******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241209_204445 produced at 2024-12-09 21:41:20.255389 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 False 0.03 -0.32 -1.16 0.0 0.51 -0.51 -0.32 -0.38 -36.21 16.0 -10 -12 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.69 0.0 0.00 0.00 0.00 0.00 -8.45 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.17 -0.23 0.0 999.00 -999.00 -0.17 -0.17 -40.02 999999999.0 -30 -30 caleb_strategy_v3 US2 False True 0.07 0.00 -0.18 0.0 0.00 0.00 0.00 0.00 -2.52 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.07 -0.15 0.0 0.69 -0.69 -0.07 -0.07 -6.43 29.0 -3 -3 caleb_strategy_v3 CHF False False 0.05 -0.39 -0.09 0.0 0.63 -0.63 -0.39 -0.34 -1.94 13.0 -8 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.06 0.0 0.13 -0.13 -0.06 -0.06 -4.69 11.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.09 -0.09 -0.05 -0.05 -8.62 12.0 -7 -7 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.33 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.05 0.0 0.91 -0.91 -0.15 -0.15 -1.26 25.0 -4 -4 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.05 0.0 0.63 -0.63 -0.13 -0.13 -1.17 14.0 -3 -3 caleb_strategy_v3 COPPER False False 0.04 -0.11 -0.05 0.0 999.00 -999.00 -0.11 -0.11 -1.43 999999999.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -1.88 21.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.41 -0.41 -0.02 -0.04 -2.03 19.0 -1 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.50 12.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.04 0.0 0.09 -0.09 -0.03 -0.03 -1.38 3.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -2.95 8.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.05 -1.86 7.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -2.46 9.0 -2 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.64 -0.64 0.00 0.00 -0.70 17.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -2.46 4.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -3.29 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -9.08 51.0 -7 -7 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.02 0.0 0.16 -0.16 0.00 0.00 -1.14 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -1.02 4.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -7.93 26.0 -8 -8 caleb_strategy_v3 GBP False False 0.03 0.00 -0.02 0.0 0.59 -0.59 0.00 0.00 -0.75 22.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.53 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -0.75 5.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.16 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.51 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.43 5.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.01 0.0 0.50 -0.50 -0.04 -0.04 -0.37 13.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.01 0.0 999.00 -999.00 -0.03 -0.03 -0.21 999999999.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.01 0.0 0.51 -0.51 -0.01 -0.01 -0.92 56.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.01 0.0 0.48 -0.48 -0.03 -0.03 -0.50 17.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.00 0.0 0.02 -0.02 0.00 0.00 0.17 3.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.48 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.40 -0.40 0.00 0.00 0.18 23.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.00 0.0 0.26 -0.26 -0.04 -0.04 -0.06 6.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.08 9.0 0 0 caleb_strategy_v3 EUROSTX False True 0.02 -0.04 0.00 0.0 0.00 -0.04 -0.04 -0.02 0.24 20.0 -2 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.17 18.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.01 -0.00 0.0 0.49 -0.49 -0.01 -0.01 -0.08 60.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.48 -0.48 0.00 0.00 0.02 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.25 -0.25 0.00 0.00 0.17 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.18 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False True 0.01 0.04 0.01 0.0 0.04 0.00 0.04 0.04 0.99 23.0 3 3 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v3 SP400 False True 0.11 0.23 0.01 0.0 0.23 0.00 0.23 0.23 0.12 2.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.02 0.02 0.0 0.50 -0.50 0.02 0.01 2.02 66.0 2 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 3.93 68.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 0.02 0.0 0.80 -0.80 0.00 0.00 0.47 19.0 0 0 caleb_strategy_v3 SP500_micro False True 0.01 0.01 0.03 0.0 0.01 0.00 0.01 0.01 2.56 48.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.03 0.0 0.43 -0.43 0.03 0.03 1.06 17.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.07 0.03 0.0 0.90 -0.90 0.07 0.07 0.86 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 1.58 3.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 15.26 59.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.55 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.09 0.0 0.15 -0.15 0.09 0.09 7.49 13.0 8 8 caleb_strategy_v3 FEEDCOW False False 0.04 0.17 0.09 0.0 0.34 -0.34 0.17 0.17 2.10 8.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.14 0.12 0.0 0.45 -0.45 0.14 0.14 2.63 10.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.06 0.12 0.0 0.43 -0.43 0.06 0.07 16.59 58.0 8 10 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.13 0.0 0.32 -0.32 0.05 0.07 14.46 36.0 6 8 caleb_strategy_v3 BTP False False 0.04 0.18 0.16 0.0 0.44 -0.44 0.18 0.18 3.66 10.