******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230714_204315 produced at 2023-07-14 21:37:44.227030 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 EURIBOR-ICE False False 0.10 -0.10 -0.78 0.0 1.00 -1.00 -0.10 -0.30 -7.81 10.0 -1 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -4.07 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -3.41 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.18 0.0 0.11 -0.11 -0.10 -0.11 -29.38 17.0 -16 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.15 0.0 0.40 -0.40 -0.04 -0.04 -20.20 56.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 -0.40 -0.14 0.0 0.57 -0.57 -0.40 -0.33 -4.25 17.0 -12 -10 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.61 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.28 -0.08 0.0 0.99 -0.99 -0.28 -0.16 -2.12 25.0 -7 -4 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.07 0.0 0.70 -0.70 -0.16 -0.16 -1.38 13.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.06 0.0 0.06 -0.06 -0.02 -0.04 -27.08 26.0 -10 -18 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.06 0.0 0.90 -0.90 0.00 -0.05 -1.28 19.0 0 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.05 0.0 0.37 -0.37 0.00 0.00 -1.06 8.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.70 -0.70 0.00 0.00 -1.13 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.36 5.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.73 2.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.36 9.0 0 0 caleb_strategy_v3 COPPER False False 0.04 -0.04 -0.02 0.0 0.22 -0.22 -0.04 0.00 -0.54 6.0 -1 0 caleb_strategy_v3 AUD False False 0.03 0.00 -0.02 0.0 0.48 -0.48 0.00 0.00 -0.63 19.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.11 -0.50 10.0 -5 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.04 2.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.48 -0.01 0.0 0.56 -0.56 -0.48 -0.39 -0.23 13.0 -11 -9 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.21 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.30 -0.30 0.00 0.00 -0.15 6.0 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 -0.99 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 -0.02 -1.03 9.0 0 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.47 6.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.07 -0.01 0.0 0.39 -0.39 -0.07 -0.10 -1.69 58.0 -10 -15 caleb_strategy_v3 CAD False False 0.03 0.00 -0.01 0.0 0.80 -0.80 0.00 -0.06 -0.39 29.0 0 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 0.00 -0.00 0.00 0.00 -0.18 0.0 0 0 caleb_strategy_v3 BUXL False False 0.06 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.02 4.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 0.00 0.0 0.72 -0.72 0.00 0.15 0.08 14.0 0 3 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.30 8.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.42 -0.42 0.00 0.00 -0.28 66.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.11 -0.11 0.00 0.00 0.01 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.02 0.14 11.0 0 1 caleb_strategy_v3 COCOA False False 0.01 0.00 0.00 0.0 0.32 -0.32 0.00 0.02 0.38 26.0 0 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.03 1.37 23.0 2 3 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.64 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.51 10.