******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20251121_204413 produced at 2025-11-21 21:39:42.878581 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.00 -1.31 0.0 0.00 0.00 0.00 0.00 -29.54 16.0 0 0 caleb_strategy_v3 SOFR False True 0.12 0.00 -0.41 0.0 0.00 0.00 0.00 0.00 -3.27 11.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -25.38 59.0 0 0 caleb_strategy_v3 US2 False True 0.11 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.01 13.0 0 0 caleb_strategy_v3 CAD False False 0.04 -0.15 -0.11 0.0 1.06 -1.06 -0.15 -0.07 -2.97 29.0 -4 -2 caleb_strategy_v3 CHF False False 0.08 -0.08 -0.10 0.0 1.04 -1.04 -0.08 0.00 -1.22 13.0 -1 0 caleb_strategy_v3 VIX False False 0.01 -0.21 -0.09 0.0 999.00 -999.00 -0.21 -0.20 -7.63 999999999.0 -18 -17 caleb_strategy_v3 SHATZ False True 0.06 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.47 24.0 0 0 caleb_strategy_v3 JPY False False 0.04 -0.16 -0.08 0.0 0.70 -0.70 -0.16 -0.12 -1.84 17.0 -4 -3 caleb_strategy_v3 COTTON2 False False 0.02 -0.07 -0.07 0.0 0.18 -0.18 -0.07 -0.07 -4.32 11.0 -4 -4 caleb_strategy_v3 SP500_micro False False 0.02 -0.02 -0.05 0.0 0.82 -0.82 -0.02 -0.03 -2.72 48.0 -1 -2 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 -0.05 0.0 0.15 -0.15 0.00 -0.03 -1.80 5.0 0 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.04 0.0 0.79 -0.79 0.00 -0.16 -3.16 66.0 0 -13 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -4.81 2.0 0 0 caleb_strategy_v3 GBP False False 0.04 0.00 -0.04 0.0 0.93 -0.93 0.00 0.00 -0.85 22.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.03 -0.20 -0.04 0.0 0.58 -0.58 -0.20 -0.18 -1.58 23.0 -8 -7 caleb_strategy_v3 US5 False False 0.06 -0.06 -0.04 0.0 1.41 -1.41 -0.06 0.00 -0.63 25.0 -1 0 caleb_strategy_v3 SP400 False False 0.16 0.00 -0.04 0.0 0.33 -0.33 0.00 0.00 -0.26 2.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.04 -0.03 0.0 0.80 -0.80 -0.04 -0.06 -2.05 58.0 -3 -4 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -4.26 3.0 0 0 caleb_strategy_v3 EUR False False 0.07 0.00 -0.03 0.0 1.04 -1.04 0.00 0.00 -0.35 14.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.05 -0.03 0.0 0.15 -0.15 -0.05 -0.05 -3.07 18.0 -6 -6 caleb_strategy_v3 RICE False True 0.01 -0.03 -0.03 0.0 0.00 -0.03 -0.03 -0.03 -3.23 4.0 -3 -3 caleb_strategy_v3 MILK False False 0.02 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.35 5.0 0 0 caleb_strategy_v3 COCOA False False 0.03 -0.03 -0.02 0.0 0.69 -0.69 -0.03 -0.05 -0.60 26.0 -1 -2 caleb_strategy_v3 RUSSELL False False 0.01 -0.18 -0.02 0.0 0.42 -0.42 -0.18 -0.12 -3.59 68.0 -29 -19 caleb_strategy_v3 US10 False False 0.06 0.00 -0.02 0.0 0.99 -0.99 0.00 0.00 -0.34 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.02 -0.02 -0.02 0.0 1.19 -1.19 -0.02 -0.06 -1.09 56.0 -1 -3 caleb_strategy_v3 NZD False False 0.03 -0.14 -0.02 0.0 0.61 -0.61 -0.14 -0.14 -0.84 21.0 -5 -5 caleb_strategy_v3 BUXL False False 0.07 -0.07 -0.02 0.0 0.27 -0.27 -0.07 -0.07 -0.23 4.0 -1 -1 caleb_strategy_v3 OJ False False 0.01 -0.02 -0.01 0.0 0.03 -0.03 -0.02 -0.02 -1.31 3.0 -2 -2 caleb_strategy_v3 US10U False False 0.06 -0.18 -0.01 0.0 0.77 -0.77 -0.18 -0.18 -0.20 13.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.72 8.0 0 0 caleb_strategy_v3 SOYOIL False False 0.02 -0.06 -0.01 0.0 0.16 -0.16 -0.06 -0.06 -0.56 10.0 -4 -4 caleb_strategy_v3 US30 False False 0.06 0.00 -0.01 0.0 0.37 -0.37 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 LIVECOW False False 0.04 -0.04 -0.01 0.0 0.75 -0.75 -0.04 -0.04 -0.28 17.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.02 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.71 9.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.63 12.0 0 0 caleb_strategy_v3 BUND False False 0.08 0.00 -0.01 0.0 0.76 -0.76 0.00 0.00 -0.08 10.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.08 0.00 -0.00 0.0 0.63 -0.63 0.00 0.00 -0.03 8.0 0 0 caleb_strategy_v3 LEANHOG False False 0.02 0.00 0.00 0.0 0.21 -0.21 0.00 0.00 0.29 13.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.20 9.0 0 0 caleb_strategy_v3 PALLAD False False 0.07 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.04 2.0 0 0 caleb_strategy_v3 PLAT False False 0.04 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.00 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.00 0.0 0.53 -0.53 0.02 0.00 0.19 23.0 1 0 caleb_strategy_v3 US20 False True 0.06 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.03 9.0 0 0 caleb_strategy_v3 HEATOIL False False 0.05 0.05 0.01 0.0 0.15 -0.15 0.05 0.05 0.29 3.0 1 1 caleb_strategy_v3 GASOLINE False False 0.04 0.04 0.01 0.0 999.00 -999.00 0.04 0.00 0.34 999999999.0 1 0 caleb_strategy_v3 SOYBEAN False False 0.03 0.11 0.01 0.0 0.20 -0.20 0.11 0.06 0.24 7.0 4 2 caleb_strategy_v3 COFFEE False False 0.07 0.00 0.01 0.0 0.43 -0.43 0.00 0.07 0.14 6.0 0 1 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 4.31 51.0 1 1 caleb_strategy_v3 GAS_US_mini False True 0.01 -0.01 0.02 0.0 0.00 -0.01 -0.01 -0.01 2.69 26.0 -2 -2 caleb_strategy_v3 SILVER-mini False False 0.07 0.07 0.02 0.0 999.00 -999.00 0.07 0.07 0.28 999999999.0 1 1 caleb_strategy_v3 COPPER False False 0.07 0.00 0.03 0.0 999.00 -999.00 0.00 0.07 0.41 999999999.0 0 1 caleb_strategy_v3 EUROSTX False False 0.03 0.16 0.05 0.0 0.66 -0.66 0.16 0.13 1.42 20.0 5 4 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.05 0.0 0.14 -0.14 0.00 0.03 1.32 4.0 0 1 caleb_strategy_v3 CAC False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.33 12.0 0 0 caleb_strategy_v3 AUD False False 0.03 0.00 0.06 0.0 0.63 -0.63 0.00 0.00 1.85 19.0 0 0 caleb_strategy_v3 BOBL False False 