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.30 0.0 0.87 -0.87 0.00 0.00 14.92 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.8 Shocked risk 40.3 Sum abs risk 44.1 Leverage 5.73 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2958747.22, 'annual_cash_vol_target': 739686.805, 'daily_cash_vol_target': 46230.4253125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6444 0.6726 10.7622 BITCOIN 2281.9828 97545.0000 2.3394 37.4306 BOBL 0.2298 118.8300 0.1934 3.0942 BTP 0.4654 122.9500 0.3785 6.0561 BUND 0.4453 136.0200 0.3274 5.2376 BUXL 1.0938 139.2200 0.7857 12.5706 CAC 59.0810 7488.5000 0.7890 12.6233 CAD 0.0029 0.7090 0.4082 6.5311 CANOLA 9.8059 627.1000 1.5637 25.0191 CHF 0.0054 1.1503 0.4690 7.5035 COCOA 187.6668 10200.0000 1.8399 29.4379 COFFEE 6.4204 330.8500 1.9406 31.0494 COPPER 0.0536 4.2625 1.2584 20.1339 CORN 3.8302 438.5000 0.8735 13.9755 COTTON2 0.8438 69.9500 1.2063 19.3005 CRUDE_W 1.0263 66.4300 1.5449 24.7183 DAX 143.7851 20561.0000 0.6993 11.1890 DOW 281.5383 44581.0000 0.6315 10.1043 DX 0.4136 105.8350 0.3908 6.2532 EUR 0.0054 1.0601 0.5135 8.2153 EURIBOR-ICE 0.0433 98.1300 0.0441 0.7057 EUROSTX 40.7094 4988.0000 0.8161 13.0583 FEEDCOW 1.6561 255.1500 0.6491 10.3850 GASOIL 10.4572 658.0000 1.5892 25.4279 GASOLINE 0.0356 1.9728 1.8030 28.8480 GAS_US_mini 0.1162 2.9950 3.8814 62.1024 GBP 0.0064 1.2746 0.5058 8.0927 GOLD_micro 24.0098 2682.9000 0.8949 14.3187 HEATOIL 0.0375 2.1769 1.7207 27.5307 JGB-SGX-mini 0.2012 142.4100 0.1412 2.2600 JPY 0.0000 0.0067 0.7121 11.3928 LEANHOG 1.0774 86.5000 1.2456 19.9289 LIVECOW 1.0241 187.0750 0.5474 8.7590 LUMBER-new 7.7528 597.0000 1.2986 20.7779 MILK 0.2492 19.3400 1.2885 20.6164 MXP 0.0004 0.0487 0.7878 12.6048 NASDAQ_micro 160.1489 21477.2500 0.7457 11.9307 NIKKEI 378.5519 39350.0000 0.9620 15.3922 NZD 0.0039 0.5875 0.6653 10.6453 OAT 0.4086 126.3200 0.3234 5.1752 OATIES 7.0271 357.2500 1.9670 31.4720 OJ 6.7500 476.5500 1.4164 22.6629 PALLAD 25.2108 988.5000 2.5504 40.8065 PLAT 14.1290 949.3000 1.4884 23.8137 REDWHEAT 8.3238 566.2500 1.4700 23.5198 RICE 0.1370 15.2200 0.9005 14.4073 ROBUSTA 130.2089 5187.0000 2.5103 40.1647 RUSSELL 25.0410 2433.0000 1.0292 16.4676 SHATZ 0.0820 107.2050 0.0765 1.2242 SILVER-mini 0.4936 32.4375 1.5218 24.3480 SMI 81.4376 11770.0000 0.6919 11.0705 SOFR 0.0556 96.4000 0.0577 0.9225 SOYBEAN 8.5246 1004.7500 0.8484 13.5750 SOYMEAL 3.4906 300.3000 1.1624 18.5979 SOYOIL 0.8221 43.2600 1.9004 30.4061 SP400 27.1281 3329.2000 0.8149 13.0377 SP500_micro 33.2844 6065.7500 0.5487 8.7796 SUGAR11 0.2813 19.9700 1.4086 22.5375 US10 0.3710 111.1719 0.3337 5.3400 US10U 0.5311 114.7500 0.4628 7.4049 US2 0.0886 103.1406 0.0859 1.3741 US20 0.7769 119.3750 0.6508 10.4123 US30 1.2518 126.9688 0.9859 15.7746 US5 0.2278 107.6328 0.2116 3.3862 VIX 0.4770 17.0000 2.8061 44.8980 WHEAT 7.3095 601.2500 1.2157 19.4514 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 644.45 0.67 433.48 1.00 433.48 46230.43 106.65 -7.33 -78.16 BITCOIN 97.54 2.34 228.20 1.00 228.20 46230.43 202.59 6.95 140.88 BOBL 1188.30 0.19 229.80 1.06 242.87 46230.43 190.35 2.42 46.14 BTP 1229.50 0.38 465.37 1.06 491.83 46230.43 94.00 11.41 107.29 BUND 1360.20 0.33 445.27 1.06 470.58 46230.43 98.24 0.22 2.18 BUXL 1392.20 0.79 1093.80 1.06 1155.98 46230.43 39.99 4.36 17.43 CAC 748.85 0.79 590.81 1.06 624.40 46230.43 74.04 -5.94 -43.95 CAD 708.95 0.41 289.39 1.00 289.39 46230.43 159.75 -15.51 -247.81 CANOLA 125.42 1.56 196.12 0.71 139.70 46230.43 330.93 -11.28 -373.34 CHF 1437.88 0.47 674.32 1.00 674.32 46230.43 68.56 -10.90 -74.71 COCOA 1020.00 1.84 1876.67 1.00 1876.67 46230.43 24.63 16.34 40.26 COFFEE 1240.69 1.94 2407.66 1.00 2407.66 46230.43 19.20 7.55 14.50 COPPER 1065.62 1.26 1340.95 1.00 1340.95 46230.43 34.48 -3.82 -13.17 CORN 219.25 0.87 191.51 1.00 191.51 46230.43 241.40 -14.67 -354.25 COTTON2 349.75 1.21 421.90 1.00 421.90 46230.43 109.58 -20.00 -219.15 CRUDE_W 664.30 1.54 1026.27 1.00 1026.27 46230.43 45.05 -1.54 -6.93 DAX 205.61 0.70 143.79 1.06 151.96 46230.43 304.23 15.99 486.53 DOW 222.90 0.63 140.77 1.00 140.77 46230.43 328.41 2.64 86.71 DX 1058.35 0.39 413.63 1.00 413.63 46230.43 111.77 5.34 59.71 EUR 1325.12 0.51 680.39 1.00 680.39 46230.43 67.95 -6.61 -44.92 EURIBOR-ICE 2453.25 0.04 108.21 1.06 114.36 46230.43 404.25 10.82 437.30 EUROSTX 498.80 0.82 407.09 1.06 430.24 46230.43 107.45 0.67 7.17 FEEDCOW 1275.75 0.65 828.04 1.00 828.04 46230.43 55.83 11.34 63.30 GASOIL 658.00 1.59 1045.72 1.00 1045.72 46230.43 44.21 -5.31 -23.47 GASOLINE 828.58 1.80 1493.92 1.00 1493.92 46230.43 30.95 -1.60 -4.94 GAS_US_mini 74.88 3.88 290.62 1.00 290.62 46230.43 159.08 -4.60 -73.23 GBP 796.62 0.51 402.93 1.00 402.93 46230.43 114.74 -2.51 -28.82 GOLD_micro 268.29 0.89 240.10 1.00 240.10 46230.43 192.55 -1.40 -27.04 HEATOIL 914.30 1.72 1573.20 1.00 1573.20 46230.43 29.39 -10.83 -31.82 JGB-SGX-mini 142410.00 0.14 20115.17 0.01 134.14 46230.43 344.64 -9.70 -334.40 JPY 836.31 0.71 595.50 1.00 595.50 46230.43 77.63 -2.49 -19.30 LEANHOG 346.00 1.25 430.96 1.00 430.96 46230.43 107.27 11.49 123.28 LIVECOW 748.30 0.55 409.65 1.00 409.65 46230.43 112.85 2.84 32.07 LUMBER-new 164.18 1.30 213.20 1.00 213.20 46230.43 216.84 0.37 7.99 MILK 386.80 1.29 498.40 1.00 498.40 