******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241224_204440 produced at 2024-12-24 21:40:52.234872 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.08 0.00 -1.66 0.0 0.00 0.00 0.00 0.00 -20.31 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.46 -0.77 0.0 0.49 -0.49 -0.46 -0.46 -25.06 16.0 -15 -15 caleb_strategy_v3 US2 False True 0.07 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.23 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.17 0.0 0.69 -0.69 -0.05 -0.05 -7.05 29.0 -2 -2 caleb_strategy_v3 CHF False False 0.05 -0.48 -0.13 0.0 0.62 -0.62 -0.48 -0.48 -2.63 13.0 -10 -10 caleb_strategy_v3 COPPER False False 0.03 -0.14 -0.12 0.0 999.00 -999.00 -0.14 -0.14 -3.39 999999999.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.09 0.0 999.00 -999.00 -0.10 -0.10 -15.17 999999999.0 -17 -16 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.08 0.0 0.90 -0.90 -0.07 -0.11 -2.26 25.0 -2 -3 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.06 0.0 0.40 -0.40 -0.06 -0.08 -2.69 19.0 -3 -4 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.06 0.0 0.40 -0.40 -0.02 -0.02 -3.08 21.0 -1 -1 caleb_strategy_v3 RICE False True 0.01 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -5.89 4.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.05 0.0 0.62 -0.62 -0.04 -0.04 -1.21 14.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.13 -0.13 -0.07 -0.07 -4.67 11.0 -6 -6 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.20 24.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.83 12.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.63 -0.63 0.00 0.00 -1.32 17.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.10 -0.04 0.0 0.10 -0.10 -0.10 -0.10 -1.29 3.0 -3 -3 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.04 0.0 0.22 -0.22 0.00 0.00 -0.35 2.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.04 0.0 0.46 -0.46 -0.05 -0.05 -1.59 17.0 -2 -2 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.04 0.0 0.49 -0.49 -0.04 -0.04 -1.03 13.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.04 0.0 0.09 -0.09 -0.05 -0.05 -5.86 12.0 -7 -7 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.59 -0.59 0.00 0.00 -1.33 22.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.59 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.13 8.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -3.47 9.0 -2 -2 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.03 0.0 999.00 -999.00 -0.03 -0.03 -0.88 999999999.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -8.52 51.0 -8 -8 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.03 0.0 0.49 -0.49 -0.03 -0.04 -4.46 66.0 -4 -5 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -1.00 5.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.75 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.30 7.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 -0.01 -1.68 9.0 0 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.02 0.0 0.50 -0.50 -0.02 -0.02 -1.48 48.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.26 -0.26 -0.01 -0.01 -5.50 68.0 -3 -3 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -3.27 18.0 -3 -3 caleb_strategy_v3 US20 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.45 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.02 0.0 0.50 -0.50 -0.01 -0.01 -2.14 56.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.22 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.16 -0.01 0.0 0.24 -0.24 -0.16 -0.16 -0.30 6.0 -4 -4 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.33 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.59 10.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.50 999999999.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.47 4.0 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 -1.00 3.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.74 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.05 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.40 -0.40 0.00 0.00 0.22 23.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.00 0.0 0.79 -0.79 0.00 0.00 -0.10 19.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.01 0.01 0.0 0.00 -0.01 -0.01 -0.01 3.16 26.0 -5 -4 caleb_strategy_v3 OAT False False 0.04 0.13 0.01 0.0 0.44 -0.44 0.13 0.13 0.15 10.0 3 3 caleb_strategy_v3 NASDAQ_micro False False 0.02 0.02 0.01 0.0 0.35 -0.35 0.02 0.02 0.48 23.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.48 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.25 -0.25 0.00 0.00 0.18 6.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.07 0.01 0.0 0.34 -0.34 0.07 0.07 0.50 20.0 4 4 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.02 0.0 0.00 0.00 0.00 0.00 6.89 59.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 1.27 17.0 0 0 caleb_strategy_v3 COCOA False False 0.04 0.04 0.03 0.0 0.98 -0.98 0.04 0.04 0.70 26.0 1 1 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.26 3.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.04 0.0 0.16 -0.16 0.04 0.04 2.99 13.0 3 3 caleb_strategy_v3 BTP False False 0.04 0.04 0.06 0.0 0.43 -0.43 0.04 0.04 1.41 10.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.07 0.0 0.35 -0.35 0.13 0.13 1.61 8.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.09 0.0 999.00 -999.00 0.00 0.00 2.53 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.02 0.09 0.0 0.50 -0.50 0.02 0.02 10.76 60.