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.01 0.0 0.18 -0.18 0.05 0.05 0.55 7.0 2 2 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.18 -0.18 0.03 0.02 1.23 18.0 3 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.17 0.01 0.0 0.26 -0.26 0.17 0.07 0.94 23.0 15 6 caleb_strategy_v3 LEANHOG False False 0.01 -0.06 0.01 0.0 0.16 -0.16 -0.06 -0.01 0.93 13.0 -5 -1 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 9.51 59.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.08 0.02 0.0 0.40 -0.40 0.08 0.02 2.90 48.0 10 3 caleb_strategy_v3 BUND False False 0.05 0.22 0.02 0.0 0.55 -0.55 0.22 0.05 0.32 10.0 4 1 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.02 0.0 0.24 -0.24 -0.00 0.00 4.26 68.0 -1 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.02 0.0 0.49 -0.49 0.02 0.02 0.86 21.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.08 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.11 0.03 0.0 0.36 -0.36 0.11 0.20 1.76 20.0 6 11 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.30 2.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.04 0.0 0.11 -0.11 0.03 0.03 1.63 4.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.87 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.12 -0.12 0.00 0.00 1.09 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 3.10 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.05 0.0 0.23 -0.23 0.00 0.00 11.56 51.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.19 0.06 0.0 0.47 -0.47 0.19 0.19 1.26 10.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.07 0.0 0.14 -0.14 0.05 0.05 2.40 5.0 2 2 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.52 -0.52 0.00 0.00 1.32 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.10 0.0 0.14 -0.14 0.14 0.14 2.88 4.0 4 4 caleb_strategy_v3 GBP False False 0.03 0.30 0.10 0.0 0.66 -0.66 0.30 0.24 3.27 22.0 10 8 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.18 0.0 0.46 -0.46 0.00 0.13 6.81 17.0 0 5 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.39 0.0 0.31 -0.31 0.30 0.30 45.22 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.65 0.93 0.0 0.65 -0.65 0.65 0.64 86.31 60.0 60 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.63 1.77 0.0 0.63 -0.63 0.63 0.63 45.06 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.6 Shocked risk 63.7 Sum abs risk 55.5 Leverage 6.10 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3000000.0, 'annual_cash_vol_target': 750000.0, 'daily_cash_vol_target': 46875.0} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6852 0.7511 12.0181 BITCOIN 853.1267 30060.0000 2.8381 45.4093 BOBL 0.3189 115.4800 0.2761 4.4181 BTP 0.7395 115.3200 0.6413 10.2602 BUND 0.6431 132.7500 0.4844 7.7511 BUXL 1.3942 135.6000 1.0281 16.4502 CAC 65.7328 7366.5000 0.8923 14.2771 CAD 0.0034 0.7572 0.4495 7.1924 CANOLA 9.3445 813.7000 1.1484 18.3743 CHF 0.0059 1.1678 0.5092 8.1476 COCOA 42.5132 3344.0000 1.2713 