46230.43 92.76 -2.17 -20.15 MXP 243.60 0.79 191.91 1.00 191.91 46230.43 240.90 -0.02 -0.56 NASDAQ_micro 429.54 0.75 320.30 1.00 320.30 46230.43 144.34 2.95 42.56 NIKKEI 39350.00 0.96 37855.19 0.01 252.44 46230.43 183.13 7.29 133.53 NZD 587.50 0.67 390.88 1.00 390.88 46230.43 118.27 -6.11 -72.30 OAT 1263.20 0.32 408.58 1.06 431.81 46230.43 107.06 7.22 77.25 OATIES 178.62 1.97 351.36 1.00 351.36 46230.43 131.58 -4.71 -61.97 OJ 714.82 1.42 1012.50 1.00 1012.50 46230.43 45.66 16.21 74.00 PALLAD 988.50 2.55 2521.08 1.00 2521.08 46230.43 18.34 -2.50 -4.58 PLAT 474.65 1.49 706.45 1.00 706.45 46230.43 65.44 -5.10 -33.36 REDWHEAT 283.12 1.47 416.19 1.00 416.19 46230.43 111.08 -20.00 -222.16 RICE 304.40 0.90 274.10 1.00 274.10 46230.43 168.66 -5.99 -101.07 ROBUSTA 518.70 2.51 1302.09 1.00 1302.09 46230.43 35.50 4.43 15.74 RUSSELL 121.65 1.03 125.20 1.00 125.20 46230.43 369.24 3.21 118.58 SHATZ 1072.05 0.08 82.02 1.06 86.69 46230.43 533.30 -2.47 -131.65 SILVER-mini 810.94 1.52 1234.05 1.00 1234.05 46230.43 37.46 1.72 6.45 SMI 1177.00 0.69 814.38 1.14 925.99 46230.43 49.93 -3.09 -15.40 SOFR 2410.00 0.06 138.95 1.00 138.95 46230.43 332.71 -4.18 -139.06 SOYBEAN 502.38 0.85 426.23 1.00 426.23 46230.43 108.46 -18.39 -199.47 SOYMEAL 300.30 1.16 349.06 1.00 349.06 46230.43 132.44 -20.00 -264.89 SOYOIL 259.56 1.90 493.26 1.00 493.26 46230.43 93.72 -5.50 -51.57 SP400 3329.20 0.81 2712.81 1.00 2712.81 46230.43 17.04 2.11 3.60 SP500_micro 303.29 0.55 166.42 1.00 166.42 46230.43 277.79 3.96 109.95 SUGAR11 223.66 1.41 315.05 1.00 315.05 46230.43 146.74 0.54 7.92 US10 1111.72 0.33 371.03 1.00 371.03 46230.43 124.60 -4.44 -55.32 US10U 1147.50 0.46 531.07 1.00 531.07 46230.43 87.05 -3.32 -28.93 US2 2062.81 0.09 177.16 1.00 177.16 46230.43 260.96 -7.63 -199.06 US20 1193.75 0.65 776.86 1.00 776.86 46230.43 59.51 -1.04 -6.18 US30 1269.69 0.99 1251.80 1.00 1251.80 46230.43 36.93 -1.24 -4.58 US5 1076.33 0.21 227.79 1.00 227.79 46230.43 202.95 -4.88 -99.11 VIX 170.00 2.81 477.04 1.00 477.04 46230.43 96.91 -16.73 -162.14 WHEAT 300.62 1.22 365.47 1.00 365.47 46230.43 126.49 -19.59 -247.81 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -78.163 0.010 2.5 -2.028 BITCOIN 140.885 0.043 2.5 15.256 BOBL 46.137 0.004 2.5 0.468 BTP 107.285 0.014 2.5 3.659 BUND 2.184 0.004 2.5 0.022 BUXL 17.432 0.004 2.5 0.177 CAC -43.950 0.014 2.5 -1.499 CAD -247.808 0.010 2.5 -6.430 CANOLA -373.342 0.010 2.5 -9.083 CHF -74.712 0.010 2.5 -1.938 COCOA 40.261 0.009 2.5 0.862 COFFEE 14.499 0.005 2.5 0.169 COPPER -13.172 0.043 2.5 -1.426 CORN -354.247 0.010 2.5 -8.618 COTTON2 -219.155 0.009 2.5 -4.694 CRUDE_W -6.933 0.043 2.5 -0.751 DAX 486.533 0.014 2.5 16.595 DOW 86.711 0.009 2.5 2.015 DX 59.710 0.010 2.5 1.549 EUR -44.916 0.010 2.5 -1.165 EURIBOR-ICE 437.298 0.014 2.5 14.915 EUROSTX 7.165 0.014 2.5 0.244 FEEDCOW 63.301 0.013 2.5 2.098 GASOIL -23.469 0.017 2.5 -1.017 GASOLINE -4.936 0.017 2.5 -0.214 GAS_US_mini -73.232 0.043 2.5 -7.930 GBP -28.817 0.010 2.5 -0.748 GOLD_micro -27.041 0.014 2.5 -0.922 HEATOIL -31.823 0.017 2.5 -1.379 JGB-SGX-mini -334.396 0.043 2.5 -36.211 JPY -19.295 0.010 2.5 -0.501 LEANHOG 123.278 0.024 2.5 7.492 LIVECOW 32.072 0.013 2.5 1.063 LUMBER-new 7.992 0.009 2.5 0.171 MILK -20.155 0.009 2.5 -0.432 MXP -0.557 0.059 2.5 -0.082 NASDAQ_micro 42.563 0.009 2.5 0.989 NIKKEI 133.529 0.043 2.5 14.459 NZD -72.304 0.010 2.5 -1.876 OAT 77.254 0.014 2.5 2.635 OATIES -61.965 0.010 2.5 -1.508 OJ 73.997 0.009 2.5 1.585 PALLAD -4.581 0.014 2.5 -0.156 PLAT -33.355 0.014 2.5 -1.138 REDWHEAT -222.160 0.005 2.5 -2.947 RICE -101.070 0.010 2.5 -2.459 ROBUSTA 15.737 0.005 2.5 0.184 RUSSELL 118.582 0.013 2.5 3.929 SHATZ -131.645 0.004 2.5 -1.335 SILVER-mini 6.451 0.014 2.5 0.220 SMI -15.402 0.014 2.5 -0.525 SOFR -139.061 0.024 2.5 -8.451 SOYBEAN -199.467 0.004 2.5 -1.855 SOYMEAL -264.886 0.004 2.5 -2.464 SOYOIL -51.571 0.004 2.5 -0.480 SP400 3.601 0.013 2.5 0.119 SP500_micro 109.952 0.009 2.5 2.555 SUGAR11 7.918 0.009 2.5 0.168 US10 -55.323 0.005 2.5 -0.701 US10U -28.926 0.005 2.5 -0.367 US2 -199.059 0.005 2.5 -2.522 US20 -6.180 0.005 2.5 -0.078 US30 -4.581 0.005 2.5 -0.058 US5 -99.107 0.005 2.5 -1.256 VIX -162.141 0.099 2.5 -40.023 WHEAT -247.807 0.005 2.5 -3.287 ===================== Position diags ===================== AUD 2.77 BITCOIN 21.94 BOBL 1.93 BTP 3.21 BUND 1.00 BUXL 0.41 CAC 2.53 CAD 4.14 CANOLA 8.05 CHF 1.78 COCOA 0.53 COFFEE 0.22 COPPER 3.73 CORN 5.87 COTTON2 2.35 CRUDE_W 4.88 DAX 10.38 DOW 7.63 DX 2.90 EUR 1.76 EURIBOR-ICE 13.79 EUROSTX 3.67 FEEDCOW 1.85 GASOIL 1.92 GASOLINE 1.34 GAS_US_mini 17.23 GBP 2.98 GOLD_micro 6.57 HEATOIL 1.27 JGB-SGX-mini 37.32 JPY 2.01 LEANHOG 6.52 LIVECOW 3.74 LUMBER-new 4.64 MILK 1.99 MXP 35.36 NASDAQ_micro 3.35 NIKKEI 19.83 NZD 3.07 OAT 3.65 OATIES 3.20 OJ 0.98 PALLAD 0.63 PLAT 2.23 REDWHEAT 1.47 RICE 4.10 ROBUSTA 0.41 RUSSELL 12.24 SHATZ 5.41 SILVER-mini 1.28 SMI 1.70 SOFR 20.22 SOYBEAN 1.01 SOYMEAL 1.23 SOYOIL 0.87 SP400 0.56 SP500_micro 6.46 SUGAR11 3.12 US10 1.58 US10U 1.10 US2 3.31 US20 0.75 US30 0.47 US5 2.57 VIX 23.92 WHEAT 1.68 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.0 -2.3 -1.8 -1.0 -1 BITCOIN 15.3 13.1 17.4 0.0 0 BOBL 0.5 0.3 0.7 0.0 0 BTP 3.7 3.3 4.0 4.0 4 BUND 0.0 -0.1 0.1 0.0 0 BUXL 0.2 0.1 0.2 0.0 0 CAC -1.5 -1.8 -1.2 0.0 0 CAD -6.4 -6.8 -6.0 -3.0 -3 CANOLA -9.1 -9.9 -8.3 -7.0 -7 CHF -1.9 -2.1 -1.8 -8.0 -8 COCOA 0.9 0.8 0.9 2.0 2 COFFEE 0.2 0.1 0.2 0.0 0 COPPER -1.4 -1.8 -1.1 -3.0 -3 CORN -8.6 -9.2 -8.0 -7.0 -7 COTTON2 -4.7 -4.9 -4.5 -5.0 -5 CRUDE_W -0.8 -1.2 -0.3 -1.0 -1 DAX 16.6 15.6 17.6 8.0 8 DOW 2.0 1.3 2.8 2.0 2 DX 1.5 1.3 1.8 0.0 0 EUR -1.2 -1.3 -1.0 -3.0 -3 EURIBOR-ICE 14.9 13.5 16.3 0.0 0 EUROSTX 0.2 -0.1 0.6 -2.0 -2 FEEDCOW 2.1 1.9 2.3 4.0 4 GASOIL -1.0 -1.2 -0.8 -2.0 -2 GASOLINE -0.2 -0.3 -0.1 -1.0 -1 GAS_US_mini -7.9 -9.7 -6.2 -8.0 -8 GBP -0.7 -1.0 -0.4 0.0 0 GOLD_micro -0.9 -1.6 -0.3 -1.0 -1 HEATOIL -1.4 -1.5 -1.3 -1.0 -1 JGB-SGX-mini -36.2 -39.9 -32.5 -10.0 -10 JPY -0.5 -0.7 -0.3 -1.0 -1 LEANHOG 7.5 6.8 8.1 8.0 8 LIVECOW 1.1 0.7 1.4 1.0 1 LUMBER-new 0.2 -0.3 0.6 0.0 0 MILK -0.4 -0.6 -0.2 0.0 0 MXP -0.1 -3.6 3.5 -1.0 -1 NASDAQ_micro 1.0 0.7 1.3 3.0 3 NIKKEI 14.5 12.5 16.4 6.0 6 NZD -1.9 -2.2 -1.6 0.0 0 OAT 2.6 2.3 3.0 3.0 3 OATIES -1.5 -1.8 -1.2 NaN 0 OJ 1.6 1.5 1.7 1.0 1 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT -1.1 -1.4 -0.9 0.0 0 REDWHEAT -2.9 -3.1 -2.8 -4.0 -4 RICE -2.5 -2.9 -2.0 NaN 0 ROBUSTA 0.2 0.1 0.2 0.0 0 RUSSELL 3.9 2.7 5.2 0.0 0 SHATZ -1.3 -1.9 -0.8 NaN 0 SILVER-mini 0.2 0.1 0.3 0.0 0 SMI -0.5 -0.7 -0.4 0.0 0 SOFR -8.5 -10.5 -6.4 NaN 0 SOYBEAN -1.9 -2.0 -1.8 -3.0 -3 SOYMEAL -2.5 -2.6 -2.3 -2.0 -2 SOYOIL -0.5 -0.6 -0.4 0.0 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 2.6 1.9 3.2 1.0 1 SUGAR11 0.2 -0.1 0.5 0.0 0 US10 -0.7 -0.9 -0.5 0.0 0 US10U -0.4 -0.5 -0.3 -1.0 -1 US2 -2.5 -2.9 -2.2 NaN 0 US20 -0.1 -0.2 -0.0 0.0 0 US30 -0.1 -0.1 -0.0 -1.0 -1 US5 -1.3 -1.5 -1.0 -4.0 -4 VIX -40.0 -42.4 -37.6 -30.0 -30 WHEAT -3.3 -3.5 -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 -0.1 -0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.5 -0.3 -0.2 -0.0 -0.1 -0.2 -0.1 -0.1 BITCOIN 0.5 0.6 0.5 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.2 0.0 0.6 0.6 0.6 0.0 -0.1 -0.1 0.0 BOBL 0.6 -0.1 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.1 0.1 -0.0 0.1 0.0 -0.4 -0.1 -0.0 -0.1 0.1 0.0 0.1 0.0 0.1 0.5 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 0.1 0.3 0.2 -0.3 -0.5 0.3 0.0 BTP 0.6 0.1 0.2 -0.0 0.0 -0.0 0.1 0.0 0.0 0.2 0.4 0.2 0.7 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.8 0.4 0.6 0.6 0.6 -0.2 -0.4 0.4 0.4 BUND 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 0.0 -0.1 -0.2 -0.3 -0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.1 -0.5 -0.1 0.3 0.4 0.2 -0.7 -0.7 0.1 -0.0 BUXL 0.6 0.3 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.2 0.1 0.2 0.0 0.2 -0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.3 0.1 0.5 0.6 0.4 -0.7 -0.7 -0.3 -0.3 CAC 0.0 -0.3 -0.3 0.1 0.0 0.1 0.1 0.3 0.1 0.2 -0.4 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.2 -0.0 -0.9 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 -0.5 -0.6 -0.6 0.2 0.2 -0.1 -0.1 CAD 0.0 -0.5 -0.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.4 -0.2 0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.3 -0.5 -0.5 -0.4 -0.4 -0.2 -0.2 -0.3 -0.2 CANOLA -0.6 -0.1 0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.0 0.0 -0.1 -0.1 -1.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 0.1 -0.4 0.0 0.2 -0.3 -0.4 -0.1 -0.2 CHF 0.1 -0.6 -0.3 -0.0 0.0 -0.1 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 -0.1 0.0 -0.0 -0.0 -1.1 0.1 -0.1 -0.2 -0.2 -0.3 -0.3 -0.5 -0.5 COCOA 0.6 0.6 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.3 0.1 0.1 -0.0 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 0.7 0.7 0.7 0.7 COFFEE 0.6 0.3 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.4 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.5 0.6 0.6 0.6 -0.3 -0.2 -0.0 0.1 COPPER -0.2 -0.5 -0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 -0.0 -1.9 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.1 -0.1 -0.3 -0.0 0.3 0.4 0.2 0.7 CORN -0.2 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.2 -0.5 -0.0 -0.7 -0.1 -0.1 -0.1 -0.3 -0.2 -0.3 -0.1 -0.2 0.0 -0.5 -0.1 -1.4 -0.1 0.1 -0.3 -0.0 -0.5 -0.1 -1.1 -0.0 -0.6 -0.6 -0.5 0.4 -0.1 0.6 0.1 COTTON2 -0.0 -0.2 0.2 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.2 -0.5 -0.0 -0.7 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.5 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.9 -0.5 -0.5 -0.5 -0.0 -0.6 -0.6 -0.5 -0.4 CRUDE_W 0.0 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.4 DAX 0.6 -0.0 0.2 0.1 0.0 0.1 0.1 0.2 0.1 0.2 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 1.0 0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.5 0.6 0.2 0.3 0.7 0.4 0.5 0.1 DOW 0.4 0.2 0.5 0.0 0.0 0.1 0.1 0.2 0.1 -0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -1.8 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.5 0.1 0.4 0.6 -0.1 0.1 -0.5 -0.3 DX 0.0 0.6 0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.3 0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 0.2 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 0.7 -0.5 0.6 0.6 0.6 -0.1 0.1 -0.1 0.2 EUR -0.1 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 1.9 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.5 0.0 -0.3 -0.3 -0.3 0.0 -0.4 0.0 -0.4 EURIBOR-ICE 0.5 0.0 0.3 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.1 0.3 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.1 1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.5 -0.0 0.1 0.4 