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.04 0.12 0.0 0.41 -0.41 0.04 0.04 16.67 58.0 6 6 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.20 0.0 0.31 -0.31 0.12 0.14 24.10 36.0 14 16 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.04 0.0 0.87 -0.87 0.00 0.00 11.95 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.8 Shocked risk 24.2 Sum abs risk 43.3 Leverage 6.21 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2938132.74, 'annual_cash_vol_target': 734533.185, 'daily_cash_vol_target': 45908.3240625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6232 0.6961 11.1375 BITCOIN 2678.3096 99990.0000 2.6786 42.8572 BOBL 0.2200 117.9400 0.1865 2.9847 BTP 0.5015 120.1600 0.4173 6.6772 BUND 0.4467 133.7300 0.3340 5.3447 BUXL 1.0862 133.3800 0.8144 13.0298 CAC 54.5597 7295.5000 0.7479 11.9657 CAD 0.0029 0.6980 0.4145 6.6320 CANOLA 8.8063 620.9000 1.4183 22.6930 CHF 0.0055 1.1196 0.4933 7.8923 COCOA 224.0439 11061.0000 2.0255 32.4085 COFFEE 5.8626 324.0000 1.8094 28.9512 COPPER 0.0457 4.1025 1.1150 17.8397 CORN 3.7224 437.5000 0.8508 13.6132 COTTON2 0.8420 68.8500 1.2230 19.5676 CRUDE_W 0.8839 67.0700 1.3179 21.0861 DAX 135.5545 20011.0000 0.6774 10.8384 DOW 316.3486 43635.0000 0.7250 11.5998 DX 0.4223 108.0000 0.3910 6.2567 EUR 0.0054 1.0428 0.5192 8.3072 EURIBOR-ICE 0.0431 97.9300 0.0440 0.7039 EUROSTX 38.8895 4872.0000 0.7982 12.7716 FEEDCOW 1.6218 256.0750 0.6333 10.1330 GASOIL 10.4555 668.2500 1.5646 25.0338 GASOLINE 0.0312 2.1856 1.4295 22.8726 GAS_US_mini 0.1102 3.5000 3.1490 50.3833 GBP 0.0066 1.2522 0.5278 8.4452 GOLD_micro 24.6837 2633.5000 0.9373 14.9967 HEATOIL 0.0324 2.2170 1.4609 23.3750 JGB-SGX-mini 0.2083 142.2700 0.1464 2.3422 JPY 0.0000 0.0064 0.7314 11.7021 LEANHOG 1.1355 89.0500 1.2751 20.4022 LIVECOW 1.2014 189.7250 0.6332 10.1316 LUMBER-new 7.4641 594.0000 1.2566 20.1053 MILK 0.2480 19.8700 1.2482 19.9707 MXP 0.0004 0.0488 0.7600 12.1607 NASDAQ_micro 211.6250 22046.2500 0.9599 15.3586 NIKKEI 375.5398 39240.0000 0.9570 15.3125 NZD 0.0039 0.5641 0.6944 11.1107 OAT 0.4198 123.8000 0.3391 5.4254 OATIES 6.3018 339.7500 1.8548 29.6775 OJ 8.1152 505.7000 1.6047 25.6760 PALLAD 23.3870 951.5000 2.4579 39.3265 PLAT 13.7224 960.3000 1.4290 22.8635 REDWHEAT 7.7622 552.5000 1.4049 22.4788 RICE 0.1504 14.1550 1.0624 16.9987 ROBUSTA 102.4824 5048.0000 2.0302 32.4825 RUSSELL 28.4306 2278.6000 1.2477 19.9636 SHATZ 0.0751 107.0250 0.0701 1.1224 SILVER-mini 0.4967 30.2250 1.6433 26.2921 SMI 87.6176 11470.0000 0.7639 12.2222 SOFR 0.0567 95.9550 0.0591 0.9457 SOYBEAN 9.7719 992.5000 0.9846 15.7532 SOYMEAL 4.1512 306.3000 1.3553 21.6846 SOYOIL 0.7333 40.6800 1.8026 28.8414 SP400 32.0355 3187.2000 1.0051 16.0821 SP500_micro 44.9694 6099.0000 0.7373 11.7972 SUGAR11 0.2732 18.1300 1.5067 24.1067 US10 0.3753 108.5156 0.3459 5.5337 US10U 0.5157 111.1562 0.4639 7.4228 US2 0.0880 102.6523 0.0857 1.3715 US20 0.7506 113.7500 0.6599 10.5578 US30 1.1718 119.2500 0.9826 15.7216 US5 0.2311 106.0703 0.2179 3.4866 VIX 0.7263 17.8000 4.0802 65.2824 WHEAT 7.0284 583.7500 1.2040 19.2643 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 623.25 0.70 433.84 1.00 433.84 45908.32 105.82 -9.80 -103.66 BITCOIN 99.99 2.68 267.83 1.00 267.83 45908.32 171.41 3.71 63.65 BOBL 1179.40 0.19 220.01 1.04 228.31 45908.32 201.08 -0.47 -9.53 BTP 1201.60 0.42 501.46 1.04 520.39 45908.32 88.22 4.68 41.27 BUND 1337.30 0.33 446.71 1.04 463.58 45908.32 99.03 -2.20 -21.80 BUXL 1333.80 0.81 1086.19 1.04 1127.20 45908.32 40.73 -1.30 -5.28 CAC 729.55 0.75 545.60 1.04 569.22 45908.32 80.65 -6.64 -53.58 CAD 698.00 0.41 289.32 1.00 289.32 45908.32 158.68 -17.13 -271.75 CANOLA 124.18 1.42 176.13 0.70 122.58 45908.32 374.52 -9.35 -350.18 CHF 1399.44 0.49 690.30 1.00 690.30 45908.32 66.50 -15.21 -101.18 COCOA 1106.10 2.03 2240.44 1.00 2240.44 45908.32 20.49 15.86 32.49 COFFEE 1215.00 1.81 2198.48 1.00 2198.48 45908.32 20.88 7.32 15.29 COPPER 1025.62 1.11 1143.55 1.00 1143.55 45908.32 40.15 -7.79 -31.29 CORN 218.75 0.85 186.12 1.00 186.12 45908.32 246.66 -9.77 -240.97 COTTON2 344.25 1.22 421.01 1.00 421.01 45908.32 109.04 -20.00 -218.09 CRUDE_W 670.70 1.32 883.90 1.00 883.90 45908.32 51.94 -1.77 -9.21 DAX 200.11 0.68 135.55 1.04 140.67 45908.32 326.35 14.97 488.69 DOW 218.18 0.72 158.17 1.00 158.17 45908.32 290.24 -6.61 -191.84 DX 1080.00 0.39 422.33 1.00 422.33 45908.32 108.70 8.98 97.62 EUR 1303.50 0.52 676.78 1.00 676.78 45908.32 67.83 -6.86 -46.55 EURIBOR-ICE 2448.25 0.04 107.70 1.04 112.37 45908.32 408.56 8.58 350.43 EUROSTX 487.20 0.80 388.90 1.04 403.58 45908.32 113.75 1.28 14.58 FEEDCOW 1280.38 0.63 810.88 1.00 810.88 45908.32 56.62 8.58 48.56 GASOIL 668.25 1.56 1045.55 1.00 1045.55 45908.32 43.91 -2.45 -10.77 GASOLINE 917.95 1.43 1312.25 1.00 1312.25 45908.32 34.98 -5.78 -20.21 GAS_US_mini 87.50 3.15 275.53 1.00 275.53 45908.32 166.62 1.75 29.20 GBP 782.62 0.53 413.09 1.00 413.09 45908.32 111.13 -4.62 -51.35 GOLD_micro 263.35 0.94 246.84 1.00 246.84 45908.32 185.99 -3.37 -62.60 HEATOIL 931.14 1.46 1360.33 1.00 1360.33 45908.32 33.75 -8.84 -29.84 JGB-SGX-mini 142270.00 0.15 20826.54 0.01 132.69 45908.32 345.97 -6.69 -231.41 JPY 802.69 0.73 587.07 1.00 587.07 45908.32 78.20 -7.82 -61.13 LEANHOG 356.20 1.28 454.20 1.00 454.20 