20.3413 COFFEE 2.7779 159.7000 1.7395 27.8315 COPPER 0.0447 3.9240 1.1391 18.2256 CORN 12.2160 514.2500 2.3755 38.0080 COTTON2 1.3550 82.7000 1.6385 26.2160 CRUDE_W 1.1388 74.3000 1.5327 24.5225 DAX 135.1593 16172.0000 0.8358 13.3722 DOW 201.7282 34691.0000 0.5815 9.3040 EUR 0.0056 1.1266 0.4952 7.9226 EURIBOR-ICE 0.0658 96.9700 0.0679 1.0859 EUROSTX 42.4812 4408.0000 0.9637 15.4197 FEEDCOW 1.8336 250.3000 0.7325 11.7208 GASOIL 11.8585 746.2500 1.5891 25.4253 GASOLINE 0.0379 2.3510 1.6139 25.8229 GAS_US_mini 0.0927 2.5250 3.6702 58.7231 GBP 0.0071 1.3101 0.5411 8.6572 GOLD_micro 11.9246 1963.1000 0.6074 9.7190 HEATOIL 0.0364 2.5791 1.4103 22.5650 JGB-SGX-mini 0.2430 147.3400 0.1649 2.6387 JPY 0.0000 0.0073 0.6514 10.4217 LEANHOG 1.1871 83.3750 1.4239 22.7816 LIVECOW 1.1724 182.8250 0.6413 10.2602 LUMBER-new 10.7105 580.0000 1.8466 29.5462 MILK 0.2572 15.9900 1.6086 25.7370 MXP 0.0004 0.0590 0.6057 9.6915 NASDAQ_micro 120.0222 15684.7500 0.7652 12.2435 NIKKEI 310.0030 32340.0000 0.9586 15.3372 NZD 0.0049 0.6371 0.7619 12.1908 OAT 0.6599 127.3400 0.5182 8.2917 OATIES 7.1811 418.0000 1.7180 27.4874 OJ 4.0198 273.7500 1.4684 23.4947 PALLAD 23.4158 1270.5000 1.8430 29.4886 PLAT 14.5260 983.6000 1.4768 23.6292 REDWHEAT 14.1440 831.0000 1.7020 27.2328 RICE 0.1610 15.5050 1.0384 16.6145 ROBUSTA 39.2727 2541.0000 1.5456 24.7290 RUSSELL 19.6177 1940.7000 1.0109 16.1737 SHATZ 0.1015 104.8400 0.0968 1.5493 SILVER-mini 0.3636 25.5375 1.4238 22.7804 SMI 79.2762 11145.0000 0.7113 11.3811 SOFR 0.0867 96.7200 0.0896 1.4335 SOYBEAN 22.0243 1373.0000 1.6041 25.6656 SOYMEAL 7.4920 401.3000 1.8669 29.8709 SOYOIL 1.1851 60.7700 1.9501 31.2010 SP400 22.1515 2693.0000 0.8226 13.1609 SP500_micro 25.0037 4538.5000 0.5509 8.8148 SUGAR11 0.3708 24.2900 1.5265 24.4242 US10 0.4970 112.5469 0.4416 7.0656 US10U 0.6408 118.4062 0.5412 8.6592 US2 0.1393 101.8984 0.1367 2.1870 US20 0.8550 126.4375 0.6762 10.8190 US30 1.2263 134.5625 0.9113 14.5816 US5 0.3445 107.5547 0.3203 5.1241 VIX 0.4728 17.0500 2.7728 44.3641 WHEAT 14.0782 680.0000 2.0703 33.1253 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 685.15 0.75 514.64 1.00 514.64 46875.0 91.08 -2.12 -19.27 BITCOIN 30.06 2.84 85.31 1.00 85.31 46875.0 549.45 1.44 79.09 BOBL 1154.80 0.28 318.87 1.11 355.13 46875.0 131.99 -10.48 -138.30 BTP 1153.20 0.64 739.51 1.11 823.59 46875.0 56.92 7.09 40.38 BUND 1327.50 0.48 643.10 1.11 716.22 46875.0 65.45 5.26 34.44 BUXL 1356.00 1.03 1394.15 1.11 1552.67 46875.0 30.19 -0.75 -2.26 CAC 736.65 0.89 657.33 1.11 732.07 46875.0 64.03 5.15 32.98 CAD 757.25 0.45 340.40 1.00 340.40 46875.0 137.70 -0.86 -11.87 CANOLA 162.74 1.15 186.89 0.76 141.77 46875.0 330.65 16.69 551.93 CHF 1459.75 0.51 743.34 1.00 743.34 46875.0 63.06 -6.75 -42.60 COCOA 334.40 1.27 425.13 1.00 425.13 46875.0 110.26 1.86 20.51 COFFEE 598.87 1.74 1041.73 1.00 1041.73 46875.0 45.00 -10.29 -46.30 COPPER 981.00 1.14 1117.46 1.00 1117.46 46875.0 41.95 -1.06 -4.45 CORN 257.12 2.38 610.80 1.00 610.80 46875.0 76.74 0.07 0.56 COTTON2 413.50 1.64 677.52 1.00 677.52 46875.0 69.19 1.08 7.45 CRUDE_W 743.00 1.53 1138.77 1.00 1138.77 