0.07 0.07 0.08 0.0 1.33 -1.33 0.07 0.07 1.15 19.0 1 1 caleb_strategy_v3 NIKKEI False False 0.02 0.10 0.08 0.0 0.58 -0.58 0.10 0.10 4.87 36.0 6 6 caleb_strategy_v3 BTP False False 0.07 0.00 0.10 0.0 0.72 -0.72 0.00 0.00 1.33 10.0 0 0 caleb_strategy_v3 DX False False 0.05 0.00 0.10 0.0 999.00 -999.00 0.00 0.00 1.95 999999999.0 0 0 caleb_strategy_v3 SMI False True 0.08 0.00 0.12 0.0 0.00 0.00 0.00 0.00 1.53 9.0 0 0 caleb_strategy_v3 OAT False False 0.07 0.29 0.17 0.0 0.73 -0.73 0.29 0.36 2.28 10.0 4 5 caleb_strategy_v3 MXP False False 0.01 0.40 0.48 0.0 0.83 -0.83 0.40 0.40 34.71 60.0 29 29 caleb_strategy_v3 EURIBOR-ICE False False 0.15 0.00 1.29 0.0 1.45 -1.45 0.00 0.00 8.91 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.7 Shocked risk 26.3 Sum abs risk 43.7 Leverage 5.92 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 1945660.12, 'annual_cash_vol_target': 486415.03, 'daily_cash_vol_target': 30400.939375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6458 0.5283 8.4528 BITCOIN 2304.5858 84555.0000 2.7255 43.6087 BOBL 0.1585 118.0100 0.1343 2.1492 BTP 0.3697 120.8200 0.3060 4.8957 BUND 0.3228 128.8400 0.2506 4.0092 BUXL 0.8033 113.6200 0.7070 11.3118 CAC 63.7463 8032.0000 0.7937 12.6985 CAD 0.0024 0.7104 0.3402 5.4429 CANOLA 6.1692 654.3000 0.9429 15.0859 CHF 0.0053 1.2410 0.4245 6.7924 COCOA 139.1112 5157.0000 2.6975 43.1604 COFFEE 7.2851 372.1500 1.9576 31.3213 COPPER 0.0669 5.0960 1.3135 21.0159 CORN 4.0818 460.7500 0.8859 14.1746 COTTON2 0.6860 63.9300 1.0730 17.1682 CRUDE_W 0.8418 57.6000 1.4614 23.3829 DAX 190.1930 23296.0000 0.8164 13.0627 DOW 349.8989 46467.0000 0.7530 12.0481 DX 0.3483 99.7900 0.3491 5.5852 EUR 0.0041 1.1528 0.3582 5.7305 EURIBOR-ICE 0.0294 97.7950 0.0301 0.4814 EUROSTX 47.3152 5550.0000 0.8525 13.6404 FEEDCOW 4.1771 307.1750 1.3598 21.7575 GASOIL 12.3717 668.2500 1.8514 29.6216 GASOLINE 0.0315 1.8016 1.7481 27.9698 GAS_US_mini 0.1080 4.7550 2.2704 36.3258 GBP 0.0057 1.3103 0.4360 6.9758 GOLD_micro 45.4229 4122.5000 1.1018 17.6293 HEATOIL 0.0485 2.3374 2.0730 33.1679 JGB-SGX-mini 0.1921 135.1300 0.1421 2.2742 JPY 0.0000 0.0064 0.6022 9.6351 LEANHOG 1.2116 77.5750 1.5619 24.9901 LIVECOW 2.6988 214.4750 1.2583 20.1333 LUMBER-new 8.4614 566.0000 1.4949 23.9192 MXP 0.0003 0.0540 0.5460 8.7360 NASDAQ_micro 245.4449 24460.0000 1.0035 16.0553 NIKKEI 689.0539 48900.0000 1.4091 22.5457 NZD 0.0032 0.5618 0.5747 9.1945 OAT 0.3408 122.2800 0.2787 4.4597 OATIES 4.9193 308.0000 1.5972 25.5549 OJ 5.8992 142.3000 4.1456 66.3299 PALLAD 35.7878 1415.0000 2.5292 40.4668 PLAT 27.7725 1526.9000 1.8189 29.1021 REDWHEAT 8.6958 527.7500 1.6477 26.3634 RICE 0.1528 10.3750 1.4724 23.5577 ROBUSTA 93.9696 4517.0000 2.0804 33.2857 RUSSELL 31.1060 2385.1000 1.3042 20.8669 SHATZ 0.0457 107.0100 0.0427 0.6832 SILVER-mini 0.8856 50.7500 1.7451 27.9210 SMI 92.0375 12681.0000 0.7258 11.6126 SOFR 0.0488 96.8150 0.0504 0.8063 SOYBEAN 8.9397 1113.0000 0.8032 12.8513 SOYMEAL 4.6627 325.3000 1.4334 22.9336 SOYOIL 0.6438 51.1400 1.2589 20.1422 SP400 33.5347 3199.0000 1.0483 16.7726 SP500_micro 52.0756 6649.2500 0.7832 12.5309 SUGAR11 0.2320 14.2800 1.6243 25.9891 US10 0.3244 113.1875 0.2866 4.5851 US10U 0.4032 115.8281 0.3481 5.5691 US2 0.0784 104.2617 0.0752 1.2031 US20 0.6089 116.8125 0.5213 8.3408 US30 0.9042 120.0938 0.7529 12.0466 US5 0.2077 109.6172 0.1895 3.0322 VIX 0.5153 22.8500 2.2553 36.0855 WHEAT 7.9644 586.7500 1.3574 21.7180 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 645.75 0.53 341.15 1.00 341.15 30400.94 89.11 7.98 71.14 BITCOIN 84.56 2.73 230.46 1.00 230.46 30400.94 131.91 -17.74 -234.06 BOBL 1180.10 0.13 158.51 1.15 182.56 30400.94 166.53 6.80 113.31 BTP 1208.20 0.31 369.68 1.15 425.76 30400.94 71.40 5.45 38.92 BUND 1288.40 0.25 322.84 1.15 371.81 30400.94 81.76 -1.02 -8.36 BUXL 1136.20 0.71 803.28 1.15 925.12 30400.94 32.86 -6.82 -22.40 CAC 803.20 0.79 637.46 1.15 734.15 30400.94 41.41 9.43 39.03 CAD 710.35 0.34 241.65 1.00 241.65 30400.94 125.81 -9.09 -114.42 CANOLA 130.86 0.94 123.38 0.71 87.76 30400.94 346.43 5.11 177.02 CHF 1551.25 0.42 658.55 1.00 658.55 30400.94 46.16 -10.15 -46.84 COCOA 515.70 2.70 1391.11 1.00 1391.11 30400.94 21.85 -11.29 -24.66 COFFEE 1395.56 1.96 2731.93 1.00 2731.93 30400.94 11.13 9.62 10.70 COPPER 1274.00 1.31 1673.39 1.00 1673.39 30400.94 18.17 2.06 3.74 CORN 230.38 0.89 204.09 1.00 204.09 30400.94 148.96 -1.73 -25.71 COTTON2 319.65 1.07 342.99 1.00 342.99 30400.94 88.64 -20.00 -177.27 CRUDE_W 576.00 1.46 841.78 1.00 841.78 30400.94 36.11 -4.59 -16.59 DAX 232.96 0.82 190.19 1.15 219.04 30400.94 138.79 -4.32 -59.91 DOW 232.34 0.75 174.95 1.00 174.95 30400.94 173.77 -7.81 -135.76 DX 997.90 0.35 348.34 1.00 348.34 30400.94 87.27 8.58 74.92 EUR 1441.06 0.36 516.13 1.00 516.13 30400.94 58.90 -2.29 -13.50 EURIBOR-ICE 2444.88 0.03 73.56 1.15 84.72 30400.94 358.86 7.27 260.81 EUROSTX 555.00 0.85 473.15 1.15 544.92 30400.94 55.79 7.44 41.53 FEEDCOW 1535.88 1.36 2088.55 1.00 2088.55 30400.94 14.56 -0.64 -0.94 GASOIL 668.25 1.85 1237.17 1.00 1237.17 30400.94 24.57 12.41 30.49 GASOLINE 756.67 1.75 1322.75 1.00 1322.75 30400.94 22.98 3.39 7.79 GAS_US_mini 118.88 2.27 269.89 1.00 269.89 30400.94 112.64 2.20 24.78 GBP 818.94 0.44 357.05 1.00 357.05 30400.94 85.15 -3.85 -32.75 GOLD_micro 412.25 1.10 454.23 1.00 454.23 30400.94 66.93 -4.75 -31.82 HEATOIL 981.71 2.07 2035.08 1.00 2035.08 30400.94 14.94 4.44 6.63 JGB-SGX-mini 135130.00 0.14 19206.74 0.01 121.76 30400.94 249.68 -10.91 -272.43 JPY 801.31 0.60 482.54 1.00 482.54 30400.94 63.00 -11.22 -70.71 LEANHOG 310.30 1.56 484.65 1.00 484.65 30400.94 62.73 0.77 4.82 LIVECOW 857.90 1.26 