45908.32 101.07 4.86 49.12 LIVECOW 758.90 0.63 480.56 1.00 480.56 45908.32 95.53 4.01 38.30 LUMBER-new 163.35 1.26 205.26 1.00 205.26 45908.32 223.66 -2.10 -46.86 MILK 397.40 1.25 496.02 1.00 496.02 45908.32 92.55 2.41 22.31 MXP 244.25 0.76 185.64 1.00 185.64 45908.32 247.30 2.96 73.31 NASDAQ_micro 440.92 0.96 423.25 1.00 423.25 45908.32 108.47 1.92 20.86 NIKKEI 39240.00 0.96 37553.98 0.01 239.74 45908.32 191.49 11.62 222.55 NZD 564.05 0.69 391.69 1.00 391.69 45908.32 117.21 -10.11 -118.54 OAT 1238.00 0.34 419.79 1.04 435.63 45908.32 105.38 0.42 4.46 OATIES 169.88 1.85 315.09 1.00 315.09 45908.32 145.70 -7.76 -113.09 OJ 758.55 1.60 1217.28 1.00 1217.28 45908.32 37.71 15.55 58.65 PALLAD 951.50 2.46 2338.70 1.00 2338.70 45908.32 19.63 -4.86 -9.53 PLAT 480.15 1.43 686.12 1.00 686.12 45908.32 66.91 -2.58 -17.29 REDWHEAT 276.25 1.40 388.11 1.00 388.11 45908.32 118.29 -19.94 -235.90 RICE 283.10 1.06 300.77 1.00 300.77 45908.32 152.64 -15.87 -242.24 ROBUSTA 504.80 2.03 1024.82 1.00 1024.82 45908.32 44.80 4.15 18.57 RUSSELL 113.93 1.25 142.15 1.00 142.15 45908.32 322.95 -5.14 -166.00 SHATZ 1070.25 0.07 75.07 1.04 77.91 45908.32 589.26 -2.00 -117.93 SILVER-mini 755.62 1.64 1241.68 1.00 1241.68 45908.32 36.97 -3.95 -14.61 SMI 1147.00 0.76 876.18 1.12 976.28 45908.32 47.02 -3.71 -17.43 SOFR 2398.88 0.06 141.78 1.00 141.78 45908.32 323.79 -10.32 -334.12 SOYBEAN 496.25 0.98 488.59 1.00 488.59 45908.32 93.96 -14.86 -139.62 SOYMEAL 306.30 1.36 415.12 1.00 415.12 45908.32 110.59 -16.36 -180.96 SOYOIL 244.08 1.80 439.98 1.00 439.98 45908.32 104.34 -7.66 -79.97 SP400 3187.20 1.01 3203.55 1.00 3203.55 45908.32 14.33 -7.45 -10.68 SP500_micro 304.95 0.74 224.85 1.00 224.85 45908.32 204.18 -3.12 -63.69 SUGAR11 203.06 1.51 305.94 1.00 305.94 45908.32 150.06 -10.24 -153.60 US10 1085.16 0.35 375.31 1.00 375.31 45908.32 122.32 -8.50 -104.02 US10U 1111.56 0.46 515.68 1.00 515.68 45908.32 89.02 -9.15 -81.43 US2 2053.05 0.09 175.98 1.00 175.98 45908.32 260.87 -9.78 -255.09 US20 1137.50 0.66 750.59 1.00 750.59 45908.32 61.16 -5.85 -35.81 US30 1192.50 0.98 1171.75 1.00 1171.75 45908.32 39.18 -6.03 -23.61 US5 1060.70 0.22 231.14 1.00 231.14 45908.32 198.62 -8.97 -178.22 VIX 178.00 4.08 726.27 1.00 726.27 45908.32 63.21 -9.72 -61.45 WHEAT 291.88 1.20 351.42 1.00 351.42 45908.32 130.64 -20.00 -261.27 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -103.656 0.010 2.5 -2.689 BITCOIN 63.650 0.043 2.5 6.892 BOBL -9.526 0.004 2.5 -0.097 BTP 41.270 0.014 2.5 1.408 BUND -21.798 0.004 2.5 -0.221 BUXL -5.283 0.004 2.5 -0.054 CAC -53.578 0.014 2.5 -1.827 CAD -271.746 0.010 2.5 -7.051 CANOLA -350.176 0.010 2.5 -8.519 CHF -101.184 0.010 2.5 -2.625 COCOA 32.494 0.009 2.5 0.696 COFFEE 15.290 0.005 2.5 0.179 COPPER -31.289 0.043 2.5 -3.388 CORN -240.968 0.010 2.5 -5.862 COTTON2 -218.087 0.009 2.5 -4.671 CRUDE_W -9.212 0.043 2.5 -0.998 DAX 488.690 0.014 2.5 16.668 DOW -191.844 0.009 2.5 -4.458 DX 97.616 0.010 2.5 2.533 EUR -46.549 0.010 2.5 -1.208 EURIBOR-ICE 350.434 0.014 2.5 11.953 EUROSTX 14.579 0.014 2.5 0.497 FEEDCOW 48.558 0.013 2.5 1.609 GASOIL -10.770 0.017 2.5 -0.467 GASOLINE -20.207 0.017 2.5 -0.876 GAS_US_mini 29.195 0.043 2.5 3.161 GBP -51.350 0.010 2.5 -1.332 GOLD_micro -62.596 0.014 2.5 -2.135 HEATOIL -29.841 0.017 2.5 -1.294 JGB-SGX-mini -231.410 0.043 2.5 -25.059 JPY -61.127 0.010 2.5 -1.586 LEANHOG 49.117 0.024 2.5 2.985 LIVECOW 38.302 0.013 2.5 1.269 LUMBER-new -46.859 0.009 2.5 -1.004 MILK 22.312 0.009 2.5 0.478 MXP 73.307 0.059 2.5 10.759 NASDAQ_micro 20.863 0.009 2.5 0.485 NIKKEI 222.546 0.043 2.5 24.099 NZD -118.537 0.010 2.5 -3.076 OAT 4.461 0.014 2.5 0.152 OATIES -113.087 0.010 2.5 -2.751 OJ 58.650 0.009 2.5 1.256 PALLAD -9.532 0.014 2.5 -0.325 PLAT -17.286 0.014 2.5 -0.590 REDWHEAT -235.902 0.005 2.5 -3.129 RICE -242.238 0.010 2.5 -5.893 ROBUSTA 18.569 0.005 2.5 0.217 RUSSELL -166.000 0.013 2.5 -5.501 SHATZ -117.932 0.004 2.5 -1.196 SILVER-mini -14.615 0.014 2.5 -0.498 SMI -17.425 0.014 2.5 -0.594 SOFR -334.119 0.024 2.5 -20.306 SOYBEAN -139.616 0.004 2.5 -1.298 SOYMEAL -180.964 0.004 2.5 -1.683 SOYOIL -79.969 0.004 2.5 -0.744 SP400 -10.682 0.013 2.5 -0.354 SP500_micro -63.694 0.009 2.5 -1.480 SUGAR11 -153.598 0.009 2.5 -3.267 US10 -104.016 0.005 2.5 -1.318 US10U -81.429 0.005 2.5 -1.032 US2 -255.090 0.005 2.5 -3.232 US20 -35.806 0.005 2.5 -0.454 US30 -23.607 0.005 2.5 -0.299 US5 -178.218 0.005 2.5 -2.258 VIX -61.455 0.099 2.5 -15.169 WHEAT -261.272 0.005 2.5 -3.466 ===================== Position diags ===================== AUD 2.75 BITCOIN 18.56 BOBL 2.04 BTP 3.01 BUND 1.00 BUXL 0.41 CAC 2.75 CAD 4.12 CANOLA 9.11 CHF 1.73 COCOA 0.44 COFFEE 0.24 COPPER 4.35 CORN 6.00 COTTON2 2.34 CRUDE_W 5.62 DAX 11.13 DOW 6.75 DX 2.82 EUR 1.76 EURIBOR-ICE 13.94 EUROSTX 3.88 FEEDCOW 1.88 GASOIL 1.90 GASOLINE 1.52 GAS_US_mini 18.04 GBP 2.88 GOLD_micro 6.34 HEATOIL 1.46 JGB-SGX-mini 37.46 JPY 2.03 LEANHOG 6.14 LIVECOW 3.17 LUMBER-new 4.79 MILK 1.98 MXP 36.30 NASDAQ_micro 2.52 NIKKEI 20.74 NZD 3.04 OAT 3.59 OATIES 3.54 OJ 0.81 PALLAD 0.67 PLAT 2.28 REDWHEAT 1.57 RICE 3.71 ROBUSTA 0.52 RUSSELL 10.70 SHATZ 5.98 SILVER-mini 1.26 SMI 1.60 SOFR 19.68 SOYBEAN 0.87 SOYMEAL 1.03 SOYOIL 0.97 SP400 0.47 SP500_micro 4.75 SUGAR11 3.19 US10 1.55 US10U 1.13 US2 3.31 US20 0.78 US30 0.50 US5 2.52 VIX 15.60 WHEAT 1.73 