0.5 -0.1 -0.5 0.4 0.2 EUROSTX 0.3 -0.3 -0.2 0.1 0.0 0.1 0.1 0.2 0.1 0.2 -0.0 0.2 0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 0.1 0.1 -0.4 -0.0 0.1 -0.0 0.1 0.1 0.0 0.3 0.5 0.1 -0.6 -0.5 0.2 0.1 -0.4 -0.3 FEEDCOW 0.6 0.6 0.5 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.1 0.2 0.2 -0.3 0.2 0.2 0.2 -0.1 0.2 0.2 0.2 0.1 0.2 -0.1 0.2 -1.8 0.1 0.0 0.1 0.0 -0.0 0.1 0.2 -0.0 0.6 0.6 0.6 0.6 0.6 0.7 0.7 GASOIL 0.0 0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.2 -0.0 -0.0 -0.2 0.0 -0.2 0.1 -0.4 GASOLINE -0.0 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.4 0.0 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.3 0.1 -0.0 0.2 0.1 0.3 0.3 0.5 GAS_US_mini 0.3 0.2 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.2 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.3 -0.0 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.3 0.3 -0.1 -0.0 -0.3 -0.5 -0.3 -0.4 GBP -0.1 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.2 -0.1 -0.1 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 -0.0 0.1 0.3 -0.2 -0.1 0.1 0.2 -0.4 0.6 -0.4 GOLD_micro -0.2 -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 -1.3 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.6 -0.1 -0.1 0.1 0.3 0.7 0.1 0.7 0.3 HEATOIL -0.1 0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.4 -0.1 -0.1 -0.1 0.0 -0.0 0.1 0.0 0.1 JGB-SGX-mini -0.3 -0.6 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -1.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.5 -0.6 -0.4 -0.1 -0.7 -0.5 -0.7 -0.4 JPY 0.5 -0.4 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.2 -0.3 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 0.0 2.7 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.0 0.2 0.4 0.1 -0.1 -0.4 -0.7 -0.3 -0.7 LEANHOG -0.1 0.4 0.6 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.1 0.3 0.1 0.2 0.2 0.2 -0.4 0.1 -0.2 0.1 0.2 0.2 0.1 0.2 0.2 -0.1 0.1 0.0 0.2 0.1 0.1 0.1 0.8 0.5 0.6 0.6 0.6 0.2 -0.2 0.4 0.0 LIVECOW -0.0 -0.2 0.4 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.1 0.5 -0.0 0.7 -0.0 0.2 -0.1 0.1 -0.1 0.0 0.1 0.2 -0.1 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 0.2 -0.4 0.4 0.1 0.4 -0.2 0.6 0.0 0.7 LUMBER-new -0.4 0.7 0.7 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.2 0.2 -0.2 -0.2 0.1 0.2 -0.5 -0.4 -0.5 -0.4 0.2 0.1 -0.1 -0.0 0.0 NaN 0.1 -0.1 0.1 -0.1 0.0 -0.0 -1.2 -0.6 -0.3 0.7 0.7 0.5 0.2 0.8 0.4 MILK -0.0 -0.6 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 -0.0 0.0 0.1 -0.1 1.8 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.3 -0.1 -0.6 -0.1 -0.3 -0.7 -0.2 -0.7 MXP 0.2 -0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.4 0.1 -0.4 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.2 0.0 -0.3 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 -0.0 1.1 -0.0 0.2 0.1 -0.3 0.5 0.7 0.7 0.7 NASDAQ_micro 0.3 0.3 0.4 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.3 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.3 0.1 -0.1 0.2 0.3 0.3 0.1 -0.1 -0.3 NIKKEI -0.0 0.1 0.2 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.2 0.1 0.3 0.0 0.1 0.2 0.1 0.1 0.1 0.0 0.0 0.1 0.2 0.1 -1.3 0.0 0.0 -0.0 0.1 0.1 0.0 1.1 0.0 -0.3 -0.3 -0.4 0.7 0.4 0.7 0.5 NZD -0.0 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.2 -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 -0.2 -0.1 0.0 -0.2 -0.2 -0.1 -0.0 OAT 0.6 -0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.2 -0.1 0.1 -0.0 -0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.7 0.1 0.1 0.3 0.2 -0.1 -0.5 0.6 0.2 OATIES -0.2 -0.3 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 0.0 -0.4 -0.0 -0.2 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.3 -0.3 -0.2 0.4 0.7 0.2 0.7 0.5 OJ 0.5 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.1 0.4 0.1 1.1 0.1 0.6 0.6 0.6 0.6 0.3 0.7 0.7 PALLAD -0.2 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 1.9 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.3 -0.2 -0.1 -0.0 0.0 -0.5 -0.7 -0.7 -0.7 PLAT -0.2 -0.3 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.4 -0.4 -0.3 -0.3 0.3 -0.3 0.1 -0.1 REDWHEAT -0.1 -0.4 0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.2 -0.5 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.9 -0.1 -0.6 -0.6 -0.4 -0.7 -0.7 -0.6 -0.7 RICE 0.3 -0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.0 0.1 0.3 0.1 -0.0 -0.2 0.3 -0.1 0.1 -0.0 -0.0 0.0 0.1 0.0 -2.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.0 0.6 -0.3 -0.4 -0.4 -0.7 -0.4 -0.7 ROBUSTA 0.4 -0.5 -0.6 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 0.2 0.0 0.3 0.0 0.0 0.1 0.4 0.3 0.4 0.1 0.1 0.0 0.2 0.1 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.1 0.6 0.3 0.5 0.2 0.1 0.3 0.3 RUSSELL 0.3 0.3 0.4 0.0 0.0 0.1 0.1 0.2 0.1 -0.1 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.3 0.1 0.1 0.1 -0.0 0.1 0.0 0.2 0.0 0.0 -0.5 -0.1 0.6 0.5 -0.2 -0.4 -0.7 -0.7 SHATZ 0.3 -0.1 0.4 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 0.2 0.0 0.0 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 0.0 0.0 0.0 0.8 0.0 -0.0 0.1 0.0 0.1 0.0 -1.1 -0.3 -0.1 0.2 0.3 -0.3 -0.5 0.1 -0.2 SILVER-mini -0.2 -0.3 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 -0.0 -0.4 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.2 0.2 0.1 0.2 0.2 -0.1 -0.0 0.2 SMI -0.1 -0.6 -0.4 0.0 0.0 0.1 0.1 0.2 0.1 0.0 