7 -15.3 1.4 -5.8 SILVER-mini -20.0 -6.6 2.3 -0.7 -2.6 0.3 -3.0 -0.0 -2.5 -8.3 3.3 -10.9 7.0 -10.6 0.3 -5.6 -6.4 -5.9 -6.0 -2.3 4.0 -9.2 7.1 -8.3 -2.1 -0.2 -2.9 1.9 -3.4 2.9 -2.8 -1.5 -5.3 -3.4 0.9 3.4 7.4 -1.8 -1.6 7.8 SMI -13.1 -16.7 -15.5 2.4 2.3 3.6 2.2 5.3 2.0 6.3 0.8 -6.2 8.0 -9.8 -7.7 0.7 0.3 0.3 -0.2 -9.5 -3.3 -4.4 3.6 -10.2 7.4 -3.2 1.0 -0.1 -1.6 3.0 -3.8 11.0 -5.9 -20.0 -18.1 -10.8 -6.4 1.6 -19.3 -8.6 SOFR -0.4 -20.0 -11.3 -2.7 4.6 -1.0 2.3 0.3 -1.3 11.3 -1.6 2.9 3.0 -11.3 -12.0 -0.5 0.1 0.5 0.5 -15.2 -7.9 3.8 -1.0 -9.8 -5.8 -3.9 3.3 -2.3 1.0 -0.3 -2.4 2.8 -2.5 -3.9 -15.6 -12.5 0.6 -8.7 17.7 15.2 SOYBEAN -1.5 -6.5 -10.1 -1.5 3.9 -3.7 1.0 -5.9 -0.9 -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 -16.8 -6.2 -20.0 -18.5 2.0 -7.7 7.6 -2.5 SOYMEAL -5.1 -17.0 -5.6 -1.5 4.1 -3.9 1.0 -6.2 -0.9 11.3 -17.3 -5.5 -17.5 -17.1 -17.2 -9.8 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 -0.5 -14.6 -20.0 -15.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -10.3 9.1 15.4 -0.6 1.7 -1.6 0.4 -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 -20.0 -1.2 3.2 5.0 3.2 -6.0 12.3 -0.5 SP400 17.1 7.5 7.2 2.6 0.3 4.1 1.8 6.1 2.0 9.8 11.8 11.8 13.6 10.7 12.4 -7.1 -6.5 -7.2 -6.8 16.3 12.9 20.0 11.2 19.7 -10.2 5.0 4.8 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 10.9 3.8 11.2 3.2 0.4 4.9 2.2 7.5 2.4 11.7 17.3 14.6 18.1 13.7 17.0 -11.6 -11.7 -11.3 -11.3 19.4 20.0 14.4 20.0 16.4 -20.0 6.0 4.0 7.4 4.5 9.4 5.0 -8.8 6.4 11.3 16.4 20.0 5.6 3.8 -12.3 -9.0 SUGAR11 -10.3 -3.7 20.0 -1.4 3.8 -3.6 0.9 -5.8 -0.9 2.3 7.6 -5.1 -5.5 -8.5 8.1 20.0 20.0 20.0 20.0 4.7 7.4 -0.4 2.2 -1.5 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-1.9 -2.7 3.3 -1.8 1.4 -0.6 -1.2 -4.1 -2.3 2.0 -2.5 -6.8 0.1 -7.7 20.0 18.3 US5 -1.3 -20.0 -9.5 -2.2 3.8 -0.8 1.9 0.2 -1.1 9.7 -3.6 1.9 -1.7 -9.9 -10.4 -6.1 -9.7 -7.5 -8.7 -14.4 -8.2 2.5 -3.5 -9.6 6.3 -3.3 2.8 -1.9 0.7 -0.4 -2.1 -13.6 -2.7 -4.5 -14.9 -9.8 -1.5 -16.1 11.8 5.3 VIX -16.9 -9.6 -2.6 -3.0 -3.6 -1.1 -4.1 -2.7 -4.6 -14.3 -11.8 -15.2 -12.5 -14.8 -15.0 -17.5 -20.0 -13.8 -17.5 -8.8 -4.8 -10.2 -8.9 -11.9 NaN -3.5 -4.1 -1.3 -4.7 -3.2 -5.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -12.9 -9.5 4.1 -1.8 4.9 -4.7 1.2 -7.4 -1.1 -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 -16.5 -20.0 -20.0 -8.7 -20.0 -19.1 -20.0 -16.6 End of report for caleb_strategy_v3