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.7 -3.0 -2.4 -3.0 -3 BITCOIN 6.9 5.0 8.7 0.0 0 BOBL -0.1 -0.3 0.1 0.0 0 BTP 1.4 1.1 1.7 1.0 1 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -1.8 -2.1 -1.6 0.0 0 CAD -7.1 -7.5 -6.6 -2.0 -2 CANOLA -8.5 -9.4 -7.6 -8.0 -8 CHF -2.6 -2.8 -2.5 -10.0 -10 COCOA 0.7 0.7 0.7 1.0 1 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -3.4 -3.8 -3.0 -4.0 -4 CORN -5.9 -6.5 -5.3 -7.0 -7 COTTON2 -4.7 -4.9 -4.4 -6.0 -6 CRUDE_W -1.0 -1.6 -0.4 0.0 0 DAX 16.7 15.6 17.8 6.0 6 DOW -4.5 -5.1 -3.8 -4.0 -4 DX 2.5 2.3 2.8 0.0 0 EUR -1.2 -1.4 -1.0 -1.0 -1 EURIBOR-ICE 12.0 10.6 13.3 0.0 0 EUROSTX 0.5 0.1 0.9 4.0 4 FEEDCOW 1.6 1.4 1.8 3.0 3 GASOIL -0.5 -0.7 -0.3 0.0 0 GASOLINE -0.9 -1.0 -0.7 -1.0 -1 GAS_US_mini 3.2 1.4 5.0 -5.0 -5 GBP -1.3 -1.6 -1.0 0.0 0 GOLD_micro -2.1 -2.8 -1.5 -1.0 -1 HEATOIL -1.3 -1.4 -1.1 -3.0 -3 JGB-SGX-mini -25.1 -28.8 -21.3 -15.0 -15 JPY -1.6 -1.8 -1.4 -2.0 -2 LEANHOG 3.0 2.4 3.6 3.0 3 LIVECOW 1.3 1.0 1.6 0.0 0 LUMBER-new -1.0 -1.5 -0.5 0.0 0 MILK 0.5 0.3 0.7 0.0 0 MXP 10.8 7.1 14.4 3.0 3 NASDAQ_micro 0.5 0.2 0.7 1.0 1 NIKKEI 24.1 22.0 26.2 14.0 14 NZD -3.1 -3.4 -2.8 -1.0 -1 OAT 0.2 -0.2 0.5 3.0 3 OATIES -2.8 -3.1 -2.4 NaN 0 OJ 1.3 1.2 1.3 1.0 1 PALLAD -0.3 -0.4 -0.3 0.0 0 PLAT -0.6 -0.8 -0.4 -1.0 -1 REDWHEAT -3.1 -3.3 -3.0 -4.0 -4 RICE -5.9 -6.3 -5.5 NaN 0 ROBUSTA 0.2 0.2 0.3 0.0 0 RUSSELL -5.5 -6.6 -4.4 -3.0 -3 SHATZ -1.2 -1.8 -0.6 NaN 0 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SMI -0.6 -0.8 -0.4 0.0 0 SOFR -20.3 -22.3 -18.3 NaN 0 SOYBEAN -1.3 -1.4 -1.2 -3.0 -3 SOYMEAL -1.7 -1.8 -1.6 0.0 0 SOYOIL -0.7 -0.8 -0.6 0.0 0 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro -1.5 -2.0 -1.0 -2.0 -2 SUGAR11 -3.3 -3.6 -2.9 -3.0 -3 US10 -1.3 -1.5 -1.2 0.0 0 US10U -1.0 -1.1 -0.9 -1.0 -1 US2 -3.2 -3.6 -2.9 NaN 0 US20 -0.5 -0.5 -0.4 0.0 0 US30 -0.3 -0.3 -0.2 -4.0 -4 US5 -2.3 -2.5 -2.0 -2.0 -2 VIX -15.2 -16.7 -13.6 -17.0 -17 WHEAT -3.5 -3.6 -3.3 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.4 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 0.5 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.6 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 BITCOIN -0.4 0.6 0.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.5 -0.1 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 0.5 0.5 0.6 0.6 0.0 -0.1 -0.1 -0.0 BOBL -0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.4 -0.2 -0.2 -0.2 0.0 0.0 -0.1 0.0 -0.0 0.5 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.3 0.1 0.3 0.4 -0.1 -0.4 0.4 0.0 BTP 0.0 0.2 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.4 -0.1 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.4 -0.0 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.8 0.1 0.5 0.6 0.6 -0.0 -0.3 0.5 0.4 BUND -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.2 0.1 0.3 0.3 -0.5 -0.7 0.2 -0.1 BUXL -0.1 0.3 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.1 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.1 -0.5 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.3 0.1 0.2 0.6 0.5 -0.7 -0.7 -0.1 -0.3 CAC 0.4 -0.2 -0.3 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 -0.4 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.9 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 0.2 0.4 0.6 -0.6 -0.6 0.1 0.3 -0.2 -0.1 CAD -0.4 -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -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 0.3 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.4 -0.2 -0.6 -0.6 -0.6 -0.2 -0.2 -0.2 -0.2 CANOLA 0.2 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.2 -0.2 -0.2 -0.3 -0.0 -0.0 0.0 -0.1 -0.0 -1.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.1 0.1 0.1 -0.1 0.1 -0.3 -0.3 -0.1 -0.1 CHF -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.2 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.3 -0.2 -0.3 -0.3 -0.3 -0.3 -0.4 -0.5 COCOA 0.5 0.6 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.0 0.3 0.1 0.3 0.1 0.1 0.3 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 0.5 0.6 0.6 0.6 0.5 0.7 0.6 0.7 COFFEE 0.3 0.6 0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 0.4 0.1 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 0.4 0.1 0.6 0.6 0.6 -0.1 -0.2 0.1 0.1 COPPER -0.0 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -2.5 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.1 -0.2 0.0 -0.0 -0.1 0.2 0.5 0.1 0.7 CORN 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.5 0.0 -0.7 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 -0.2 -0.0 -0.5 -0.0 -1.2 -0.1 0.0 -0.3 -0.0 -0.6 -0.0 -1.1 0.2 0.4 -0.1 -0.3 0.5 -0.0 0.7 0.1 COTTON2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -1.0 0.2 -0.4 -0.6 -0.3 -0.7 -0.6 -0.6 -0.4 CRUDE_W 0.1 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.0 -0.3 -0.0 -0.0 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.2 0.0 -0.1 0.0 -0.1 0.2 -0.0 0.4 DAX 0.6 0.3 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.5 0.1 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.2 1.