1079.52 1.00 1079.52 30400.94 28.16 -2.95 -8.31 LUMBER-new 155.65 1.49 232.69 1.00 232.69 30400.94 130.65 -13.37 -174.71 MXP 269.85 0.55 147.34 1.00 147.34 30400.94 206.33 11.44 236.15 NASDAQ_micro 489.20 1.00 490.89 1.00 490.89 30400.94 61.93 -10.97 -67.94 NIKKEI 48900.00 1.41 68905.39 0.01 436.82 30400.94 69.60 6.45 44.87 NZD 561.85 0.57 322.87 1.00 322.87 30400.94 94.16 -3.44 -32.41 OAT 1222.80 0.28 340.83 1.15 392.53 30400.94 77.45 8.63 66.86 OATIES 154.00 1.60 245.97 1.00 245.97 30400.94 123.60 -15.98 -197.51 OJ 213.45 4.15 884.88 1.00 884.88 30400.94 34.36 -15.63 -53.71 PALLAD 1415.00 2.53 3578.78 1.00 3578.78 30400.94 8.49 1.27 1.08 PLAT 763.45 1.82 1388.63 1.00 1388.63 30400.94 21.89 0.04 0.09 REDWHEAT 263.88 1.65 434.79 1.00 434.79 30400.94 69.92 -7.70 -53.87 RICE 207.50 1.47 305.51 1.00 305.51 30400.94 99.51 -13.30 -132.39 ROBUSTA 451.70 2.08 939.70 1.00 939.70 30400.94 32.35 4.46 14.44 RUSSELL 119.26 1.30 155.53 1.00 155.53 30400.94 195.47 -5.54 -108.25 SHATZ 1070.10 0.04 45.70 1.15 52.63 30400.94 577.66 -2.51 -144.80 SILVER-mini 1268.75 1.75 2214.05 1.00 2214.05 30400.94 13.73 5.96 8.18 SMI 1268.10 0.73 920.38 1.24 1140.86 30400.94 26.65 16.79 44.74 SOFR 2420.38 0.05 121.98 1.00 121.98 30400.94 249.24 -2.16 -53.73 SOYBEAN 556.50 0.80 446.98 1.00 446.98 30400.94 68.01 3.84 26.14 SOYMEAL 325.30 1.43 466.27 1.00 466.27 30400.94 65.20 -3.35 -21.82 SOYOIL 306.84 1.26 386.28 1.00 386.28 30400.94 78.70 -7.67 -60.39 SP400 3199.00 1.05 3353.47 1.00 3353.47 30400.94 9.07 -8.66 -7.85 SP500_micro 332.46 0.78 260.38 1.00 260.38 30400.94 116.76 -10.02 -116.93 SUGAR11 159.94 1.62 259.79 1.00 259.79 30400.94 117.02 -10.77 -126.08 US10 1131.88 0.29 324.36 1.00 324.36 30400.94 93.72 -2.88 -27.01 US10U 1158.28 0.35 403.16 1.00 403.16 30400.94 75.41 -2.07 -15.61 US2 2085.23 0.08 156.79 1.00 156.79 30400.94 193.89 -4.11 -79.77 US20 1168.12 0.52 608.95 1.00 608.95 30400.94 49.92 -0.50 -2.47 US30 1200.94 0.75 904.20 1.00 904.20 30400.94 33.62 -3.16 -10.62 US5 1096.17 0.19 207.74 1.00 207.74 30400.94 146.34 -3.37 -49.29 VIX 228.50 2.26 515.35 1.00 515.35 30400.94 58.99 -5.23 -30.86 WHEAT 293.38 1.36 398.22 1.00 398.22 30400.94 76.34 -7.03 -53.70 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 71.141 0.010 2.5 1.848 BITCOIN -234.058 0.043 2.5 -25.381 BOBL 113.309 0.004 2.5 1.151 BTP 38.918 0.014 2.5 1.329 BUND -8.356 0.004 2.5 -0.085 BUXL -22.399 0.004 2.5 -0.227 CAC 39.034 0.014 2.5 1.333 CAD -114.419 0.010 2.5 -2.973 CANOLA 177.023 0.010 2.5 4.313 CHF -46.837 0.010 2.5 -1.217 COCOA -24.663 0.010 2.5 -0.601 COFFEE 10.702 0.005 2.5 0.142 COPPER 3.739 0.043 2.5 0.405 CORN -25.712 0.010 2.5 -0.626 COTTON2 -177.270 0.010 2.5 -4.319 CRUDE_W -16.587 0.043 2.5 -1.799 DAX -59.905 0.014 2.5 -2.046 DOW -135.756 0.009 2.5 -3.159 DX 74.920 0.010 2.5 1.947 EUR -13.502 0.010 2.5 -0.351 EURIBOR-ICE 260.810 0.014 2.5 8.908 EUROSTX 41.528 0.014 2.5 1.418 FEEDCOW -0.939 0.013 2.5 -0.031 GASOIL 30.495 0.017 2.5 1.324 GASOLINE 7.792 0.017 2.5 0.338 GAS_US_mini 24.776 0.043 2.5 2.687 GBP -32.745 0.010 2.5 -0.851 GOLD_micro -31.822 0.014 2.5 -1.087 HEATOIL 6.628 0.017 2.5 0.288 JGB-SGX-mini -272.428 0.043 2.5 -29.542 JPY -70.709 0.010 2.5 -1.837 LEANHOG 4.825 0.024 2.5 0.294 LIVECOW -8.314 0.013 2.5 -0.276 LUMBER-new -174.709 0.010 2.5 -4.256 MXP 236.147 0.059 2.5 34.709 NASDAQ_micro -67.943 0.009 2.5 -1.581 NIKKEI 44.869 0.043 2.5 4.866 NZD -32.405 0.010 2.5 -0.842 OAT 66.863 0.014 2.5 2.284 OATIES -197.514 0.010 2.5 -4.812 OJ -53.713 0.010 2.5 -1.309 PALLAD 1.078 0.014 2.5 0.037 PLAT 0.089 0.014 2.5 0.003 REDWHEAT -53.873 0.005 2.5 -0.716 RICE -132.387 0.010 2.5 -3.225 ROBUSTA 14.436 0.005 2.5 0.192 RUSSELL -108.247 0.013 2.5 -3.592 SHATZ -144.797 0.004 2.5 -1.470 SILVER-mini 8.184 0.014 2.5 0.280 SMI 44.743 0.014 2.5 1.528 SOFR -53.726 0.024 2.5 -3.270 SOYBEAN 26.139 0.004 2.5 0.243 SOYMEAL -21.825 0.004 2.5 -0.203 SOYOIL -60.394 0.004 2.5 -0.563 SP400 -7.850 0.013 2.5 -0.260 SP500_micro -116.932 0.009 2.5 -2.721 SUGAR11 -126.081 0.010 2.5 -3.072 US10 -27.009 0.005 2.5 -0.343 US10U -15.615 0.005 2.5 -0.198 US2 -79.774 0.005 2.5 -1.012 US20 -2.475 0.005 2.5 -0.031 US30 -10.623 0.005 2.5 -0.135 US5 -49.287 0.005 2.5 -0.625 VIX -30.865 0.099 2.5 -7.629 WHEAT -53.704 0.005 2.5 -0.713 ===================== Position diags ===================== AUD 2.32 BITCOIN 14.30 BOBL 1.69 BTP 2.44 BUND 0.83 BUXL 0.33 CAC 1.41 CAD 3.27 CANOLA 8.44 CHF 1.20 COCOA 0.53 COFFEE 0.15 COPPER 1.97 CORN 3.63 COTTON2 2.16 CRUDE_W 3.92 DAX 4.74 DOW 4.04 DX 2.27 EUR 1.53 EURIBOR-ICE 12.26 EUROSTX 1.91 FEEDCOW 0.48 GASOIL 1.07 GASOLINE 1.00 GAS_US_mini 12.21 GBP 2.21 GOLD_micro 2.29 HEATOIL 0.65 JGB-SGX-mini 27.08 JPY 1.64 LEANHOG 3.82 LIVECOW 0.93 LUMBER-new 3.18 MXP 30.33 NASDAQ_micro 1.44 NIKKEI 7.55 NZD 2.45 OAT 2.65 OATIES 3.01 OJ 0.84 PALLAD 0.29 PLAT 0.75 REDWHEAT 0.93 RICE 2.42 ROBUSTA 0.43 RUSSELL 6.49 SHATZ 5.87 SILVER-mini 0.47 SMI 0.91 SOFR 15.17 SOYBEAN 0.63 SOYMEAL 0.61 SOYOIL 0.73 SP400 0.30 SP500_micro 2.72 SUGAR11 2.85 US10 1.19 US10U 0.96 US2 2.46 US20 0.63 US30 0.43 US5 1.86 VIX 14.58 WHEAT 1.01 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.8 1.6 2.1 0.0 0 BITCOIN -25.4 -26.8 -24.0 0.0 0 BOBL 1.2 1.0 1.3 1.0 1 BTP 1.3 1.1 1.6 0.0 0 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.2 -0.3 -0.2 -1.0 -1 CAC 1.3 1.2 1.5 0.0 0 CAD -3.0 -3.3 -2.6 -4.0 -4 CANOLA 4.3 3.5 5.2 1.0 1 CHF -1.2 -1.3 -1.1 -1.0 -1 COCOA -0.6 -0.7 -0.5 -1.0 -1 COFFEE 0.1 0.1 0.2 0.0 0 COPPER 0.4 0.2 0.6 0.0 0 CORN -0.6 -1.0 -0.3 0.0 0 COTTON2 -4.3 -4.5 -4.1 -4.0 -4 CRUDE_W -1.8 -2.2 -1.4 0.0 0 DAX -2.0 -2.5 -1.6 -3.0 -3 DOW -3.2 -3.6 -2.8 0.0 0 DX 1.9 1.7 2.2 0.0 0 EUR -0.4 -0.5 -0.2 0.0 0 EURIBOR-ICE 8.9 7.7 10.1 0.0 0 EUROSTX 1.4 1.2 1.6 5.0 5 FEEDCOW -0.0 -0.1 0.0 0.0 0 GASOIL 1.3 1.2 1.4 0.0 0 GASOLINE 0.3 0.2 0.4 1.0 1 GAS_US_mini 2.7 1.5 3.9 -2.0 -2 GBP -0.9 -1.1 -0.6 0.0 0 GOLD_micro -1.1 -1.3 -0.9 -1.0 -1 HEATOIL 0.3 0.2 0.4 1.0 1 JGB-SGX-mini -29.5 -32.2 -26.8 0.0 0 JPY -1.8 -2.0 -1.7 -4.0 -4 LEANHOG 0.3 -0.1 0.7 0.0 0 LIVECOW -0.3 -0.4 -0.2 -1.0 -1 LUMBER-new -4.3 -4.6 -3.9 0.0 0 MXP 34.7 31.7 37.7 29.0 29 NASDAQ_micro -1.6 -1.7 -1.4 -8.0 -8 NIKKEI 4.9 4.1 5.6 6.0 6 NZD -0.8 -1.1 -0.6 -5.0 -5 OAT 2.3 2.0 2.5 4.0 4 OATIES -4.8 -5.1 -4.5 NaN 0 OJ -1.3 -1.4 -1.2 -2.0 -2 PALLAD 0.0 0.0 0.1 0.0 0 PLAT 0.0 -0.1 0.1 0.0 0 REDWHEAT -0.7 -0.8 -0.6 0.0 0 RICE -3.2 -3.5 -3.0 -3.0 -3 ROBUSTA 0.2 0.1 0.2 1.0 1 RUSSELL -3.6 -4.2 -2.9 -29.0 -29 SHATZ -1.5 -2.1 -0.9 NaN 0 SILVER-mini 0.3 0.2 0.3 1.0 1 SMI 1.5 1.4 1.6 0.0 0 SOFR -3.3 -4.8 -1.8 NaN 0 SOYBEAN 0.2 0.2 0.3 4.0 4 SOYMEAL -0.2 -0.3 -0.1 0.0 0 SOYOIL -0.6 -0.6 -0.5 -4.0 -4 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro -2.7 -3.0 -2.4 -1.0 -1 SUGAR11 -3.1 -3.4 -2.8 -6.0 -6 US10 -0.3 -0.5 -0.2 0.0 0 US10U -0.2 -0.3 -0.1 -3.0 -3 US2 -1.0 -1.3 -0.8 NaN 0 US20 -0.0 -0.1 0.0 0.0 0 US30 -0.1 -0.2 -0.1 0.0 0 US5 -0.6 -0.8 -0.4 -1.0 -1 VIX -7.6 -9.1 -6.2 -18.0 -18 WHEAT -0.7 -0.8 -0.6 0.0 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 4.2 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 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.2 -0.3 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.3 -0.2 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 2.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.1 0.4 0.3 0.3 0.4 0.7 0.6 0.7 BITCOIN -0.6 -0.6 -0.6 0.0 -0.0 0.2 -0.0 0.2 0.0 -0.2 0.0 -0.2 0.4 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 0.3 -0.1 -0.7 -0.4 BOBL -0.3 0.2 0.0 -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 0.2 0.4 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.1 -0.2 0.1 -0.1 0.2 0.7 0.5 0.7 BTP -0.3 0.2 0.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.2 0.5 -0.2 0.7 0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.1 -0.1 0.4 -0.0 -2.7 0.0 -0.0 0.2 -0.1 0.3 -0.0 0.5 -0.1 0.2 0.4 0.2 0.1 0.7 0.2 0.7 BUND -0.4 0.2 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 0.1 -0.1 0.1 0.7 0.3 0.7 BUXL -0.4 0.2 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.2 -0.7 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.2 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.4 -0.4 -0.1 -0.3 -0.0 0.5 -0.1 0.2 CAC -0.6 0.1 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.4 -0.1 0.5 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.2 -0.0 0.5 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.4 0.5 -0.0 0.4 -0.2 0.6 0.7 0.7 0.7 CAD 0.0 -0.3 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.4 -0.2 -0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.3 -0.1 2.7 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.4 0.3 0.3 0.0 -0.5 -0.7 -0.7 -0.7 -0.7 CANOLA 0.5 0.2 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.0 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 0.0 -0.1 0.1 1.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.6 0.5 0.6 0.6 0.1 0.6 0.7 0.7 0.7 CHF -0.3 -0.4 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 0.0 -0.1 0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -1.1 0.2 -0.1 0.2 0.1 -0.4 -0.7 -0.5 -0.7 COCOA -0.1 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.5 -0.3 -0.4 -0.1 -0.3 0.0 -0.1 0.1 COFFEE -0.3 0.1 0.4 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.4 0.3 0.4 0.3 0.1 0.1 -0.0 0.4 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 1.1 0.0 0.1 0.6 0.6 0.5 0.5 0.7 0.7 COPPER -0.2 0.3 0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 -0.1 -0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.1 0.0 -0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 0.0 -0.2 -0.6 0.7 0.4 0.7 0.5 CORN 0.1 0.2 0.2 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.2 -0.1 -0.4 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 -0.1 -0.3 0.0 1.3 0.0 -0.1 0.0 -0.1 -0.2 0.0 -1.1 0.3 0.6 0.6 0.6 -0.3 -0.1 0.2 -0.1 COTTON2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 -1.8 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.9 -0.1 0.0 -0.4 0.3 -0.2 -0.4 -0.2 -0.4 CRUDE_W 0.0 -0.2 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 -0.2 -0.2 -0.4 -0.2 -0.2 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.9 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.5 -0.2 -0.6 -0.6 -0.6 0.7 0.7 0.2 0.6 DAX -0.5 -0.3 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.3 -0.2 -1.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.2 -0.1 -0.6 0.2 0.7 0.3 0.7 DOW -0.5 -0.5 0.2 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.4 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.3 -0.1 -1.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 0.0 0.3 -0.1 0.1 -0.5 -0.7 -0.6 -0.7 DX 0.3 0.6 0.3 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.2 -0.5 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.0 0.1 -0.2 0.2 -2.7 0.1 0.1 0.1 0.1 -0.0 0.1 0.9 0.5 0.6 0.6 0.6 0.3 0.6 0.3 0.6 EUR -0.2 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 0.2 -0.1 0.6 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.1 0.4 -0.1 2.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 -0.4 0.2 0.2 0.1 0.1 -0.2 -0.7 -0.2 -0.7 EURIBOR-ICE -0.4 0.1 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.4 -0.1 -0.1 0.3 0.2 0.3 0.2 -0.0 0.0 -0.0 0.2 -0.1 0.