46875.0 41.16 4.76 19.61 DAX 161.72 0.84 135.16 1.11 150.53 46875.0 311.41 -1.66 -51.69 DOW 173.46 0.58 100.86 1.00 100.86 46875.0 464.73 -0.27 -12.39 EUR 1408.19 0.50 697.28 1.00 697.28 46875.0 67.23 0.35 2.33 EURIBOR-ICE 2424.25 0.07 164.53 1.11 183.23 46875.0 255.82 -9.79 -250.40 EUROSTX 440.80 0.96 424.81 1.11 473.11 46875.0 99.08 5.45 53.96 FEEDCOW 1251.50 0.73 916.78 1.00 916.78 46875.0 51.13 -6.07 -31.02 GASOIL 746.25 1.59 1185.85 1.00 1185.85 46875.0 39.53 8.40 33.20 GASOLINE 987.42 1.61 1593.63 1.00 1593.63 46875.0 29.41 20.00 58.83 GAS_US_mini 63.12 3.67 231.68 1.00 231.68 46875.0 202.33 -10.93 -221.11 GBP 818.81 0.54 443.04 1.00 443.04 46875.0 105.80 9.50 100.53 GOLD_micro 196.31 0.61 119.25 1.00 119.25 46875.0 393.10 -13.57 -533.25 HEATOIL 1083.22 1.41 1527.68 1.00 1527.68 46875.0 30.68 7.25 22.25 JGB-SGX-mini 147340.00 0.16 24299.20 0.01 175.05 46875.0 267.78 12.88 344.85 JPY 909.38 0.65 592.33 1.00 592.33 46875.0 79.14 -16.51 -130.69 LEANHOG 333.50 1.42 474.85 1.00 474.85 46875.0 98.71 1.51 14.86 LIVECOW 731.30 0.64 468.96 1.00 468.96 46875.0 99.96 20.00 199.91 LUMBER-new 159.50 1.85 294.54 1.00 294.54 46875.0 159.15 -3.46 -55.00 MILK 319.80 1.61 514.42 1.00 514.42 46875.0 91.12 -20.00 -182.24 MXP 295.00 0.61 178.69 1.00 178.69 46875.0 262.33 20.00 524.66 NASDAQ_micro 313.70 0.77 240.04 1.00 240.04 46875.0 195.28 2.15 42.01 NIKKEI 32340.00 0.96 31000.30 0.01 223.32 46875.0 209.90 16.49 346.03 NZD 637.10 0.76 485.42 1.00 485.42 46875.0 96.57 2.74 26.49 OAT 1273.40 0.52 659.92 1.11 734.95 46875.0 63.78 6.66 42.47 OATIES 209.00 1.72 359.05 1.00 359.05 46875.0 130.55 -3.81 -49.75 OJ 410.62 1.47 602.97 1.00 602.97 46875.0 77.74 20.00 155.48 PALLAD 1270.50 1.84 2341.58 1.00 2341.58 46875.0 20.02 -9.62 -19.25 PLAT 491.80 1.48 726.30 1.00 726.30 46875.0 64.54 -2.05 -13.20 REDWHEAT 415.50 1.70 707.20 1.00 707.20 46875.0 66.28 -4.02 -26.65 RICE 310.10 1.04 322.01 1.00 322.01 46875.0 145.57 10.15 147.80 ROBUSTA 254.10 1.55 392.73 1.00 392.73 46875.0 119.36 11.42 136.31 RUSSELL 97.04 1.01 98.09 1.00 98.09 46875.0 477.89 2.80 133.87 SHATZ 1048.40 0.10 101.52 1.11 113.06 46875.0 414.60 -6.79 -281.63 SILVER-mini 638.44 1.42 908.99 1.00 908.99 46875.0 51.57 -0.91 -4.68 SMI 1114.50 0.71 792.76 1.15 915.56 46875.0 51.20 -2.13 -10.93 SOFR 2418.00 0.09 216.63 1.00 216.63 46875.0 216.38 -2.71 -58.71 SOYBEAN 686.50 1.60 1101.21 1.00 1101.21 46875.0 42.57 16.24 69.12 SOYMEAL 401.30 1.87 749.20 1.00 749.20 46875.0 62.57 12.86 80.47 SOYOIL 364.62 1.95 711.03 1.00 711.03 46875.0 65.93 9.67 63.77 SP400 2693.00 0.82 2215.15 1.00 2215.15 46875.0 21.16 4.42 9.35 SP500_micro 226.92 0.55 125.02 1.00 125.02 46875.0 374.94 3.47 129.95 SUGAR11 272.05 1.53 415.28 1.00 415.28 46875.0 112.87 5.93 66.91 US10 1125.47 0.44 497.01 1.00 497.01 46875.0 94.31 -9.90 -93.36 US10U 1184.06 0.54 640.81 1.00 640.81 46875.0 73.15 -2.56 -18.69 US2 2037.97 0.14 278.57 1.00 278.57 46875.0 168.27 -20.00 -336.55 US20 1264.38 0.68 854.95 1.00 854.95 46875.0 54.83 -3.12 -17.10 US30 1345.62 0.91 1226.33 1.00 1226.33 46875.0 38.22 -3.25 -12.43 US5 1075.55 0.32 344.45 1.00 344.45 46875.0 