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.3 0.2 0.6 0.5 0.5 0.7 0.5 0.5 0.1 DOW -0.6 0.0 0.1 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.0 0.3 -0.1 0.5 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.4 -0.1 -1.7 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.4 -0.2 -0.6 0.1 0.4 -0.1 0.0 -0.5 -0.3 DX 0.1 0.6 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.4 0.1 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.2 0.1 -0.1 0.1 EUR -0.0 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 0.0 -0.0 -0.2 -0.4 0.1 -0.3 0.1 -0.3 EURIBOR-ICE -0.3 0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.2 -0.0 1.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.1 0.2 0.3 0.5 -0.0 -0.4 0.6 0.3 EUROSTX 0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.0 0.0 0.4 0.1 -0.0 0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 0.1 0.0 -0.4 0.0 -0.1 -0.0 -0.1 0.1 0.0 0.4 0.3 0.6 -0.3 -0.4 0.2 0.2 -0.4 -0.4 FEEDCOW -0.0 0.6 0.6 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.3 -0.0 -0.2 0.2 0.2 -0.0 -0.1 0.1 0.1 0.2 0.2 -0.0 0.0 0.2 -2.0 0.1 -0.0 0.1 -0.0 0.0 0.0 0.1 0.2 0.5 0.6 0.6 0.6 0.5 0.7 0.7 GASOIL 0.1 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 0.1 -0.4 0.0 0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.0 -0.2 0.0 0.6 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.1 -0.1 0.1 -0.2 -0.1 -0.3 0.0 -0.4 GASOLINE 0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 -0.0 -0.2 -0.1 -0.0 -0.4 0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.2 0.0 -0.1 0.2 0.1 0.3 0.2 0.5 GAS_US_mini 0.2 0.4 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.5 0.1 0.0 0.4 -0.4 -0.3 -0.4 0.0 -0.0 0.2 -0.3 0.1 2.7 0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.0 0.1 0.0 -0.2 -0.4 -0.1 -0.3 GBP 0.1 -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.2 -0.2 0.0 -0.0 0.0 0.0 -0.2 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.1 -0.1 0.3 -0.1 0.0 0.2 -0.3 0.7 -0.3 GOLD_micro -0.2 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.0 -0.2 -0.3 -0.2 -0.2 -0.0 0.1 -0.1 0.3 -0.1 -1.4 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.6 -0.1 -0.0 -0.1 0.2 0.7 0.2 0.7 0.3 HEATOIL 0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.4 0.1 -0.5 0.0 -0.1 0.1 0.1 0.0 0.0 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.0 0.1 JGB-SGX-mini 0.0 -0.6 -0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -1.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 1.1 0.5 0.1 -0.2 -0.1 -0.7 -0.6 -0.7 -0.5 JPY -0.2 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 2.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.0 -0.3 -0.1 0.1 -0.1 -0.3 -0.7 -0.2 -0.7 LEANHOG -0.5 -0.2 0.6 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 0.4 -0.1 0.2 -0.1 0.2 -0.4 0.1 -0.4 -0.0 0.1 0.2 -0.0 0.2 -0.0 -0.1 0.1 -0.0 0.2 -0.0 0.1 0.0 0.2 0.4 0.3 0.6 0.6 0.3 -0.2 0.5 0.0 LIVECOW -0.1 -0.2 0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.5 -0.1 0.7 -0.0 0.2 0.0 0.1 -0.0 0.0 0.1 0.1 -0.1 0.4 0.0 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 0.3 0.4 0.5 0.2 0.6 0.0 0.5 0.2 0.6 LUMBER-new -0.7 0.1 0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 0.2 -0.1 -0.2 -0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.0 -0.0 -0.1 NaN 0.0 0.0 0.1 -0.0 0.0 -0.0 -1.2 0.3 -0.7 0.5 0.6 0.4 0.2 0.6 0.5 MILK 0.6 -0.5 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.2 0.0 -0.1 0.2 -0.0 0.2 0.1 -0.0 -0.0 0.1 0.1 0.0 2.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.2 0.5 0.6 -0.2 -0.3 -0.4 -0.7 -0.2 -0.7 MXP 0.4 0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.4 0.1 -0.5 0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 0.0 -0.4 0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 1.1 0.5 0.6 0.6 0.2 0.3 0.7 0.5 0.7 NASDAQ_micro 0.0 0.2 0.1 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.3 0.0 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 0.2 0.0 -0.3 0.5 0.6 0.4 0.5 0.4 0.2 -0.1 -0.3 NIKKEI 0.2 0.1 0.2 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.0 0.2 0.0 0.3 0.1 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.0 0.3 0.0 -1.3 0.0 0.0 0.0 -0.0 0.1 0.0 1.1 0.5 0.6 0.1 -0.1 0.7 0.6 0.7 0.7 NZD -0.4 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.4 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 OAT -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.4 0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.4 0.1 0.1 0.2 0.3 -0.1 -0.5 0.6 0.2 OATIES -0.3 -0.5 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.3 0.2 0.7 0.2 0.7 0.5 OJ 0.2 0.2 0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 0.5 0.1 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 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.3 0.7 0.7 PALLAD -0.3 -0.5 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 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 1.9 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.3 0.1 -0.2 -0.2 -0.0 -0.6 -0.7 -0.7 -0.7 PLAT -0.0 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.9 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.5 -0.1 -0.3 -0.3 0.3 -0.3 0.1 -0.1 REDWHEAT 0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.1 -0.4 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.9 -0.1 -0.0 -0.6 -0.3 -0.7 -0.7 -0.5 -0.7 RICE -0.4 -0.1 -0.