0.0 0.0 0.3 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.0 1.2 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.6 -0.2 -0.5 -0.6 -0.6 -0.2 0.1 -0.6 -0.3 SOFR 0.6 -0.6 -0.5 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.4 -0.3 -0.4 -0.6 -0.5 -0.0 -0.2 0.6 0.5 SOYBEAN -0.2 -0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.5 -0.2 -0.6 -0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.2 -0.6 -0.6 -0.5 0.1 -0.2 0.3 -0.1 SOYMEAL 0.1 -0.5 -0.3 -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 -0.2 -0.1 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.3 -0.2 -0.2 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.2 0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.9 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.5 -0.0 0.2 0.1 -0.2 0.4 0.0 SP400 0.3 0.3 0.4 0.0 0.0 0.1 0.1 0.2 0.1 -0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.4 0.2 -1.4 0.1 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.5 0.0 0.6 0.6 -0.1 -0.2 -0.6 -0.7 SP500_micro 0.4 0.2 0.6 0.1 0.0 0.1 0.1 0.3 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.4 0.1 -0.5 -0.2 -0.0 0.3 0.6 0.1 0.1 -0.4 -0.4 SUGAR11 -0.2 -0.2 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 0.4 0.2 -0.0 0.6 -0.7 0.1 -0.7 0.2 US10 0.6 -0.6 -0.4 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.0 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.3 -0.4 -0.4 -0.2 -0.6 0.3 0.3 US10U 0.6 -0.5 -0.4 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.3 -0.3 -0.4 -0.4 -0.1 -0.4 0.6 0.5 US2 0.4 -0.6 -0.4 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.2 -0.0 2.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -1.1 -0.1 -0.5 -0.6 -0.4 -0.3 -0.5 0.0 -0.2 US20 0.5 -0.4 -0.4 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 -0.2 -0.3 -0.2 -0.3 -0.0 -0.3 0.7 0.6 US30 0.5 -0.3 -0.3 -0.0 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 -0.0 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.2 -0.3 -0.2 -0.3 -0.0 -0.2 0.7 0.6 US5 0.6 -0.6 -0.5 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.1 -0.1 -0.0 0.9 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.5 -0.2 -0.3 -0.5 -0.4 -0.1 -0.5 0.3 0.2 VIX -0.3 -0.6 -0.3 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 0.2 -0.6 -0.1 -0.9 -0.3 -0.3 -0.6 -0.6 -0.5 -0.6 -0.2 -0.1 -0.1 -0.5 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.3 -0.4 0.0 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 0.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -1.1 -0.2 -0.6 -0.6 -0.5 -0.7 -0.7 -0.5 -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 -3.4 -17.7 -7.0 -3.8 0.8 -2.7 0.3 -0.9 -2.2 -6.6 -9.5 -10.7 -3.4 -14.2 -14.2 -0.4 -1.5 -0.4 -0.8 -12.9 -8.0 -10.6 -3.4 -12.8 3.5 -5.0 -3.4 -2.9 -4.4 -1.0 -5.0 -0.0 -20.0 -9.7 -5.9 -0.2 -2.9 -5.2 -2.2 -3.9 BITCOIN 16.1 20.0 14.8 -1.4 6.0 0.1 1.5 -0.2 -2.2 7.7 17.8 17.2 17.4 20.0 20.0 -10.2 -7.3 -8.2 -7.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 0.5 5.8 3.4 4.6 6.9 -3.5 0.7 20.0 20.0 20.0 0.7 -2.7 -3.0 0.5 BOBL 20.0 -2.7 4.3 -0.0 1.8 -0.1 3.7 0.4 2.4 -2.7 4.7 5.6 -1.2 6.1 1.5 -20.0 -5.7 -2.5 -2.7 5.0 3.1 7.0 1.0 9.2 3.8 2.2 -0.8 1.6 2.7 1.2 3.7 -0.8 -7.9 3.3 7.9 7.5 -8.1 -13.6 7.5 1.0 BTP 20.0 2.9 5.7 -0.0 3.0 -0.2 6.3 0.6 4.1 18.6 15.8 20.0 18.8 17.9 14.1 5.6 5.3 6.2 5.5 19.9 16.1 20.0 16.1 20.0 -20.0 6.3 6.2 5.1 9.9 5.0 9.1 15.9 17.9 20.0 20.0 20.0 -5.4 -11.9 12.8 10.6 BUND 20.0 -1.5 1.4 -0.0 2.2 -0.2 4.5 0.5 2.9 -0.2 5.0 8.9 1.5 8.2 1.8 -6.0 -7.5 -13.1 -11.4 6.7 3.2 11.9 1.4 13.7 0.8 2.8 -0.2 1.6 4.3 1.3 5.1 -9.3 -3.8 8.3 11.0 7.5 -20.0 -19.7 2.8 -1.2 BUXL 20.0 8.0 3.4 -0.0 2.6 -0.2 5.4 0.5 3.5 3.8 7.4 13.3 2.0 13.6 8.8 0.6 -1.1 0.2 -0.5 13.9 6.0 18.8 0.7 20.0 -3.2 4.5 0.0 2.3 5.7 1.3 7.1 5.3 2.2 16.4 20.0 11.3 -20.0 -20.0 -8.8 -8.4 CAC 1.0 -9.8 -8.3 5.3 5.0 5.5 7.3 7.1 6.6 18.3 -15.4 10.3 -5.5 -6.7 -12.4 -5.5 -3.7 -5.5 -4.9 -11.4 -13.3 18.9 -7.8 -0.3 -6.5 -4.4 15.0 -4.9 8.4 -2.1 0.2 3.9 13.3 -14.5 -20.0 -20.0 4.8 7.0 -4.1 -2.8 CAD 0.3 -14.0 -9.7 -5.3 1.1 -3.8 0.4 -1.3 -3.0 -19.1 -18.9 -19.4 -18.8 -20.0 -20.0 -6.1 -4.5 -5.9 -5.3 -20.0 -18.4 -19.8 -13.1 -20.0 1.1 -7.6 -8.2 -6.0 -6.9 -4.0 -7.2 -6.3 -20.0 -16.8 -12.7 -11.0 -5.9 -7.2 -8.3 -7.4 CANOLA -20.0 -2.8 6.0 -0.6 1.8 -1.5 0.3 -2.5 -0.3 6.4 -2.1 -2.6 -5.4 -3.9 -1.5 -13.3 -12.5 -14.4 -14.1 -4.0 -2.7 0.9 -4.1 -4.9 -11.2 -0.5 3.7 -0.1 0.6 -1.1 -1.1 -20.0 4.1 -13.0 1.3 4.9 -9.0 -11.2 -2.8 -5.6 CHF 1.6 -20.0 -10.5 -3.2 0.7 -2.3 0.3 -0.8 -1.8 10.0 -5.4 6.4 -5.5 -6.9 -9.8 -14.8 -16.0 -15.2 -15.4 -12.1 -7.9 1.8 -3.4 -7.4 3.9 -3.7 1.8 -2.2 0.5 -0.6 -2.3 -20.0 3.3 -1.6 -7.2 -6.9 -9.8 -9.4 -14.3 -14.0 COCOA 20.0 20.0 8.6 -0.9 2.6 -2.2 0.4 -3.6 -0.5 9.7 7.3 10.7 7.8 11.0 10.9 -0.3 20.0 18.0 20.0 20.0 19.4 20.0 17.7 20.0 -20.0 3.9 2.8 3.2 3.2 4.0 4.1 20.0 17.