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.8 -0.1 -0.2 0.1 -0.0 0.2 0.7 0.3 0.7 EUROSTX -0.5 -0.0 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.5 -0.1 0.6 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 0.1 0.1 -0.1 0.4 -0.0 -0.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.3 0.3 0.3 0.4 0.0 0.5 0.7 0.6 0.7 FEEDCOW -0.6 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.3 0.2 0.3 0.3 -0.1 0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.1 -0.6 -0.2 0.5 0.7 0.7 0.7 0.7 GASOIL 0.3 0.1 0.2 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.3 0.0 0.3 0.1 0.1 0.4 0.3 0.4 0.4 0.1 0.1 0.0 0.2 0.1 -0.2 0.1 -0.1 0.1 0.0 0.1 0.0 0.6 0.1 0.4 0.4 0.4 0.3 0.4 0.0 0.3 GASOLINE 0.2 -0.0 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.1 -0.1 0.1 0.1 0.0 0.1 0.4 0.3 0.4 0.0 0.0 -0.1 0.0 0.0 -2.5 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.8 -0.1 -0.1 -0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.1 0.0 -0.1 0.1 -0.1 0.1 0.0 0.1 -0.3 0.2 -0.6 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.3 0.2 2.7 0.1 0.0 0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.0 -0.1 -0.7 -0.7 -0.7 GBP -0.3 -0.6 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.5 -0.2 -0.2 0.0 -0.0 0.0 0.0 -0.2 -0.1 -0.1 0.2 -0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.3 0.2 -0.4 -0.3 -0.1 0.4 -0.1 0.4 -0.1 GOLD_micro -0.2 -0.6 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.3 0.0 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 -0.4 0.2 -0.0 0.5 0.6 -0.0 0.1 -0.5 -0.4 HEATOIL 0.3 0.1 0.1 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.3 -0.0 0.3 0.1 0.1 0.4 0.2 0.3 0.2 0.1 0.1 0.0 0.1 0.1 -2.6 0.0 -0.0 0.1 0.0 0.1 0.1 0.0 0.3 0.5 0.4 0.1 0.7 0.3 -0.1 -0.3 JGB-SGX-mini -0.2 0.0 -0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 0.3 0.3 0.3 0.2 -0.1 -0.1 -0.1 -0.4 -0.1 -0.8 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.9 -0.4 -0.2 -0.4 -0.5 -0.4 -0.7 -0.2 -0.7 JPY -0.3 -0.6 -0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.4 -0.1 -0.4 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.3 -0.2 2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.6 -0.4 -0.3 -0.4 -0.4 -0.1 -0.4 -0.1 -0.4 LEANHOG -0.3 -0.6 -0.4 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 0.4 -0.2 -0.2 -0.0 0.4 0.4 0.4 -0.2 -0.1 -0.2 0.1 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 1.1 0.2 -0.6 -0.6 0.4 0.2 0.5 0.7 0.7 LIVECOW -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 -0.0 0.2 -0.0 0.1 -0.1 0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.0 -0.6 -0.2 0.3 0.7 0.5 0.7 0.7 LUMBER-new -0.7 -0.4 -0.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -0.4 -0.2 -0.4 -0.2 -0.2 -0.5 -0.5 -0.5 -0.5 -0.2 -0.2 -0.2 -0.3 -0.2 NaN -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -1.2 -0.6 -0.7 -0.4 -0.6 0.3 0.8 0.4 0.8 MXP -0.1 -0.4 0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.5 0.1 0.7 0.2 0.2 0.2 0.3 0.3 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 -0.1 0.4 0.0 0.6 0.0 1.1 0.5 0.6 0.6 0.6 0.2 0.3 0.2 0.4 NASDAQ_micro -0.6 -0.6 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.4 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.4 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.3 -0.2 0.0 -0.0 0.2 -0.3 -0.7 -0.3 -0.7 NIKKEI -0.6 -0.0 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 -0.1 0.3 0.0 -1.3 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.1 0.3 0.6 0.6 -0.1 0.2 0.1 0.4 NZD -0.2 -0.5 -0.5 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.3 -0.2 -0.4 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.3 -0.2 2.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.3 -0.3 -0.6 0.2 0.7 0.3 0.7 OAT -0.2 0.3 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.2 -0.1 0.0 0.1 0.4 0.2 0.4 0.3 0.0 0.0 -0.1 -0.1 -0.0 0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 1.0 0.1 0.1 0.3 -0.0 0.1 0.7 0.2 0.7 OATIES 0.3 0.1 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.4 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 -1.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -0.7 0.3 -0.1 -0.1 -0.3 -0.5 -0.5 -0.3 -0.5 OJ -0.4 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.7 -0.2 -0.3 -0.5 -0.2 -0.3 -0.5 -0.1 -0.5 PALLAD -0.3 0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 -0.0 1.7 0.0 -0.0 0.1 -0.0 0.1 0.0 0.3 -0.0 -0.1 0.2 -0.1 -0.2 -0.5 -0.7 -0.6 PLAT -0.4 -0.5 0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.3 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.2 -0.1 -0.1 -0.2 -0.2 0.7 0.3 -0.5 -0.3 REDWHEAT 0.3 0.5 0.2 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.1 -0.7 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 -0.0 -0.5 0.0 0.9 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.0 0.2 0.6 0.5 0.5 -0.7 -0.7 -0.7 -0.7 RICE 0.3 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.4 -0.1 -0.1 -0.4 -0.2 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.9 0.2 -0.0 -0.5 -0.4 -0.2 -0.4 0.1 -0.3 ROBUSTA -0.2 0.2 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.2 0.1 0.2 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 0.2 0.4 0.6 -0.1 0.7 0.2 0.7 RUSSELL -0.6 -0.6 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.3 -0.1 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.1 0.8 -0.