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 0.2 -0.1 -0.1 -0.2 0.3 -0.1 0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -1.8 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.9 -0.5 -0.6 -0.6 -0.6 -0.3 -0.7 -0.3 -0.7 ROBUSTA 0.1 0.1 -0.5 -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 0.2 0.3 0.1 0.1 -0.0 0.3 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 0.0 0.2 0.6 0.4 0.2 0.1 0.4 0.3 RUSSELL -0.6 0.0 0.1 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.2 -0.1 0.2 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.3 -0.6 0.2 0.3 -0.3 -0.3 -0.7 -0.7 SHATZ -0.2 0.1 0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.1 0.0 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.1 0.1 -0.0 0.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 0.4 0.1 0.2 0.4 -0.1 -0.4 0.2 -0.1 SILVER-mini -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -0.4 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 -0.4 -0.1 -0.2 0.1 0.1 -0.0 -0.0 0.2 SMI 0.0 -0.5 -0.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 0.1 -0.1 1.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.7 0.2 -0.1 -0.6 -0.6 -0.1 0.1 -0.5 -0.4 SOFR -0.2 -0.5 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.0 -0.1 -0.2 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.4 -0.3 -0.6 -0.5 -0.6 -0.1 -0.2 0.4 0.5 SOYBEAN -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.5 -0.0 -0.6 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 -2.5 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.1 -0.3 -0.4 -0.5 0.2 -0.2 0.3 0.0 SOYMEAL 0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.4 0.1 -0.6 -0.1 -0.2 -0.3 -0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.4 -0.0 -2.7 -0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.4 0.5 0.3 -0.3 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.3 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 0.1 -0.2 0.3 0.0 SP400 -0.6 -0.0 0.1 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.3 -0.1 -1.2 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.4 -0.6 0.1 0.4 -0.1 -0.2 -0.6 -0.7 SP500_micro -0.5 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.0 0.4 -0.0 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.1 0.3 -0.0 -0.5 0.2 -0.2 0.1 0.6 0.2 0.1 -0.4 -0.4 SUGAR11 -0.6 -0.6 0.3 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 -0.2 -0.2 -0.0 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.4 0.4 -0.7 0.0 -0.7 0.1 US10 -0.2 -0.4 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.3 -0.5 -0.3 -0.4 0.1 0.3 US10U -0.2 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.3 -0.5 -0.2 -0.3 0.4 0.6 US2 0.1 -0.6 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.2 -0.2 2.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 0.1 -0.1 -0.4 -0.5 -0.4 -0.4 -0.1 -0.2 US20 -0.3 -0.3 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.1 -0.3 -0.2 -0.4 -0.1 -0.2 0.7 0.6 US30 -0.3 -0.3 -0.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.2 0.6 0.5 US5 -0.1 -0.5 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 1.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.4 -0.1 -0.3 -0.3 -0.5 -0.2 -0.3 0.2 0.2 VIX 0.6 -0.2 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.6 0.0 -0.8 -0.1 -0.2 -0.6 -0.6 -0.5 -0.6 -0.0 -0.1 0.1 -0.3 0.1 NaN 0.0 0.0 -0.0 0.1 -0.1 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 0.8 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -1.1 -0.2 -0.3 -0.6 -0.4 -0.5 -0.7 -0.3 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -12.5 -19.2 -13.9 -4.1 -2.8 -3.0 -4.1 -1.3 -4.3 -10.0 -11.4 -12.7 -6.0 -14.0 -14.3 -0.4 -1.4 -0.4 -0.8 -17.8 -11.6 -18.5 -5.6 -20.0 3.8 -5.0 -3.9 -3.1 -5.5 -1.4 -5.8 -0.0 -5.9 -18.4 -7.6 -4.6 -3.7 -3.6 -2.4 -3.2 BITCOIN -13.0 20.0 15.2 -3.0 -2.7 -0.9 -5.9 -0.6 -5.3 -9.2 17.6 -6.5 17.3 14.8 19.2 -8.8 -7.4 -8.3 -7.7 20.0 20.0 -5.6 20.0 15.0 -20.0 7.0 -1.9 6.6 -0.9 5.6 3.5 -3.7 20.0 16.5 20.0 20.0 0.4 -3.4 -2.4 -0.8 BOBL -2.0 3.1 0.6 -2.1 -6.4 -0.9 -6.0 0.0 -3.6 -10.9 4.6 -9.8 -1.2 -0.5 -0.9 -20.0 -8.2 -11.9 -7.8 0.5 2.2 -11.2 1.0 -4.1 3.8 0.3 -6.5 1.3 -5.4 1.3 -2.1 -6.3 14.2 4.5 8.6 11.1 -3.2 -13.1 10.8 0.7 BTP 0.6 4.8 1.9 -3.2 -9.8 -1.3 -9.1 0.1 -5.4 -17.5 14.2 -12.6 17.7 4.8 8.6 4.1 5.1 5.3 5.1 9.0 12.8 -18.0 14.2 -1.6 -20.0 3.5 -9.6 5.0 -7.1 5.5 -0.8 15.7 5.9 16.4 20.0 20.0 -0.8 -10.3 14.8 10.9 BUND -2.7 3.1 -1.9 -2.4 -7.5 -1.0 -7.0 0.0 -4.1 -13.0 4.1 -11.7 1.3 -3.0 -2.4 6.4 -5.8 -5.4 -7.5 -0.6 1.5 -16.5 1.0 -6.9 0.5 -0.1 -8.3 1.0 -7.1 1.3 -2.9 -4.8 7.5 4.1 10.1 10.8 -13.8 -20.0 6.5 -2.2 BUXL -4.0 9.6 2.0 -2.9 -8.8 -1.2 -8.2 0.1 -4.9 -15.6 5.9 -13.7 2.2 0.1 2.8 1.4 -0.9 0.7 -0.1 3.3 4.1 -19.5 0.8 -5.9 -3.7 1.2 -8.9 1.8 -7.7 1.4 -2.6 6.0 5.0 6.5 20.0 15.6 -20.0 -20.0 -3.0 -9.6 CAC 11.4 -4.9 -8.6 0.6 -6.3 3.9 -9.3 6.5 -4.6 -17.3 -16.4 -3.1 -6.8 -4.9 -11.8 -6.5 -4.0 -6.0 -5.2 -9.4 -13.4 -10.3 -9.2 -5.8 -6.7 -4.2 -7.5 -5.6 -5.5 -3.0 -2.9 3.3 14.8 19.0 -18.8 -20.0 3.5 7.8 -6.5 -3.5 CAD -12.2 -17.1 -16.8 -6.1 -4.1 -4.3 -6.0 -1.9 -6.3 -10.0 -19.5 -16.2 -18.7 -19.4 -20.0 -6.0 -4.7 -6.0 -5.4 -20.0 -20.0 -20.0 -16.2 -20.0 2.0 -7.6 -3.5 -5.7 -6.8 -3.7 -8.1 -6.7 -7.8 -20.0 -17.0 -20.0 -5.2 -5.6 -5.5 -6.9 CANOLA 4.6 -11.6 5.9 -1.6 -3.6 -1.6 -4.1 -2.2 -2.7 2.1 -2.6 2.4 -5.6 -2.8 -1.5 -9.6 -12.2 -12.5 -13.1 -3.2 -3.2 0.6 -4.8 -2.2 -10.9 -0.4 1.8 -0.2 0.4 -1.4 -0.5 -20.0 2.9 4.2 -3.3 4.5 -7.9 -9.7 -3.9 -4.1 CHF -4.1 -20.0 -17.8 -3.8 -2.6 -2.7 -3.7 -1.2 -3.9 -10.9 -8.8 -10.9 -7.4 -11.8 -12.2 -15.0 -16.0 -15.3 -15.4 -15.5 -10.8 -14.4 -5.4 -15.6 3.9 -4.4 -3.6 -2.9 -4.1 -1.2 -4.5 -20.0 -10.6 -5.6 -9.7 -10.5 -10.1 -8.3 -10.6 -15.6 COCOA 16.5 20.0 5.0 -2.2 -5.0 -2.3 -5.8 -3.1 -3.8 0.5 9.3 6.8 9.0 10.0 11.0 16.3 20.0 19.0 20.0 20.0 20.0 19.6 20.0 20.0 -20.0 4.1 0.4 3.4 2.3 3.5 3.9 20.0 20.0 20.0 20.0 20.0 14.5 20.0 17.8 20.0 COFFEE 9.7 20.0 7.5 -3.2 -7.5 -3.4 -8.6 -4.7 -5.7 1.4 15.4 9.1 15.7 14.1 14.5 5.6 4.8 3.9 3.9 20.0 20.0 9.8 20.0 20.0 -20.0 5.7 0.6 5.0 1.8 4.2 4.4 7.0 5.7 20.0 20.0 20.0 -3.1 -4.5 1.9 3.0 COPPER -0.2 -15.4 -6.6 -2.1 -2.0 -0.7 -4.3 -0.4 -3.8 -11.9 -11.6 -12.5 -3.6 -13.7 -13.3 -7.4 -4.1 -5.9 -4.7 -11.1 -7.7 -11.2 -1.1 -11.2 -18.7 -3.4 -3.8 -1.1 -5.1 1.6 -4.5 1.9 -7.7 0.6 -0.4 -1.7 5.2 15.1 2.7 20.0 CORN 8.1 3.7 1.7 -4.7 -10.8 -4.8 -12.4 -6.7 -8.2 -3.2 -20.0 3.1 -20.0 -3.9 -9.5 -6.6 -12.8 -8.9 -11.6 -7.4 -18.4 -0.2 -20.0 -2.0 -9.4 -6.4 0.4 -10.7 -1.2 -15.5 -3.1 -20.0 10.4 10.9 -2.1 -10.2 15.5 -1.1 20.0 4.2 COTTON2 -7.5 -7.4 -2.1 -4.3 -9.8 -4.4 -11.3 -6.1 -7.5 -2.6 -19.9 -14.2 -20.0 -17.3 -17.1 -14.4 -8.6 -14.3 -12.3 -14.9 -15.9 -10.1 -20.0 -15.2 -20.0 -7.1 0.5 -5.9 -4.4 -4.7 -7.1 -18.4 9.1 -12.4 -19.0 -10.1 -20.0 -19.0 -17.9 -13.3 CRUDE_W 2.5 -1.3 -5.6 -0.5 3.5 -3.3 2.7 -3.7 1.6 -5.1 -12.0 0.9 -8.9 -4.3 -4.4 4.5 9.2 5.1 7.0 -5.1 -9.6 -0.4 -7.7 -1.4 -1.6 -2.4 1.3 -4.7 -0.4 -4.1 -0.8 6.6 -8.1 0.4 -4.2 0.7 -2.9 6.2 -1.0 11.6 DAX 19.2 9.4 10.7 1.0 -11.8 4.1 -11.2 6.5 -4.5 -19.4 18.3 5.9 19.9 12.5 17.5 -9.0 -9.7 -8.8 -8.9 20.0 20.0 -8.9 20.0 14.7 7.6 5.7 -9.8 5.4 -3.4 6.0 3.4 -4.9 9.9 20.0 14.1 16.8 20.0 16.0 14.0 3.2 DOW -20.0 1.3 3.0 0.4 -4.2 2.6 -6.3 4.4 -3.1 -3.5 10.6 -9.0 13.5 -2.4 6.0 -10.1 -10.6 -10.2 -10.2 3.0 11.5 -15.6 14.4 -10.0 -12.7 0.4 -2.4 3.7 -5.8 5.3 -4.0 -6.8 -10.2 -20.0 2.3 13.7 -4.3 0.3 -15.0 -9.2 DX 2.1 20.0 20.0 -4.8 -3.2 -3.4 -4.7 -1.5 -5.0 10.9 13.9 13.1 11.6 15.5 16.4 5.8 6.5 5.9 6.1 20.0 18.0 20.0 10.1 20.0 -20.0 5.7 4.3 4.3 5.2 2.3 5.4 12.8 20.0 20.0 20.0 20.0 -4.9 1.9 -3.7 3.1 EUR -0.1 -19.9 -20.0 -3.8 -2.5 -2.7 -3.7 -1.2 -3.9 -6.3 -10.5 -8.1 -8.1 -11.2 -12.0 -6.7 -7.0 -6.7 -6.7 -15.5 -12.6 -10.2 -7.2 -13.0 14.8 -4.5 -2.2 -3.5 -3.0 -1.7 -3.8 -9.9 0.3 -0.2 -7.3 -12.0 3.3 -7.7 3.9 -9.3 EURIBOR-ICE -7.9 3.8 5.2 -1.8 -4.3 -0.7 -4.5 -0.0 -3.0 -8.8 7.6 -7.8 7.5 1.5 3.3 5.7 0.9 5.2 3.5 3.8 7.2 -9.2 7.5 -2.4 10.7 1.5 -4.6 3.0 -4.0 3.2 -1.2 10.8 5.6 5.7 10.8 16.5 -0.8 -11.8 17.6 7.5 EUROSTX 15.1 -1.3 -3.8 1.0 -11.3 3.9 -10.8 6.3 -4.3 -18.3 0.3 3.3 11.6 6.2 -0.8 3.9 -2.5 -0.6 -2.1 1.6 -0.5 -8.9 4.8 2.1 -3.4 0.4 -12.9 -0.2 -5.5 3.4 0.4 6.9 13.7 20.0 -8.3 -11.1 6.0 4.9 -10.5 -11.2 FEEDCOW -1.3 20.0 20.0 -4.7 -10.7 -4.8 -12.4 -6.7 -8.2 -14.3 12.2 -4.5 -6.1 17.6 20.0 -1.3 -3.5 6.7 6.0 20.0 17.8 -0.9 1.1 18.5 -14.9 6.9 -2.8 4.1 -0.5 0.5 4.3 2.2 9.5 15.5 20.0 20.0 18.8 15.8 20.0 20.0 GASOIL 2.8 4.4 -2.4 -0.4 3.0 -2.8 2.3 -3.1 1.4 -7.6 -12.1 5.3 -10.3 1.8 0.1 4.7 6.2 3.2 3.2 -2.0 -7.8 0.8 -8.1 1.3 4.5 -1.1 -1.6 -4.6 0.7 -5.1 1.0 0.1 -2.5 -3.3 3.3 -5.9 -1.6 -8.0 0.8 -12.4 GASOLINE 1.8 -1.4 -2.6 -0.5 3.3 -3.1 2.6 -3.5 1.5 -2.2 -9.7 -0.7 -5.4 -5.9 -2.7 -20.0 11.9 -18.3 -0.1 -3.7 -6.3 -1.1 -4.0 -1.8 -20.0 -0.5 1.8 -1.4 -0.5 -0.4 -0.5 5.3 -10.3 0.9 -2.7 7.3 1.5 8.3 6.2 15.2 GAS_US_mini 6.2 13.3 14.1 -0.4 2.6 -2.4 2.0 -2.7 1.2 14.8 -10.5 12.6 -15.0 9.6 2.5 20.0 -20.0 -15.3 -20.0 3.2 -3.3 17.5 -11.0 10.3 20.0 0.5 12.2 -2.6 9.2 -5.4 4.6 -20.0 20.0 1.5 2.7 0.2 -6.4 -12.4 -4.4 -10.5 GBP 1.8 -17.5 -15.9 -5.4 -3.7 -3.9 -5.3 -1.7 -5.6 -12.9 -9.1 -11.7 2.7 -14.0 -15.4 0.5 -0.1 0.5 0.3 -14.5 -8.5 -14.7 -0.1 -14.3 -0.6 -5.4 -5.4 -2.8 -5.9 0.8 -5.6 2.1 -5.3 8.6 -1.9 1.5 6.8 -9.1 19.8 -8.5 GOLD_micro -5.4 -20.0 -11.3 -1.4 -1.3 -0.4 -2.7 -0.3 -2.4 -5.4 4.3 -6.2 8.4 -5.7 -1.5 -9.1 -12.6 -10.5 -11.4 -1.0 4.9 -5.9 9.6 -4.7 -10.5 -0.2 -1.6 2.6 -2.5 4.9 -2.0 -11.4 -3.8 -1.2 -2.6 6.9 20.0 4.5 20.0 9.4 HEATOIL 2.3 0.5 -1.8 -0.5 3.2 -3.0 2.4 -3.3 1.5 -11.2 -14.1 8.2 -14.0 0.8 -6.2 6.2 3.2 2.0 0.3 -3.7 -10.1 1.6 -11.6 0.8 -20.0 -1.3 -1.3 -4.4 0.8 -5.4 0.5 -5.5 -1.2 -2.3 -0.7 1.3 -2.5 1.2 -0.3 1.7 JGB-SGX-mini 0.6 -18.8 -10.0 -2.1 -6.3 -0.9 -5.9 0.0 -3.5 3.0 -3.1 -1.9 -0.0 -10.6 -11.0 19.0 14.1 16.2 15.0 -9.8 -6.3 -1.9 -2.0 -7.2 -13.5 -3.8 0.3 -2.6 -0.8 -1.4 -2.8 20.0 20.0 2.8 -6.2 -2.1 -20.0 -18.2 -20.0 -14.2 JPY -6.5 -8.5 -12.3 -2.8 -1.9 -2.0 -2.7 -0.9 -2.8 -8.3 -5.1 -8.5 -5.7 -6.5 -7.9 -10.1 -13.2 -10.6 -11.4 -8.4 -6.6 -13.6 -6.5 -10.5 20.0 -2.6 -4.3 -1.8 -4.6 -1.9 -3.5 -19.3 -10.8 -2.5 2.5 -3.0 -9.8 -20.0 -6.8 -20.0 LEANHOG -16.1 -4.7 20.0 -4.6 -10.7 -4.8 -12.3 -6.7 -8.2 -1.5 14.6 -12.2 6.7 -6.1 14.8 -20.0 2.5 -20.0 -1.2 10.7 15.2 -3.2 6.3 -0.7 -1.0 6.6 -0.1 7.7 -0.3 4.1 1.9 4.4 16.2 10.1 20.0 20.0 8.6 -6.2 13.6 0.2 LIVECOW -4.6 -4.9 8.5 -4.7 -10.9 -4.9 -12.6 -6.8 -8.3 -12.8 19.3 -9.2 18.5 -1.4 16.8 0.5 4.3 -1.3 1.6 9.0 13.8 -7.9 15.1 1.5 -20.0 5.0 -6.2 6.4 -3.6 7.6 1.7 5.4 15.5 14.7 5.7 20.0 0.1 15.0 5.0 19.4 LUMBER-new -20.0 1.9 15.9 -3.6 -8.4 -3.8 -9.7 -5.0 -6.4 15.8 5.4 -4.5 -3.8 -6.7 4.5 -20.0 -19.3 -20.0 -19.9 1.3 5.2 -2.9 -1.3 -7.2 NaN 0.0 2.9 1.9 -1.3 0.1 -3.2 -20.0 12.2 -17.6 12.7 15.8 10.9 3.9 15.5 12.1 MILK 19.1 -15.2 -11.5 -2.8 -6.4 -2.9 -7.4 -4.0 -4.9 6.5 1.3 9.2 6.1 3.4 -7.2 7.9 -1.6 8.7 7.3 -3.3 -0.6 6.5 3.9 2.8 14.6 -1.0 3.2 -0.3 2.7 0.9 1.5 4.5 20.0 20.0 -5.7 -8.2 -11.6 -20.0 -7.5 -20.0 MXP 11.4 2.8 -10.0 -4.8 -3.2 -3.4 -4.7 -1.5 -4.9 6.6 -14.9 11.1 -13.5 3.7 -7.1 12.1 13.2 11.9 11.9 -4.9 -13.6 3.8 -13.8 1.9 -20.0 -2.6 2.6 -7.0 2.3 -6.9 1.1 20.0 20.0 20.0 17.0 7.2 9.2 20.0 14.7 20.0 NASDAQ_micro 0.7 4.9 4.5 0.4 -3.9 2.4 -5.8 4.1 -2.9 