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 20.0 9.2 0.5 -1.4 4.1 -3.5 0.7 -5.7 -0.8 14.0 15.2 14.3 15.7 14.2 14.1 3.1 4.6 2.7 3.4 20.0 19.7 20.0 16.4 20.0 -20.0 5.8 6.0 4.1 6.7 3.5 7.3 6.3 20.0 20.0 20.0 20.0 -7.7 -6.3 -0.8 2.0 COPPER -5.4 -14.0 -3.8 -0.7 3.0 0.1 0.7 -0.1 -1.1 10.6 -7.5 1.0 -2.0 -7.9 -7.6 -6.1 -3.7 -5.0 -4.1 -6.8 -4.0 2.8 0.3 -4.5 -14.1 -1.7 4.1 -0.2 1.6 1.6 -1.3 2.5 4.4 -2.7 -10.7 -0.9 9.3 13.0 6.0 20.0 CORN -4.7 0.8 -0.8 -2.0 5.7 -4.9 0.9 -8.0 -1.1 19.8 -20.0 -4.3 -20.0 -13.5 -10.4 -7.0 -13.3 -9.8 -12.5 -13.1 -20.0 2.7 -20.0 -8.5 -10.5 -7.9 7.9 -9.6 -0.7 -12.7 -6.5 -20.0 -1.7 -20.0 -19.5 -14.7 13.1 -1.6 19.3 3.0 COTTON2 -1.2 -5.6 5.3 -1.7 5.1 -4.3 0.8 -7.1 -0.9 -17.7 -17.5 -3.1 -19.1 -8.5 -9.2 -14.6 -8.0 -14.2 -11.8 -9.2 -12.7 -9.0 -18.8 -8.3 -20.0 -5.5 -8.3 -5.1 -5.7 -4.5 -5.6 -17.6 -20.0 -16.0 -14.7 -1.2 -18.4 -17.7 -15.5 -13.0 CRUDE_W 0.7 -0.6 -7.6 -2.8 -1.4 -3.9 -4.1 -3.3 -3.5 -6.5 -10.7 -8.5 -6.8 -12.0 -7.0 3.6 9.6 5.2 7.4 -6.9 -8.9 -4.9 -6.0 -5.4 -1.4 -3.8 -1.6 -4.8 -3.6 -3.6 -3.8 7.7 8.9 0.4 -1.8 3.1 -2.2 6.7 -1.1 11.7 DAX 17.8 -0.7 6.8 5.1 4.8 5.2 7.1 6.8 6.4 16.7 15.4 18.4 17.4 14.0 16.5 -8.3 -9.7 -8.4 -8.8 18.7 14.6 20.0 15.3 20.0 7.7 5.3 10.3 4.2 12.1 5.0 8.7 -4.8 20.0 20.0 6.8 9.8 20.0 13.3 13.6 3.5 DOW 12.4 5.1 14.0 4.1 3.8 4.2 5.6 5.4 5.1 -11.7 14.3 9.6 15.1 13.2 14.4 -10.5 -10.6 -10.2 -10.2 20.0 20.0 7.4 18.6 17.5 -13.2 5.5 -1.6 5.8 1.3 5.9 4.1 -6.8 -19.6 3.5 12.7 20.0 -1.9 1.5 -14.1 -8.7 DX 1.5 20.0 15.0 -3.6 0.8 -2.6 0.3 -0.9 -2.1 -5.7 10.3 1.1 9.0 10.8 13.5 5.5 6.5 5.9 6.1 18.4 13.4 0.9 6.7 11.5 -20.0 4.5 -0.3 3.2 0.1 1.5 2.7 13.0 -20.0 20.0 20.0 20.0 -3.4 3.7 -2.8 5.6 EUR -3.4 -19.8 -14.2 -3.0 0.6 -2.1 0.3 -0.7 -1.7 4.3 -8.5 -0.6 -6.4 -8.0 -10.5 -6.2 -7.0 -6.5 -6.7 -14.1 -10.3 -1.9 -5.1 -10.0 14.3 -4.0 0.5 -2.8 -0.5 -1.1 -2.8 -9.6 0.7 -8.1 -10.2 -10.8 1.2 -10.6 0.5 -12.8 EURIBOR-ICE 15.0 0.2 7.8 -0.0 1.4 -0.1 3.0 0.3 1.9 2.4 7.8 5.8 7.1 7.1 6.3 5.5 0.5 5.0 3.1 8.7 8.4 8.6 7.5 10.1 10.8 3.1 1.1 3.0 3.1 2.7 3.6 9.7 -1.7 4.2 12.7 14.4 -4.4 -13.6 13.0 7.3 EUROSTX 7.7 -7.8 -5.8 4.9 4.6 5.0 6.8 6.6 6.1 16.9 -1.3 16.1 10.2 1.3 -2.3 -4.0 -3.4 -4.0 -4.0 -1.1 -2.4 20.0 3.9 9.8 -2.8 -0.6 12.7 -0.9 11.2 2.7 4.5 4.7 19.4 3.0 -20.0 -14.2 5.1 4.2 -12.2 -9.9 FEEDCOW 20.0 20.0 14.6 -1.9 5.7 -4.8 0.9 -7.9 -1.0 -7.2 6.7 16.0 -9.2 18.6 19.4 9.3 -3.3 12.4 8.4 20.0 12.0 17.4 -4.0 20.0 -13.6 6.9 0.1 2.4 4.0 -0.6 7.8 3.7 -1.4 20.0 20.0 20.0 17.5 17.7 20.0 20.0 GASOIL 0.8 2.8 -8.0 -2.6 -1.3 -3.6 -3.8 -3.1 -3.2 -8.6 -12.8 -12.1 -9.2 -7.6 -6.4 2.3 6.3 2.0 2.6 -5.9 -9.9 -9.3 -8.5 -6.1 4.4 -3.3 -4.0 -5.5 -5.1 -5.1 -3.4 0.1 -10.2 -0.8 -1.2 -7.1 0.2 -7.3 2.4 -11.6 GASOLINE -0.5 -0.9 -5.2 -2.5 -1.2 -3.4 -3.6 -2.9 -3.0 0.8 -9.1 -9.6 -3.8 -11.6 -3.7 -7.1 18.9 2.4 12.6 -4.6 -5.4 -3.6 -2.9 -4.4 -20.0 -1.2 0.3 -1.3 -1.6 -0.3 -1.8 20.0 10.4 2.8 -0.0 7.2 3.0 8.8 7.6 15.9 GAS_US_mini 8.1 6.0 15.6 -1.8 -0.9 -2.5 -2.7 -2.2 -2.3 -8.8 -10.2 -6.7 -12.5 -3.4 -4.3 -8.3 -20.0 -20.0 -20.0 -2.5 -4.9 -4.2 -9.5 -2.3 20.0 -2.4 -1.9 -3.1 -3.5 -4.5 -2.6 -20.0 -10.4 8.0 -3.0 -0.1 -10.3 -15.7 -8.0 -13.3 GBP -3.2 -20.0 -10.2 -4.5 1.0 -3.2 0.4 -1.1 -2.6 15.1 -4.1 5.1 5.1 -8.4 -13.2 0.5 -0.1 0.5 0.2 -13.5 -6.3 4.1 2.3 -8.1 -1.1 -4.5 3.3 -1.6 1.6 1.6 -2.6 2.1 13.5 -5.9 -2.4 3.6 5.2 -12.4 18.6 -11.9 GOLD_micro -5.3 -20.0 -3.8 -0.6 2.7 0.1 0.7 -0.1 -1.0 4.2 5.6 -0.1 9.1 -3.8 1.1 -9.2 -12.8 -11.1 -11.9 0.9 7.1 -0.4 11.2 -2.1 -9.8 0.6 1.0 3.1 -0.2 4.8 -0.9 -12.2 -4.2 -1.7 2.2 9.1 20.0 3.3 20.0 8.4 HEATOIL -2.1 2.0 -5.8 -2.5 -1.2 -3.4 -3.5 -2.9 -3.0 -6.4 -12.8 -12.6 -11.4 -12.9 -8.7 2.8 2.7 -0.6 -1.3 -6.9 -9.5 -9.1 -9.1 -7.8 -19.9 -3.1 -2.4 -4.0 -5.4 -4.0 -4.6 -6.7 -4.0 -3.8 -2.1 1.0 -0.8 2.2 1.5 3.1 JGB-SGX-mini -10.1 -19.3 -3.5 -0.0 1.7 -0.1 3.6 0.4 2.3 -3.6 -1.0 -8.9 1.1 -10.6 -8.7 17.5 13.8 15.4 14.6 -10.1 -4.7 -5.0 -0.6 -9.9 -12.7 -3.4 -0.7 -1.8 -1.7 -0.9 -3.3 20.0 -18.8 -20.0 -12.1 -3.5 -20.0 -16.3 -20.0 -12.1 JPY 15.9 -12.0 -4.5 -2.2 0.5 -1.6 0.2 -0.5 -1.3 1.7 -3.2 6.3 -4.9 1.4 -5.4 -10.4 -13.4 -10.8 -11.7 -3.7 -4.6 4.2 -5.5 1.8 20.0 -1.0 -0.4 -1.3 1.5 -1.8 0.8 -19.6 7.4 11.0 4.1 -1.8 -11.5 -20.0 -8.6 -20.0 LEANHOG -3.2 11.7 20.0 -2.0 5.9 -5.0 1.0 -8.3 -1.1 -12.9 12.7 12.1 5.6 18.7 20.0 -20.0 7.0 -12.1 7.5 20.0 20.0 7.6 6.4 17.7 -0.8 8.8 0.7 6.8 5.0 2.7 7.9 14.8 20.0 20.0 20.0 20.0 6.4 -5.9 11.0 0.1 LIVECOW -0.3 -5.2 12.2 -2.1 6.2 -5.3 1.0 -8.7 -1.2 -11.8 20.0 -0.2 18.4 -2.1 18.9 -5.2 4.1 -4.3 0.7 10.5 16.8 -6.5 18.3 2.0 -20.0 4.0 -5.3 6.1 -2.8 7.9 1.1 4.6 -16.7 12.3 3.7 13.4 -4.6 19.4 1.4 20.0 LUMBER-new -11.1 18.6 17.7 -1.6 4.6 -3.9 0.8 -6.1 -0.8 -16.7 6.6 -14.4 -3.9 5.6 12.7 -19.7 -18.8 -19.8 -19.2 13.6 10.3 -12.9 -0.8 2.3 NaN 4.4 -7.6 3.7 -5.3 0.3 -0.1 -20.0 -20.0 -6.9 20.0 20.0 12.8 4.1 20.0 11.6 MILK -0.1 -20.0 -4.6 -1.1 3.2 -2.7 0.5 -4.5 -0.6 10.2 3.4 1.5 5.9 -9.5 -9.3 -4.8 -3.1 6.1 5.9 -10.7 -1.9 3.4 4.1 -7.5 13.8 -3.1 2.6 -0.8 1.4 0.7 -1.8 1.6 13.7 -1.9 -17.9 -4.5 -9.4 -20.0 -4.6 -20.0 MXP 7.1 -0.5 -11.7 -3.3 0.7 -2.4 0.3 -0.8 -1.9 12.6 -13.3 8.1 -11.5 -4.8 -10.0 11.7 13.2 11.7 11.8 -8.3 -14.0 5.5 -12.1 -0.9 -20.0 -4.1 3.9 -6.8 2.9 -5.6 -0.5 20.0 -1.3 7.7 4.0 -9.6 15.6 20.0 20.0 20.0 NASDAQ_micro 8.7 8.5 13.5 4.0 3.7 4.1 5.5 5.3 5.0 10.1 12.8 13.0 13.2 13.0 14.1 -10.6 -9.9 -9.8 -9.5 17.1 16.0 18.2 18.0 18.4 -20.0 5.2 3.0 5.7 4.8 7.4 5.1 -5.5 4.7 -2.1 6.1 9.4 10.1 4.4 -3.9 -7.6 NIKKEI -0.7 1.9 5.7 4.1 3.8 4.1 5.6 5.4 5.1 9.2 6.4 7.3 7.4 2.8 10.2 7.7 6.9 4.8 5.2 4.0 4.3 10.0 8.4 5.8 -9.6 0.7 5.2 -0.7 5.7 2.6 3.2 20.0 0.1 -9.6 -7.7 -11.5 20.0 13.2 20.0 16.3 NZD -0.5 -17.3 -8.8 -3.4 0.7 -2.4 0.3 -0.8 -1.9 -4.8 -9.9 -7.5 -4.8 -11.8 -12.8 -1.5 -0.5 -1.1 -0.7 -11.9 -8.6 -4.8 -4.2 -9.2 1.8 -4.3 -1.2 -2.9 -1.8 -1.3 -3.3 1.1 -5.8 -4.8 -3.3 0.1 -4.8 -4.8 -4.5 -0.5 OAT 18.4 -2.2 0.6 -0.0 2.2 -0.2 4.6 0.5 2.9 13.7 2.4 15.0 -1.9 9.7 -0.2 -6.4 4.0 1.7 3.2 3.9 0.0 15.9 -1.7 12.0 4.2 2.3 5.2 0.8 7.3 0.5 5.8 13.0 2.4 3.5 9.9 6.1 -2.0 -14.3 17.2 5.8 OATIES -7.5 -9.9 20.0 -0.9 2.5 -2.2 0.4 -3.5 -0.5 -7.6 0.7 -5.7 -5.8 -6.3 4.2 -18.3 -1.0 -8.7 -3.5 0.0 2.0 -4.4 -0.4 -2.9 -20.0 -0.8 -4.1 0.6 -3.0 0.1 -2.5 -3.8 -11.1 -8.4 -5.5 10.9 20.0 5.4 20.0 13.9 OJ 16.1 5.6 9.3 -1.8 5.2 -4.5 0.9 -7.3 -1.0 -12.1 20.0 16.1 20.0 18.4 19.8 20.0 14.5 18.6 15.6 20.0 20.0 11.3 20.0 20.0 -20.0 7.5 -0.7 7.5 4.9 10.7 8.0 20.0 4.5 20.0 20.0 20.0 17.0 9.0 20.0 20.0 PALLAD -6.0 -8.2 13.1 -0.5 2.3 0.0 0.6 -0.1 -0.8 0.4 -0.6 -3.0 -3.4 -6.8 -3.6 -2.0 -2.1 -2.1 -2.0 -3.1 -0.4 -3.5 -2.3 -5.1 14.0 -0.7 -0.3 0.4 -1.7 -0.4 -2.1 5.6 -7.5 -2.4 -1.1 1.0 -14.9 -20.0 -20.0 -20.0 PLAT -7.0 -10.3 0.6 -0.8 3.7 0.1 0.9 -0.1 -1.3 0.7 -7.9 -7.4 -4.0 -11.8 -7.3 -4.5 -4.4 -4.4 -4.4 -7.3 -3.5 -5.5 -1.4 -8.8 5.8 -3.8 -1.6 -1.7 -4.4 -0.8 -5.5 1.4 -18.1 -13.0 -8.8 -9.5 8.4 -8.6 1.9 -2.4 REDWHEAT -4.6 -12.3 2.1 -1.8 5.2 -4.4 0.9 -7.3 -1.0 13.9 -19.7 -7.3 -19.9 -17.5 -16.6 -10.8 -8.0 -10.7 -10.0 -18.2 -17.4 -3.9 -20.0 -15.8 -3.5 -6.8 4.7 -6.2 -1.0 -6.6 -5.8 -16.4 -6.2 -17.4 -20.0 -12.7 -20.0 -20.0 -18.5 -20.0 RICE 10.3 -5.1 -7.3 -1.7 4.9 -4.2 0.8 -6.8 -0.9 -8.1 0.4 9.2 8.3 7.3 -2.3 -8.8 16.2 -7.1 4.7 -2.4 -3.7 0.8 2.3 2.3 -14.8 -3.3 -3.3 -3.5 -1.2 -0.7 -0.9 20.0 -1.6 20.0 -9.0 -12.0 -11.0 -20.0 -11.3 -20.0 ROBUSTA 12.9 -16.2 -19.2 -0.7 2.0 -1.7 0.3 -2.8 -0.4 1.1 5.7 1.6 7.2 2.2 3.2 4.2 20.0 12.5 19.1 5.6 6.6 4.8 9.0 5.8 -20.0 2.2 1.4 2.5 1.6 3.9 2.3 20.0 5.7 20.0 10.2 14.3 5.4 1.7 9.6 8.1 RUSSELL 8.1 10.7 11.2 3.9 3.6 3.9 5.3 5.1 4.8 -10.4 11.6 6.4 12.6 10.8 12.0 -6.3 -6.4 -6.2 -6.1 16.0 14.4 3.5 11.6 12.6 0.8 4.9 -1.0 5.0 0.8 4.6 3.5 0.5 -20.0 -4.6 17.3 14.4 -7.4 -12.1 -20.0 -20.0 SHATZ 10.1 -3.6 12.2 -0.0 1.4 -0.1 2.9 0.3 1.9 -6.1 5.8 1.3 0.7 3.8 2.4 -20.0 -20.0 -20.0 -20.0 4.3 4.6 1.5 1.8 4.4 5.8 2.2 -1.8 2.4 0.8 1.5 2.2 -20.0 -13.4 -2.2 6.6 9.7 -7.6 -14.2 3.1 -4.8 SILVER-mini -4.7 -10.4 3.1 -0.9 3.8 0.1 0.9 -0.1 -1.4 11.9 3.1 7.6 8.3 -9.2 -0.6 -5.6 -6.3 -5.9 -6.0 -1.2 4.3 6.6 8.5 -1.2 -2.9 0.4 6.9 2.5 3.4 4.0 0.1 -1.4 10.1 5.5 4.2 5.8 6.9 -2.0 -0.7 7.3 SMI -2.0 -18.7 -13.6 4.0 3.7 4.1 5.5 5.3 5.0 4.7 0.1 4.5 8.9 -7.7 -8.5 0.6 0.4 0.3 -0.1 -8.8 -4.3 1.7 3.9 -4.6 8.7 -3.1 0.4 -0.3 0.6 3.8 -1.8 11.2 -7.7 -15.8 -20.0 -19.5 -6.4 1.7 -17.3 -9.7 SOFR 17.2 -20.0 -16.6 -0.0 2.2 -0.2 4.6 0.5 3.0 9.7 -1.9 12.6 2.8 -3.0 -10.4 -0.9 -0.0 0.2 0.3 -9.5 -7.5 9.3 -1.5 1.2 -6.1 -3.6 1.1 -2.7 1.4 -0.6 -0.8 7.1 -13.4 -13.7 -18.3 -16.7 -1.0 -7.0 16.5 14.9 SOYBEAN -6.3 -4.7 -12.9 -1.6 4.6 -3.9 0.8 -6.4 -0.8 -5.2 -18.2 -15.1 -17.9 -17.3 -16.9 -1.5 0.3 -2.1 -2.4 -18.5 -20.0 -8.9 -20.0 -14.5 -20.0 -7.1 -0.9 -8.6 -3.2 -9.5 -5.6 -3.2 -7.6 -20.0 -20.0 -16.5 2.9 -7.0 7.7 -1.5 SOYMEAL 3.6 -14.0 -8.4 -1.5 4.4 -3.8 0.7 -6.2 -0.8 -9.6 -17.8 -9.4 -17.7 -16.2 -17.7 -12.5 -0.6 -8.2 -5.0 -17.5 -19.9 -5.2 -20.0 -11.6 -20.0 -6.0 -0.5 -6.1 -1.2 -5.4 -3.7 -5.6 -7.7 -6.7 -20.0 -14.5 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 4.7 13.1 -0.6 1.8 -1.6 0.3 -2.5 -0.3 5.2 -1.1 -4.2 -5.5 -5.0 -0.9 -3.2 0.1 -1.8 -0.9 -1.2 -0.6 -1.5 -3.0 -3.4 -14.3 -0.4 0.5 0.0 -1.3 -0.8 -1.7 -1.6 -0.8 -16.7 -0.1 4.8 3.9 -5.6 11.4 0.2 SP400 9.7 9.6 12.1 4.2 3.9 4.3 5.8 5.6 5.2 -13.7 12.9 4.9 14.7 10.3 13.0 -7.7 -6.6 -7.4 -7.0 19.0 16.9 3.8 14.6 15.0 -10.8 5.4 -1.3 5.4 1.1 5.1 4.1 -0.5 -20.0 1.2 17.9 18.8 -3.1 -6.5 -18.3 -20.0 SP500_micro 11.1 6.2 18.9 5.4 5.0 5.5 7.4 7.2 6.7 8.9 20.0 18.0 20.0 19.5 20.0 -12.7 -11.9 -11.8 -11.6 20.0 20.0 17.3 20.0 20.0 -20.0 7.4 0.2 8.8 3.6 11.0 5.9 -9.0 -9.3 -0.4 10.4 20.0 4.2 4.1 -13.3 -10.8 SUGAR11 -6.7 -6.3 20.0 -1.5 4.4 -3.7 0.7 -6.1 -0.8 -2.3 7.4 -7.3 -5.7 -11.4 7.3 20.0 20.0 20.0 20.0 1.9 6.0 -2.0 2.2 -3.6 -20.0 3.3 2.9 3.7 3.8 1.1 2.6 20.0 15.1 7.1 -0.0 20.0 -20.0 1.7 -20.0 5.5 US10 18.4 -18.0 -13.6 -0.0 1.6 -0.1 3.3 0.3 2.1 6.0 -3.0 9.4 -0.1 -1.2 -7.3 -3.2 -6.3 -4.2 -5.2 -6.1 -5.7 7.4 -3.0 1.9 1.7 -2.4 0.7 -2.0 1.4 -0.6 -0.2 -3.2 -9.2 -8.8 -11.5 -11.7 -5.8 -17.0 8.5 9.0 US10U 18.0 -14.4 -11.2 -0.0 2.0 -0.2 4.2 0.4 2.7 7.7 -3.9 12.1 -0.1 -0.1 -8.7 -4.2 -3.7 -4.3 -4.2 -5.9 -6.1 9.0 -3.7 3.3 -1.5 -2.8 0.9 -2.5 2.0 -1.0 0.1 -0.4 -11.1 -10.6 -11.9 -13.6 -3.8 -12.1 17.8 16.3 US2 11.9 -20.0 -12.8 -0.0 1.8 -0.1 3.7 0.4 2.4 9.0 -4.4 10.0 -3.0 -4.4 -9.6 -15.4 -20.0 -19.2 -20.0 -12.2 -9.3 7.8 -6.0 -2.6 17.5 -3.0 1.4 -1.9 1.2 -0.6 -1.1 -20.0 -5.3 -14.7 -17.3 -11.3 -8.3 -16.3 1.2 -7.4 US20 16.7 -11.8 -11.7 -0.0 1.5 -0.1 3.1 0.3 2.0 5.0 -2.7 8.7 1.7 0.9 -6.3 -1.0 -1.3 -1.5 -1.4 -3.5 -4.0 6.9 -2.2 3.2 -3.2 -2.1 0.3 -1.9 1.3 -0.5 0.0 4.5 -9.0 -9.3 -7.5 -9.8 -0.4 -7.6 20.0 18.3 US30 15.0 -7.8 -8.7 -0.0 1.5 -0.1 3.2 0.3 2.1 4.7 -3.6 8.9 0.2 2.4 -6.0 -4.0 -4.3 -3.2 -3.6 -2.6 -3.5 6.4 -2.7 3.5 -2.1 -1.9 0.2 -1.9 1.7 -0.8 0.5 -0.0 -8.9 -9.4 -4.6 -8.3 -0.6 -7.4 20.0 16.6 US5 17.0 -20.0 -14.7 -0.0 1.8 -0.1 3.9 0.4 2.5 7.8 -4.1 10.9 -2.3 -3.5 -9.4 -4.9 -9.4 -6.8 -8.2 -9.9 -8.3 7.5 -4.4 -0.3 7.0 -2.8 1.2 -2.2 1.6 -0.7 -0.4 -8.5 -7.0 -10.8 -14.7 -13.5 -3.5 -13.8 9.5 6.0 VIX -6.4 -11.9 -5.1 -3.7 2.5 -2.0 -0.3 -3.5 -3.4 12.2 -14.9 -8.0 -14.9 -17.1 -17.6 -20.0 -20.0 -16.8 -18.7 -11.6 -7.6 -4.1 -11.3 -11.5 NaN -4.4 2.0 -2.2 -0.9 -4.1 -4.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -7.8 -12.0 1.5 -1.9 5.5 -4.7 0.9 -7.7 -1.0 9.1 -18.8 -12.8 -18.7 -19.5 -14.3 -14.5 -14.5 -14.0 -14.2 -19.8 -18.2 -8.1 -20.0 -19.0 5.6 -7.4 2.5 -6.2 -2.6 -6.0 -6.9 -20.0 -9.9 -20.0 -20.0 -13.9 -20.0 -20.0 -16.2 -18.0 End of report for caleb_strategy_v3