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.2 -0.3 0.1 -0.4 -0.7 -0.6 -0.7 SHATZ -0.3 0.1 -0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.2 -0.3 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.1 -0.2 -0.1 -0.5 0.4 0.7 0.6 0.7 SILVER-mini -0.0 -0.3 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.2 0.0 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.0 0.3 0.1 -0.9 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.3 0.3 0.4 0.6 0.3 0.7 -0.1 0.0 SMI -0.1 0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.3 0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 1.2 0.0 0.0 0.1 0.0 0.1 0.0 0.9 0.5 0.6 0.6 0.2 0.5 0.7 0.7 0.7 SOFR -0.2 -0.3 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.2 0.3 0.1 0.5 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.0 -2.7 0.0 0.1 0.1 0.1 0.2 0.0 0.3 0.5 0.2 -0.2 0.3 -0.2 -0.5 -0.2 -0.7 SOYBEAN 0.4 0.4 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.4 0.1 0.0 0.2 0.2 0.0 -0.1 -0.1 -0.1 0.2 0.1 0.1 -0.0 0.2 -0.9 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.5 0.6 0.6 0.6 -0.5 -0.2 -0.5 -0.1 SOYMEAL 0.5 0.6 0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 0.1 0.1 -0.3 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.1 0.0 -0.1 0.1 -1.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.9 0.4 0.6 0.6 0.6 -0.6 -0.7 -0.3 -0.7 SOYOIL 0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 0.1 0.3 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 0.0 0.2 0.0 -2.4 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.5 0.6 0.5 0.2 -0.7 -0.5 -0.7 -0.6 SP400 -0.4 -0.5 0.1 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.3 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.5 -0.4 -0.4 -0.7 -0.6 -0.7 SP500_micro -0.6 -0.6 0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -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 -2.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.4 -0.1 0.1 -0.3 0.1 -0.3 -0.7 -0.4 -0.7 SUGAR11 0.1 -0.5 -0.4 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.3 0.0 -0.5 -0.1 -0.1 0.4 0.2 0.2 0.1 -0.2 -0.2 0.0 -0.4 -0.1 -2.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 0.5 0.0 -0.4 -0.1 -0.6 -0.7 -0.3 -0.6 US10 -0.3 -0.1 0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.0 0.2 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.2 -0.0 -0.9 0.0 0.1 0.1 0.0 0.2 -0.0 -0.2 0.3 0.0 -0.1 0.4 -0.6 -0.7 -0.3 -0.7 US10U -0.4 -0.1 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.5 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 0.0 0.1 0.1 0.0 0.2 -0.0 -1.7 0.0 0.1 0.2 0.0 0.3 -0.0 -0.4 0.3 -0.0 -0.0 0.6 -0.2 -0.5 -0.3 -0.7 US2 -0.3 -0.2 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.1 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.0 0.0 0.0 -0.0 2.3 -0.0 0.1 0.0 0.0 0.1 -0.0 -1.1 0.2 -0.1 -0.2 0.2 -0.5 -0.3 -0.7 -0.7 US20 -0.5 -0.0 0.4 -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 0.0 0.1 -0.0 0.1 -0.0 -1.2 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 -0.0 0.5 0.2 0.4 -0.1 -0.6 US30 -0.5 0.0 0.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.2 -0.3 -0.1 0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.5 -0.0 -0.2 -0.1 0.4 0.2 0.3 -0.0 -0.5 US5 -0.2 -0.2 0.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.0 0.2 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.1 0.0 0.2 -0.0 -0.2 0.0 0.1 0.1 0.0 0.2 -0.0 -0.6 0.3 0.1 -0.1 0.3 -0.6 -0.5 -0.5 -0.7 VIX 0.5 0.6 -0.4 0.0 0.1 -0.1 0.2 -0.0 0.1 0.2 -0.9 0.3 -0.6 0.2 -0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.1 0.3 -0.2 0.2 NaN 0.1 0.2 -0.1 0.2 -0.1 0.2 NaN NaN NaN NaN NaN -0.5 -1.1 NaN NaN WHEAT 0.3 0.4 0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.4 -0.1 -0.7 0.1 -0.0 -0.3 -0.4 -0.3 -0.4 -0.0 -0.1 -0.1 -0.4 0.0 1.4 0.0 -0.1 -0.0 -0.0 -0.2 0.0 -1.1 0.3 0.6 0.6 0.5 -0.7 -0.7 -0.7 -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 -5.5 -10.4 1.0 -5.8 -8.9 -1.9 -8.3 1.2 -7.4 -15.7 11.5 -17.2 3.2 -17.3 -10.2 -0.6 -1.2 -0.8 -1.0 -5.9 -0.1 -15.0 1.4 -10.3 16.5 -3.9 -13.2 -0.3 -10.8 -0.3 -7.4 4.2 5.0 12.9 9.4 8.6 13.2 20.0 17.6 20.0 BITCOIN -20.0 -20.0 -17.4 4.6 -3.2 7.0 -2.2 6.6 0.7 -17.0 0.2 -18.6 9.9 -18.8 -17.0 -4.8 -7.0 -5.9 -6.5 -20.0 -10.5 -20.0 4.4 -20.0 -20.0 -5.9 -9.7 -2.5 -9.7 0.8 -8.4 -1.3 -20.0 -20.0 -20.0 -20.0 10.5 -4.2 -20.0 -12.8 BOBL -10.4 4.8 0.3 -0.3 2.1 0.9 -3.3 -0.9 -3.3 -2.5 -2.7 -13.0 -1.1 -8.4 -4.4 20.0 10.7 20.0 20.0 -2.8 -1.2 -6.6 -2.3 -6.9 3.1 -1.6 0.7 -0.5 -4.3 -0.8 -4.4 20.0 -4.0 -5.8 2.2 -4.2 7.4 20.0 14.5 20.0 BTP -8.1 7.0 4.9 -0.3 2.5 1.1 -4.1 -1.1 -4.1 -20.0 20.0 -20.0 20.0 8.0 15.9 5.8 8.4 7.3 8.4 8.3 12.8 -8.3 15.3 -1.1 -20.0 4.6 -4.6 7.1 -5.9 8.3 -1.4 8.8 -3.3 4.8 11.1 6.5 3.0 20.0 7.0 20.0 BUND -11.6 5.6 3.2 -0.3 2.3 1.0 -3.8 -1.0 -3.8 -12.2 1.0 -19.6 -8.7 -9.3 -1.0 -6.6 2.2 -3.7 0.3 -1.5 -0.6 -10.3 -5.9 -8.3 -0.8 -1.2 -1.7 0.1 -7.1 -1.5 -5.8 -2.8 -7.2 -7.1 2.0 -2.2 4.4 20.0 7.9 20.0 BUXL -13.7 7.6 0.7 -0.3 2.1 0.9 -3.4 -0.9 -3.4 -15.7 -11.1 -19.7 -18.1 -12.6 -1.1 4.3 3.0 4.1 3.7 -5.9 -8.5 -17.0 -17.1 -12.4 -1.1 -3.3 -7.4 -3.3 -10.2 -5.6 -7.5 -0.0 -15.7 -12.0 -2.0 -9.4 -0.9 16.0 -4.0 6.2 CAC -17.3 4.2 6.0 1.1 -7.8 4.6 -9.2 4.9 -4.8 -11.2 16.5 -11.1 14.6 0.0 10.3 -2.4 -1.4 -2.3 -1.8 6.0 9.8 -12.1 8.6 -3.7 3.7 2.0 -5.2 2.9 -6.1 1.2 -2.3 6.8 20.0 -0.3 11.6 -5.0 17.9 20.0 19.6 20.0 CAD 1.1 -8.3 -12.5 -6.3 -9.8 -2.1 -9.1 1.3 -8.1 -19.8 -13.1 -14.2 -7.9 -17.2 -20.0 -9.1 -7.5 -8.6 -8.1 -17.0 -15.1 -11.8 -10.4 -12.4 20.0 -7.7 -8.7 -5.8 -6.0 -3.3 -6.2 -7.2 10.8 9.6 0.6 -15.9 -20.0 -20.0 -20.0 -20.0 CANOLA 15.5 7.1 -15.4 -6.0 -7.6 -7.1 -6.7 -6.5 -5.3 -8.6 -6.1 7.5 -0.4 12.5 -8.4 -20.0 -11.8 -19.4 -15.3 -0.0 -6.2 4.4 -3.6 7.9 8.6 -0.6 -5.0 -3.7 1.5 -2.6 3.3 -12.1 20.0 20.0 17.3 2.4 17.0 20.0 20.0 20.0 CHF -8.2 -12.9 -6.1 -4.5 -6.9 -1.5 -6.4 1.0 -5.7 -15.4 7.5 -8.5 11.8 -7.9 -9.4 -16.6 -15.9 -16.2 -15.7 -6.2 1.6 -12.9 9.1 -8.7 -1.1 -2.5 -11.3 1.4 -6.7 4.7 -4.2 -20.0 8.5 -2.0 5.4 3.5 -13.2 -20.0 -15.0 -20.0 COCOA -3.2 -15.5 -20.0 -2.5 -3.2 -3.0 -2.8 -2.7 -2.2 -6.1 -7.3 -7.1 -1.5 -7.2 -7.4 -5.5 8.9 -1.8 3.1 -12.4 -10.2 -15.2 -3.0 -13.8 -20.0 -2.4 -2.9 -1.7 -3.5 0.0 -3.0 20.0 -19.7 -10.7 -13.0 -2.4 -9.0 0.1 -1.9 3.9 COFFEE -7.8 2.3 13.6 -5.1 -6.5 -6.1 -5.7 -5.6 -4.5 -13.2 11.7 -6.0 12.1 3.2 12.3 20.0 12.5 19.0 15.5 9.7 13.4 -4.6 14.7 1.8 -20.0 4.3 -2.6 7.0 -1.5 8.7 0.7 20.0 1.7 4.1 20.0 20.0 13.6 14.8 20.0 20.0 COPPER -7.0 8.9 3.1 2.9 -2.1 4.5 -1.4 4.2 0.4 -3.5 -1.9 -5.2 -1.2 2.3 0.5 -6.7 -5.7 -6.1 -5.8 3.4 3.0 -2.2 3.0 0.6 -4.8 1.7 -0.6 3.1 -1.3 4.7 -0.1 0.5 5.2 0.6 -6.7 -20.0 20.0 12.3 20.0 14.6 CORN 3.3 7.3 7.0 -7.6 -9.8 -9.0 -8.6 -8.3 -6.7 -20.0 -6.0 -9.9 -11.4 7.1 15.7 -19.7 -19.3 -20.0 -20.0 4.7 -1.7 -8.1 -11.6 2.3 9.5 4.4 -13.5 1.6 -5.8 -4.3 2.2 -20.0 13.7 20.0 20.0 20.0 -7.6 -4.5 4.6 -2.4 COTTON2 -6.5 -4.8 -3.1 -7.9 -10.2 -9.4 -8.9 -8.6 -7.0 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -17.8 -15.0 -17.6 -16.5 -17.7 -18.0 -19.3 -20.0 -19.3 -13.7 -7.9 -6.3 -7.0 -9.6 -8.0 -9.4 -16.8 -3.4 0.1 -11.0 10.3 -7.5 -13.3 -6.1 -11.4 CRUDE_W 0.2 -6.8 -3.4 2.7 -12.7 2.3 -4.1 1.4 1.7 -19.1 -8.7 -16.0 -12.3 -15.3 -16.8 0.6 5.6 2.3 3.9 -9.2 -8.6 -13.7 -9.2 -9.9 6.6 -6.5 -12.8 -6.3 -9.1 -6.3 -6.7 -10.3 -6.9 -19.5 -19.4 -19.5 20.0 20.0 6.6 18.8 DAX -16.6 -10.4 -19.7 0.9 -6.3 3.7 -7.4 3.9 -3.8 -12.7 11.4 -12.5 13.7 -10.5 -5.8 -6.2 -6.5 -6.2 -6.0 -7.0 1.0 -20.0 10.9 -14.8 -9.4 -3.5 -7.7 -0.9 -8.8 2.8 -6.4 -1.1 2.8 -7.6 -4.3 -20.0 6.6 20.0 9.7 20.0 DOW -15.9 -16.1 7.1 0.8 -5.5 3.2 -6.4 3.4 -3.3 -8.4 12.9 -9.5 12.1 -1.2 7.2 -7.9 -8.4 -8.4 -8.1 4.2 9.5 -13.9 10.1 -5.3 -10.0 1.4 -5.1 3.8 -6.2 4.1 -2.7 -4.5 0.1 8.1 -2.7 3.9 -14.5 -20.0 -19.2 -20.0 DX 9.1 18.2 9.4 -4.9 -7.6 -1.6 -7.1 1.0 -6.3 16.6 -1.5 14.6 -13.0 16.0 15.3 6.5 6.2 6.2 6.1 14.6 4.2 15.8 -7.6 15.8 -20.0 5.9 8.0 2.4 6.9 -1.4 6.6 16.6 20.0 20.0 20.0 20.0 7.9 16.8 7.7 18.4 EUR -5.8 -15.8 -3.4 -5.9 -9.2 -1.9 -8.5 1.3 -7.6 -20.0 9.2 -10.1 17.0 -15.4 -14.6 -8.7 -7.8 -8.1 -7.8 -11.6 1.2 -13.2 15.0 -12.7 15.6 -5.5 -10.9 -0.0 -7.5 5.4 -6.5 -7.2 6.9 5.2 2.2 1.6 -5.3 -20.0 -6.9 -20.0 EURIBOR-ICE -11.8 2.3 -0.9 -0.2 1.7 0.7 -2.7 -0.7 -2.7 0.8 3.1 -7.8 10.5 -7.7 -4.7 12.5 10.8 12.6 12.4 -2.2 1.6 -5.4 5.9 -6.3 4.4 -1.0 1.9 0.7 -3.1 1.9 -3.5 14.4 -3.5 -6.6 1.9 -1.3 5.6 20.0 9.9 20.0 EUROSTX -15.4 -0.3 3.5 1.0 -7.2 4.2 -8.5 4.5 -4.4 -14.1 17.0 -11.9 16.7 -0.6 11.9 -3.6 -1.6 -3.2 -2.5 7.0 11.7 -14.6 13.0 -3.6 -5.6 2.9 -8.4 4.0 -7.0 3.5 -1.9 6.1 14.0 9.0 12.0 0.3 15.0 20.0 17.9 20.0 FEEDCOW -20.0 -20.0 -16.8 -2.5 -3.2 -3.0 -2.8 -2.7 -2.2 -6.6 2.7 -7.2 5.8 -7.0 -4.8 15.1 8.4 14.9 13.0 -6.9 2.2 -10.3 8.0 -11.7 -20.0 -1.3 -1.7 1.0 -2.0 2.6 -2.4 20.0 2.2 -20.0 -6.0 14.9 20.0 20.0 20.0 20.0 GASOIL 9.4 3.6 7.6 2.2 -10.0 1.8 -3.3 1.1 1.4 -11.6 11.4 1.4 7.2 12.1 12.0 20.0 15.9 20.0 19.8 11.5 9.4 0.4 5.7 10.0 -1.4 5.0 -6.2 4.2 0.5 2.6 4.3 11.4 5.3 13.4 12.2 12.9 8.7 13.3 0.6 8.4 GASOLINE 6.4 -0.1 1.5 2.4 -11.2 2.1 -3.7 1.3 1.6 -16.9 4.9 -9.4 1.5 4.9 3.4 6.9 18.6 14.7 19.6 2.7 1.9 -9.7 0.7 0.6 -18.9 0.8 -15.0 -0.6 -6.1 -0.8 0.4 15.0 -4.0 -1.9 -2.3 -4.9 20.0 20.0 20.0 20.0 GAS_US_mini 19.0 17.6 2.6 3.2 -14.8 2.7 -4.9 1.7 2.0 12.0 -12.6 20.0 -16.4 20.0 12.5 -20.0 -20.0 -20.0 -20.0 12.6 -2.2 16.5 -9.8 20.0 20.0 5.8 4.7 0.6 6.8 -1.9 8.7 -20.0 20.0 20.0 20.0 0.6 -2.8 -20.0 -20.0 -20.0 GBP -8.2 -18.6 -12.3 -6.2 -9.6 -2.0 -8.9 1.3 -8.0 -10.6 -1.8 -12.6 12.7 -16.7 -17.6 0.2 -0.0 0.3 0.1 -19.9 -8.8 -13.6 5.8 -19.4 1.9 -7.2 -3.5 -2.8 -5.4 2.2 -7.5 6.2 8.2 -12.6 -8.1 -2.0 11.3 -4.5 11.3 -4.1 GOLD_micro -6.4 -20.0 -0.0 1.9 -1.4 2.9 -0.9 2.8 0.3 -2.8 5.5 0.1 6.8 0.3 4.0 -7.1 -10.8 -9.0 -9.8 8.2 11.4 0.7 11.7 3.4 -18.1 2.4 0.0 3.1 0.2 3.0 1.1 -7.3 7.5 -0.9 16.6 19.0 -1.4 2.5 -14.1 -11.1 HEATOIL 9.1 2.9 3.1 2.0 -9.5 1.7 -3.1 1.1 1.3 -12.3 11.7 -0.4 8.2 9.8 10.1 19.5 10.3 14.3 11.8 9.8 7.4 0.6 4.8 9.5 -19.2 4.0 -5.3 2.6 1.4 2.0 4.6 0.6 11.6 16.5 13.5 2.7 19.9 8.2 -2.1 -8.9 JGB-SGX-mini -6.7 0.5 -12.0 -0.2 1.3 0.6 -2.2 -0.6 -2.2 -12.2 -13.6 -12.8 -12.7 -12.6 -13.2 16.0 13.1 12.6 12.3 -10.9 -12.6 -16.0 -14.8 -12.1 -6.2 -4.5 -9.1 -4.5 -8.1 -5.3 -5.8 16.0 -17.3 -7.0 -11.7 -14.0 -10.8 -20.0 -4.8 -20.0 JPY -8.4 -18.4 -16.1 -3.8 -5.9 -1.2 -5.5 0.8 -4.9 -8.0 -14.8 -13.3 -11.7 -15.2 -15.5 -10.0 -10.9 -10.0 -10.1 -20.0 -17.0 -17.6 -12.1 -19.5 20.0 -5.4 -4.0 -4.1 -5.4 -2.7 -5.7 -11.7 -15.2 -10.2 -13.0 -12.6 -4.1 -11.5 -4.4 -13.0 LEANHOG -9.2 -20.0 -11.9 -6.1 -7.8 -7.3 -6.9 -6.7 -5.4 -13.9 5.2 -14.8 10.0 -17.8 -16.1 -2.0 20.0 20.0 20.0 -17.9 -5.7 -17.0 5.1 -20.0 -1.6 -5.7 -4.1 -2.4 -5.0 0.7 -6.4 20.0 9.9 -20.0 -20.0 10.8 7.0 14.2 20.0 20.0 LIVECOW -20.0 -20.0 -18.4 -2.5 -3.2 -3.0 -2.8 -2.7 -2.2 -6.8 3.1 -7.1 5.8 -6.7 -4.8 -0.7 9.4 -1.1 4.4 -6.3 0.8 -10.0 6.2 -10.3 -20.0 -1.6 -2.1 0.5 -2.4 2.2 -2.6 20.0 1.7 -18.5 -6.4 10.1 20.0 14.9 20.0 20.0 LUMBER-new -20.0 -11.8 -20.0 -4.1 -5.3 -4.9 -4.6 -4.5 -3.6 -10.8 -11.6 -12.3 -9.4 -12.7 -12.6 -20.0 -20.0 -20.0 -20.0 -20.0 -15.9 -20.0 -11.1 -20.0 NaN -4.2 -4.1 -2.9 -5.2 -1.6 -5.2 -20.0 -20.0 -20.0 -11.7 -16.7 6.5 20.0 9.4 20.0 MXP -1.8 -11.1 4.4 -6.2 -9.6 -2.0 -9.0 1.3 -8.0 -13.1 20.0 13.6 20.0 15.5 20.0 12.3 12.7 12.6 12.5 11.7 20.0 1.9 20.0 7.3 -20.0 7.3 -7.4 13.4 0.5 15.5 4.0 20.0 20.0 20.0 20.0 20.0 5.8 9.0 7.5 12.6 NASDAQ_micro -20.0 -20.0 -0.2 0.7 -5.0 2.9 -5.9 3.1 -3.1 -8.3 11.9 -10.4 12.1 -5.4 4.9 -7.9 -8.8 -8.9 -8.8 3.6 11.6 -17.4 13.8 -8.3 -20.0 1.2 -5.9 4.1 -6.3 4.9 -3.1 -5.5 -8.6 1.3 -0.2 7.0 -8.1 -20.0 -9.3 -20.0 NIKKEI -20.0 -0.2 12.7 0.5 -3.8 2.2 -4.5 2.4 -2.3 -6.2 9.3 -5.9 9.0 3.4 7.3 0.2 6.9 2.2 4.7 10.6 13.9 -6.5 11.5 1.7 -9.5 3.1 -1.8 4.0 -1.4 3.0 0.6 19.7 -3.9 10.6 20.0 20.0 -2.7 7.0 2.7 11.9 NZD -6.7 -14.3 -15.1 -5.0 -7.6 -1.6 -7.1 1.1 -6.3 -10.0 -10.6 -15.8 -10.5 -17.7 -19.1 -4.9 -3.2 -4.5 -3.9 -20.0 -16.8 -16.6 -10.6 -19.2 15.2 -6.8 -5.0 -5.0 -6.2 -3.2 -6.9 0.0 5.9 -10.1 -8.4 -17.7 6.6 20.0 8.9 20.0 OAT -5.8 10.7 2.0 -0.3 2.1 0.9 -3.3 -0.9 -3.3 -15.4 7.0 -17.1 -4.0 3.5 8.6 18.6 12.0 17.8 15.8 4.0 2.2 -5.8 -2.9 -0.4 1.6 2.4 -3.8 1.7 -3.9 -0.2 -0.5 17.9 2.9 4.2 10.1 -1.3 3.2 20.0 6.7 20.0 OATIES 7.8 4.3 -14.8 -5.3 -6.9 -6.3 -6.0 -5.8 -4.7 -12.6 -14.5 -5.6 -11.8 -5.3 -13.0 -18.6 -10.6 -20.0 -17.3 -10.3 -13.4 -9.1 -11.7 -6.4 -8.3 -5.2 -6.8 -6.5 -4.3 -5.6 -3.4 -12.8 11.1 -2.3 -4.3 -7.9 -15.5 -15.2 -9.9 -15.1 OJ -11.4 -20.0 -19.4 -2.2 -2.8 -2.6 -2.5 -2.4 -1.9 -5.8 -6.2 -6.4 -6.0 -6.8 -6.8 -4.7 3.6 -2.7 -0.2 -12.8 -11.0 -11.9 -8.9 -12.9 -20.0 -2.4 -2.3 -2.0 -2.5 -1.5 -2.5 13.3 -9.7 -9.1 -15.2 -6.0 -10.3 -15.8 -2.9 -14.3 PALLAD -10.5 3.9 8.9 2.3 -1.6 3.5 -1.1 3.3 0.3 -7.6 4.5 -7.8 4.3 -1.9 1.7 -2.9 -2.9 -2.9 -2.9 4.7 7.6 -4.3 6.5 -0.8 13.0 2.3 -1.1 3.4 -1.0 3.1 0.3 5.3 -0.1 -3.4 5.2 -2.5 -5.0 -15.3 -20.0 -19.0 PLAT -12.9 -15.9 3.5 2.5 -1.8 3.9 -1.2 3.7 0.4 -8.2 7.3 -8.5 7.4 -5.9 2.1 -3.5 -3.5 -3.4 -3.3 3.5 10.2 -6.8 12.2 -3.3 0.6 1.7 -2.6 4.7 -2.3 5.8 -0.9 4.5 -2.3 -3.7 -6.2 -6.5 20.0 9.4 -13.6 -9.7 REDWHEAT 10.6 16.5 4.8 -6.4 -8.3 -7.7 -7.2 -7.0 -5.7 -12.2 -14.8 -5.4 -18.3 5.5 -2.6 -14.0 -16.5 -16.9 -17.4 -0.5 -9.2 -5.4 -16.9 1.6 6.4 1.4 -6.9 -2.2 -2.8 -6.0 1.8 -19.1 9.8 20.0 16.4 15.6 -20.0 -20.0 -20.0 -20.0 RICE 9.7 -1.9 -20.0 -3.2 -4.2 -3.9 -3.6 -3.5 -2.9 -1.6 -10.5 -4.3 -10.4 -8.5 -10.0 -20.0 -12.1 -20.0 -18.1 -15.1 -18.5 -5.7 -18.2 -9.5 -0.6 -3.7 -0.5 -4.4 -1.6 -4.5 -2.5 -16.3 7.6 -0.1 -14.9 -11.9 -6.5 -11.7 2.5 -10.2 ROBUSTA -7.7 5.6 19.2 -3.0 -3.8 -3.5 -3.3 -3.2 -2.6 4.5 1.8 2.5 0.1 3.5 6.1 1.6 12.2 6.7 9.7 3.3 2.7 0.9 1.5 1.0 -20.0 1.2 0.7 1.0 0.1 0.8 0.1 20.0 2.6 4.8 10.9 20.0 -2.8 20.0 7.1 20.0 RUSSELL -20.0 -20.0 9.6 0.7 -4.8 2.8 -5.7 3.0 -3.0 -4.0 10.3 -9.0 8.7 -7.7 4.1 -4.7 -5.4 -5.0 -5.0 -1.3 5.6 -11.5 6.4 -9.4 5.7 -0.7 -1.8 2.5 -5.1 2.8 -4.4 0.6 -3.5 -6.1 -10.4 3.3 -12.8 -20.0 -17.0 -20.0 SHATZ -7.8 4.3 -9.0 -0.2 1.9 0.8 -3.0 -0.8 -3.0 3.4 -13.1 -8.7 -3.2 -12.5 -12.7 -2.1 -16.0 -10.0 -12.8 -8.2 -8.7 -5.1 -6.6 -7.9 8.5 -4.2 1.3 -4.0 -3.1 -2.8 -4.7 -20.0 -4.1 -6.2 -2.2 -14.5 13.1 20.0 17.8 20.0 SILVER-mini -0.8 -9.3 8.6 2.6 -1.9 4.0 -1.3 3.8 0.4 -6.2 8.9 1.3 9.3 3.6 7.2 -4.7 -6.4 -5.7 -6.1 12.2 14.5 2.9 12.8 7.6 -6.6 3.7 -0.4 4.5 0.7 4.0 2.1 -0.5 14.6 10.0 13.1 17.2 9.2 20.0 -2.8 0.8 SMI -2.1 5.7 7.5 0.8 -5.8 3.4 -6.8 3.6 -3.5 1.9 10.5 4.3 7.7 8.2 9.6 6.1 3.8 5.2 4.1 8.1 7.3 6.3 6.0 7.3 9.0 3.5 3.3 2.7 3.1 1.8 3.4 16.1 20.0 18.1 19.2 4.9 16.1 20.0 20.0 20.0 SOFR -6.1 -8.6 2.2 -0.3 2.1 0.9 -3.4 -0.9 -3.4 17.5 12.4 7.9 14.6 -4.8 0.1 7.1 5.6 7.1 6.7 0.5 7.7 8.1 12.2 0.0 -20.0 0.2 12.1 4.1 5.4 6.2 0.1 4.8 19.7 5.7 -6.6 8.7 -4.8 -15.9 -5.8 -20.0 SOYBEAN 11.2 12.5 9.5 -7.0 -9.0 -8.3 -7.9 -7.6 -6.2 -7.6 14.3 10.5 0.5 17.3 18.2 1.1 -5.7 -2.9 -5.4 16.8 9.9 9.2 -0.2 17.9 -6.6 7.1 -1.2 5.3 3.4 1.6 6.8 -0.1 20.0 20.0 20.0 20.0 -15.5 -5.6 -15.7 -2.3 SOYMEAL 15.2 20.0 19.5 -4.2 -5.4 -5.0 -4.7 -4.6 -3.7 -6.1 2.8 6.5 -8.1 9.8 8.7 -10.2 -15.4 -14.9 -16.4 13.1 4.9 5.1 -3.6 13.8 -11.2 3.8 -0.5 1.8 1.5 -0.3 3.8 -17.7 16.4 20.0 20.0 20.0 -17.9 -20.0 -8.8 -20.0 SOYOIL 6.2 -3.0 -9.5 -6.7 -8.6 -7.9 -7.5 -7.3 -5.9 -10.5 1.0 5.7 8.3 4.8 -11.8 -8.7 -4.7 -7.8 -6.3 -2.4 -0.7 3.3 5.6 2.7 -17.6 -1.0 -3.8 -0.4 2.9 2.0 2.4 1.0 20.0 17.9 15.6 7.3 -20.0 -16.5 -20.0 -17.6 SP400 -11.6 -15.4 1.7 0.8 -5.4 3.1 -6.3 3.3 -3.3 -4.0 10.4 -8.9 5.8 -6.4 -3.0 -5.6 -6.0 -5.8 -5.8 -3.9 1.3 -10.2 3.1 -8.8 0.4 -2.9 -2.0 -0.4 -5.6 0.5 -5.2 -0.6 -1.2 -1.8 -16.2 -10.9 -13.2 -20.0 -16.9 -20.0 SP500_micro -20.0 -20.0 0.8 0.8 -5.9 3.4 -6.9 3.6 -3.6 -8.2 14.4 -10.8 14.6 -3.2 7.2 -8.6 -9.6 -9.4 -9.3 3.9 12.7 -16.4 15.5 -7.8 -15.6 0.3 -6.1 4.1 -7.4 5.3 -4.4 -6.6 -3.6 3.1 -8.5 3.7 -8.8 -20.0 -10.7 -20.0 SUGAR11 3.0 -14.3 -11.5 -4.2 -5.4 -5.0 -4.7 -4.6 -3.7 4.1 -12.8 1.7 -12.7 -9.3 -11.3 17.9 8.9 10.8 6.5 -14.7 -16.2 0.8 -14.8 -7.6 -16.9 -4.0 1.0 -4.3 0.4 -3.7 -2.0 20.0 20.0 1.4 -10.9 -1.9 -16.9 -20.0 -9.4 -18.3 US10 -8.6 -4.2 8.2 -0.2 1.6 0.7 -2.6 -0.7 -2.6 12.7 11.4 0.1 4.6 -4.0 6.9 1.9 0.1 1.9 1.5 2.2 6.5 3.4 6.2 -0.3 -6.5 1.5 7.6 4.6 2.3 4.9 -0.4 -4.4 10.8 1.1 -1.9 11.6 -17.2 -20.0 -10.2 -20.0 US10U -10.9 -1.8 11.5 -0.3 2.4 1.1 -3.8 -1.0 -3.9 15.7 16.8 -4.5 2.8 -5.3 11.3 1.2 -1.0 1.0 0.1 5.0 11.0 2.7 8.2 -1.0 -13.0 3.5 9.3 8.0 1.8 7.2 -0.6 -6.7 14.1 -0.1 -0.1 20.0 -5.7 -14.4 -8.4 -20.0 US2 -8.6 -4.9 4.0 -0.2 1.6 0.7 -2.6 -0.7 -2.7 12.9 1.5 -3.4 -2.6 -9.1 1.1 -14.0 -15.3 -13.0 -13.3 -2.3 1.5 2.2 1.8 -3.5 17.3 -1.3 7.4 1.5 1.5 2.7 -2.1 -20.0 8.4 -3.0 -6.1 6.0 -15.7 -9.7 -19.9 -20.0 US20 -14.3 -0.3 13.4 -0.2 1.6 0.7 -2.6 -0.7 -2.6 1.6 9.0 -10.6 -3.9 -8.5 6.6 3.6 3.0 4.0 3.8 2.7 6.6 -2.9 3.0 -3.4 -9.0 1.7 2.0 4.5 -1.7 3.2 -2.0 0.0 3.4 -4.0 -0.7 13.9 6.6 13.0 -1.9 -16.8 US30 -14.7 1.1 13.5 -0.2 1.8 0.8 -2.9 -0.8 -2.9 -6.4 5.6 -14.9 -8.2 -12.7 5.7 1.8 -2.2 -0.3 -1.4 1.4 4.6 -6.2 -0.5 -5.4 -5.3 1.2 -0.2 3.8 -3.8 1.8 -3.3 -9.0 -0.9 -5.9 -1.6 11.8 5.5 8.1 -0.3 -16.0 US5 -6.8 -5.1 5.3 -0.2 1.7 0.8 -2.8 -0.7 -2.8 13.8 10.3 2.5 4.8 -5.1 4.4 -2.0 -3.3 -1.9 -2.2 0.8 5.2 4.8 6.0 -0.5 -1.8 0.6 9.1 3.6 3.3 4.8 -0.3 -10.4 12.6 2.5 -3.1 8.9 -18.6 -15.5 -15.8 -20.0 VIX 10.1 11.8 -6.8 2.4 10.4 -1.5 11.5 -0.7 8.0 15.8 -20.0 18.6 -11.2 9.0 -7.2 -20.0 -20.0 -20.0 -20.0 2.7 -4.1 18.9 -4.2 12.3 NaN 3.0 11.9 -1.6 13.1 -0.9 9.2 NaN NaN NaN NaN NaN -8.7 -20.0 NaN NaN WHEAT 9.4 13.1 4.2 -6.7 -8.7 -8.0 -7.6 -7.4 -6.0 -16.8 -15.2 -5.2 -19.1 6.4 -2.3 -15.5 -18.2 -17.4 -17.8 -0.2 -8.1 -7.0 -15.4 1.2 10.9 1.8 -10.0 -1.4 -3.9 -4.9 1.7 -20.0 11.2 20.0 17.1 16.9 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3