0.3 11.5 1.9 12.1 7.6 11.4 -9.7 -9.9 -9.7 -9.6 11.3 12.0 3.0 13.0 7.6 -20.0 4.1 1.3 5.0 0.2 6.4 2.2 -5.5 20.0 18.5 13.2 15.4 12.6 5.0 -2.5 -9.3 NIKKEI 6.4 1.7 6.7 0.5 -4.9 3.0 -7.3 5.1 -3.6 2.2 7.8 4.1 8.6 4.8 12.1 12.1 7.6 7.8 6.8 4.8 5.4 0.8 9.5 3.0 -9.9 1.3 0.6 0.0 -0.4 3.0 1.1 20.0 20.0 18.4 4.3 -1.9 20.0 18.2 20.0 20.0 NZD -11.5 -18.7 -16.1 -3.7 -2.5 -2.6 -3.6 -1.2 -3.8 -10.9 -10.9 -12.1 -6.6 -12.7 -12.9 -1.7 -0.6 -1.3 -0.9 -16.7 -11.6 -18.5 -6.1 -18.7 2.1 -4.5 -4.0 -2.9 -5.2 -1.4 -5.2 0.7 -9.6 -12.0 -6.8 -5.3 -6.6 -3.2 -6.9 -0.2 OAT -0.4 2.3 -2.3 -2.5 -7.6 -1.0 -7.1 0.0 -4.2 -13.4 1.8 -11.4 -2.2 -2.1 -3.8 -19.0 1.4 -6.8 -1.8 -2.0 -1.1 -17.0 -1.9 -7.3 4.1 -0.8 -10.6 0.1 -8.7 0.3 -3.8 7.2 3.1 3.2 7.4 9.3 -2.1 -13.6 17.6 5.2 OATIES -8.8 -14.8 13.4 -2.4 -5.6 -2.5 -6.4 -3.5 -4.3 -11.2 -0.4 -10.6 -6.3 -10.6 -1.4 -14.5 -2.1 -10.1 -5.2 -3.9 0.2 -15.2 -1.1 -9.3 -20.0 -2.5 -9.7 -0.5 -6.5 -0.3 -4.4 -6.0 -5.9 -10.6 -10.5 7.5 20.0 5.9 20.0 14.1 OJ 6.1 7.4 5.3 -4.2 -9.7 -4.3 -11.1 -6.0 -7.4 -2.7 20.0 6.2 20.0 16.3 18.8 20.0 15.1 19.3 16.5 20.0 20.0 16.0 20.0 20.0 -20.0 7.4 -1.1 6.6 4.7 7.8 7.6 20.0 20.0 20.0 20.0 20.0 20.0 8.9 20.0 20.0 PALLAD -9.5 -16.1 3.0 -1.3 -1.2 -0.4 -2.6 -0.2 -2.3 -2.3 -2.7 -4.9 -4.2 -8.4 -6.8 -1.9 -2.1 -2.0 -2.0 -5.8 -2.5 -4.8 -3.3 -7.3 14.6 -1.9 0.6 -0.5 -1.9 -0.7 -2.8 5.7 3.1 -5.7 -5.4 -0.8 -18.9 -20.0 -20.0 -20.0 PLAT -1.4 -12.9 -2.7 -2.1 -2.0 -0.7 -4.3 -0.4 -3.8 12.2 -11.0 3.2 -5.7 -11.9 -10.9 -4.7 -4.5 -4.6 -4.6 -7.8 -5.4 2.6 -2.8 -5.3 6.7 -4.4 5.6 -3.0 0.6 -1.5 -3.4 1.4 20.0 -3.6 -9.0 -8.8 8.8 -9.2 4.1 -3.8 REDWHEAT 2.8 -10.4 -2.7 -4.5 -10.4 -4.7 -12.0 -6.5 -8.0 -15.0 -20.0 -11.7 -20.0 -17.4 -19.1 -10.4 -8.3 -10.6 -10.0 -17.1 -19.7 -9.6 -20.0 -12.7 -3.0 -7.2 -4.2 -7.8 -4.6 -8.7 -5.5 -16.5 -2.2 -0.9 -18.3 -10.7 -20.0 -20.0 -14.7 -20.0 RICE -13.9 -2.1 -11.6 -3.7 -8.6 -3.8 -9.8 -5.3 -6.5 -16.3 -6.1 -17.7 5.5 -9.8 -9.8 -8.0 14.1 -7.4 2.5 -13.8 -7.7 -20.0 -0.3 -20.0 -13.8 -5.4 -13.7 -3.2 -12.9 -1.1 -8.5 16.2 -20.0 -20.0 -20.0 -17.8 -7.5 -20.0 -7.9 -20.0 ROBUSTA 1.7 2.0 -14.2 -1.6 -3.6 -1.6 -4.2 -2.3 -2.8 -4.9 5.9 -0.2 7.1 2.7 3.1 3.9 20.0 9.7 16.4 6.5 8.5 -0.4 11.3 3.9 -20.0 2.2 -0.6 2.9 -0.1 4.5 1.3 20.0 1.4 7.6 17.7 11.3 6.9 2.5 10.5 8.2 RUSSELL -20.0 0.3 4.5 0.4 -3.7 2.3 -5.6 3.9 -2.8 -8.3 7.2 -10.3 10.4 -4.7 3.8 -5.8 -6.3 -6.1 -6.1 0.4 6.8 -18.4 8.0 -11.2 1.4 0.3 -4.2 3.0 -6.1 3.8 -3.7 0.5 -13.5 -20.0 4.7 9.0 -7.8 -10.5 -20.0 -20.0 SHATZ -4.7 1.7 6.9 -1.6 -5.0 -0.7 -4.7 0.0 -2.8 -8.3 6.1 -8.4 1.0 0.1 0.5 -20.0 -20.0 -20.0 -20.0 1.7 4.2 -5.8 2.1 -2.2 6.0 0.9 -3.8 2.5 -3.3 1.9 -1.2 -20.0 18.7 2.4 6.8 12.6 -3.5 -12.8 6.9 -4.3 SILVER-mini -3.9 -14.0 -1.0 -1.8 -1.6 -0.6 -3.6 -0.3 -3.2 -7.0 0.4 -8.1 6.6 -10.4 -4.2 -5.9 -6.3 -6.0 -6.0 -5.1 1.1 -11.0 6.2 -9.6 -3.0 -1.7 -2.9 0.9 -4.9 2.9 -4.0 -1.4 -15.6 -3.2 -4.7 3.4 4.4 -1.3 -0.9 7.1 SMI 0.3 -15.0 -16.2 0.7 -8.6 3.0 -8.2 4.8 -3.3 -9.3 -4.6 -9.8 8.0 -12.1 -11.9 6.9 1.1 3.0 1.4 -11.3 -6.4 -15.9 1.9 -12.7 8.9 -4.4 -7.5 -1.5 -7.1 2.7 -5.5 12.9 6.3 -2.7 -20.0 -20.0 -4.4 1.9 -15.6 -11.9 SOFR -7.4 -14.7 -20.0 -2.8 -6.7 -1.2 -7.1 -0.0 -4.6 -14.0 -6.6 -14.6 0.8 -13.6 -14.2 -0.6 -0.0 -0.0 0.1 -18.6 -12.0 -20.0 -4.4 -20.0 -6.1 -5.2 -5.4 -3.5 -6.5 -1.3 -5.8 7.2 -11.9 -17.6 -16.3 -20.0 -3.7 -4.7 12.4 14.9 SOYBEAN -0.2 -1.0 -4.5 -3.3 -7.6 -3.4 -8.7 -4.7 -5.8 0.2 -16.7 -3.8 -16.3 -11.7 -14.8 -3.7 -0.1 -3.0 -2.8 -15.6 -20.0 -8.8 -20.0 -13.1 -18.6 -6.1 -0.7 -6.9 -4.4 -7.4 -5.7 -3.7 -6.1 -9.7 -12.1 -15.8 5.6 -6.0 8.9 0.5 SOYMEAL 9.9 0.0 -3.5 -3.2 -7.4 -3.3 -8.5 -4.6 -5.6 12.1 -15.9 6.6 -16.0 -4.9 -14.5 -13.8 -1.9 -10.3 -6.7 -9.5 -13.8 5.6 -16.1 -2.4 -20.0 -4.4 7.2 -6.0 3.2 -5.9 -0.9 -7.8 19.9 10.4 -8.6 -12.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -11.7 -10.6 11.4 -1.6 -3.7 -1.7 -4.3 -2.3 -2.9 -5.2 -2.7 -6.2 -6.2 -7.4 -4.1 -4.0 -0.3 -2.6 -1.5 -4.5 -2.5 -7.7 -4.1 -7.4 -15.0 -1.7 -1.7 -0.7 -2.8 -1.0 -2.8 -2.2 -5.7 -7.7 -3.5 2.6 4.0 -4.8 8.8 1.3 SP400 -20.0 -1.0 3.9 0.4 -4.1 2.5 -6.1 4.2 -3.0 -8.1 7.6 -10.8 12.0 -6.5 3.7 -6.8 -6.7 -7.2 -7.0 0.1 7.6 -20.0 9.7 -13.3 -9.1 0.2 -4.5 3.0 -6.8 4.1 -4.1 -0.5 -17.5 -20.0 3.5 11.5 -3.8 -5.6 -17.8 -20.0 SP500_micro -15.5 -0.4 1.4 0.5 -5.1 3.2 -7.6 5.3 -3.8 3.7 16.5 -0.8 17.8 8.1 14.5 -11.4 -11.9 -11.7 -11.6 9.8 16.5 -4.7 20.0 0.0 -20.0 2.2 -0.7 6.2 -5.3 9.3 -2.8 -9.0 8.8 -5.6 3.5 17.1 4.6 4.4 -11.4 -11.6 SUGAR11 -20.0 -18.3 8.0 -3.2 -7.4 -3.3 -8.5 -4.6 -5.6 -13.9 2.2 -16.1 -6.3 -16.4 -3.8 20.0 20.0 20.0 20.0 -12.9 -2.0 -20.0 -0.5 -20.0 -20.0 -2.9 -6.3 -0.0 -8.8 0.0 -6.9 20.0 -20.0 -19.2 -12.2 11.0 -20.0 0.1 -20.0 3.1 US10 -4.7 -11.5 -20.0 -2.0 -4.7 -0.8 -5.0 -0.0 -3.3 -9.8 -6.0 -10.1 -1.5 -8.9 -9.8 -1.7 -5.8 -3.3 -4.6 -11.6 -8.2 -17.0 -4.6 -13.5 1.9 -3.6 -3.9 -2.5 -4.5 -1.1 -3.9 -2.0 -4.3 -9.4 -8.5 -14.1 -8.5 -13.2 3.8 9.6 US10U -6.7 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-1.3 -4.4 -7.6 -3.6 -8.4 -10.7 -16.5 -6.1 -10.4 5.1 7.1 VIX 11.7 -4.7 2.7 1.0 1.0 -0.3 6.7 -2.1 4.5 -7.7 -13.4 2.7 -13.9 -3.7 -8.8 -17.9 -20.0 -16.9 -18.6 -1.2 -3.0 6.1 -6.4 4.0 NaN 1.2 0.8 -0.3 6.9 -2.5 4.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -2.2 -13.0 -4.2 -4.6 -10.7 -4.8 -12.3 -6.6 -8.1 -15.3 -20.0 -17.6 -20.0 -20.0 -20.0 -15.9 -14.7 -14.9 -14.7 -20.0 -20.0 -16.1 -20.0 -19.8 6.2 -8.1 -4.4 -7.4 -6.3 -7.0 -7.4 -20.0 -9.9 -10.5 -20.0 -13.4 -14.4 -20.0 -10.2 -20.0 End of report for caleb_strategy_v3