136.09 -12.89 -175.36 VIX 170.50 2.77 472.75 1.00 472.75 46875.0 99.15 -20.00 -198.31 WHEAT 340.00 2.07 703.91 1.00 703.91 46875.0 66.59 -13.48 -89.76 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -19.271 0.013 2.5 -0.626 BITCOIN 79.093 0.048 2.5 9.512 BOBL -138.303 0.004 2.5 -1.283 BTP 40.382 0.012 2.5 1.260 BUND 34.441 0.004 2.5 0.319 BUXL -2.259 0.004 2.5 -0.021 CAC 32.984 0.013 2.5 1.078 CAD -11.871 0.013 2.5 -0.386 CANOLA 551.926 0.008 2.5 11.563 CHF -42.597 0.013 2.5 -1.385 COCOA 20.508 0.007 2.5 0.378 COFFEE -46.300 0.004 2.5 -0.466 COPPER -4.451 0.048 2.5 -0.535 CORN 0.556 0.008 2.5 0.012 COTTON2 7.445 0.007 2.5 0.137 CRUDE_W 19.613 0.049 2.5 2.402 DAX -51.692 0.013 2.5 -1.689 DOW -12.386 0.009 2.5 -0.277 EUR 2.333 0.013 2.5 0.076 EURIBOR-ICE -250.401 0.012 2.5 -7.811 EUROSTX 53.961 0.013 2.5 1.763 FEEDCOW -31.015 0.014 2.5 -1.057 GASOIL 33.201 0.020 2.5 1.628 GASOLINE 58.828 0.020 2.5 2.884 GAS_US_mini -221.113 0.049 2.5 -27.081 GBP 100.535 0.013 2.5 3.268 GOLD_micro -533.251 0.015 2.5 -20.199 HEATOIL 22.249 0.020 2.5 1.091 JGB-SGX-mini 344.855 0.052 2.5 45.065 JPY -130.686 0.013 2.5 -4.248 LEANHOG 14.861 0.025 2.5 0.929 LIVECOW 199.912 0.014 2.5 6.814 LUMBER-new -54.997 0.007 2.5 -0.994 MILK -182.245 0.007 2.5 -3.362 MXP 524.661 0.066 2.5 86.310 NASDAQ_micro 42.008 0.009 2.5 0.938 NIKKEI 346.033 0.052 2.5 45.219 NZD 26.492 0.013 2.5 0.861 OAT 42.466 0.012 2.5 1.325 OATIES -49.754 0.008 2.5 -1.042 OJ 155.480 0.007 2.5 2.868 PALLAD -19.250 0.015 2.5 -0.729 PLAT -13.201 0.015 2.5 -0.500 REDWHEAT -26.654 0.005 2.5 -0.304 RICE 147.801 0.008 2.5 3.096 ROBUSTA 136.312 0.004 2.5 1.371 RUSSELL 133.872 0.013 2.5 4.263 SHATZ -281.634 0.004 2.5 -2.612 SILVER-mini -4.680 0.015 2.5 -0.177 SMI -10.931 0.013 2.5 -0.357 SOFR -58.711 0.023 2.5 -3.408 SOYBEAN 69.116 0.003 2.5 0.554 SOYMEAL 80.474 0.003 2.5 0.644 SOYOIL 63.771 0.003 2.5 0.511 SP400 9.348 0.013 2.5 0.298 SP500_micro 129.948 0.009 2.5 2.902 SUGAR11 66.913 0.007 2.5 1.226 US10 -93.355 0.005 2.5 -1.130 US10U -18.694 0.005 2.5 -0.226 US2 -336.545 0.005 2.5 -4.074 US20 -17.098 0.005 2.5 -0.207 US30 -12.433 0.005 2.5 -0.150 US5 -175.359 0.005 2.5 -2.123 VIX -198.306 0.059 2.5 -29.384 WHEAT -89.762 0.005 2.5 -1.025 ===================== Position diags ===================== AUD 2.96 BITCOIN 66.08 BOBL 1.22 BTP 1.78 BUND 0.61 BUXL 0.28 CAC 2.09 CAD 4.48 CANOLA 6.93 CHF 2.05 COCOA 2.03 COFFEE 0.45 COPPER 5.04 CORN 1.61 COTTON2 1.28 CRUDE_W 5.04 DAX 10.17 DOW 10.38 EUR 2.19 EURIBOR-ICE 7.98 EUROSTX 3.24 FEEDCOW 1.74 GASOIL 1.94 GASOLINE 1.44 GAS_US_mini 24.78 GBP 3.44 GOLD_micro 14.89 HEATOIL 1.50 JGB-SGX-mini 34.99 JPY 2.57 LEANHOG 6.17 LIVECOW 3.41 LUMBER-new 2.88 MILK 1.68 MXP 43.16 NASDAQ_micro 4.36 NIKKEI 27.43 NZD 3.14 OAT 1.99 OATIES 2.74 OJ 1.43 PALLAD 0.76 PLAT 2.44 REDWHEAT 0.76 RICE 3.05 ROBUSTA 1.20 RUSSELL 15.22 SHATZ 3.84 SILVER-mini 1.95 SMI 1.67 SOFR 12.56 SOYBEAN 0.34 SOYMEAL 0.50 SOYOIL 0.53 SP400 0.67 SP500_micro 8.37 SUGAR11 2.07 US10 1.14 US10U 0.89 US2 2.04 US20 0.66 US30 0.46 US5 1.65 VIX 14.69 WHEAT 0.76 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.6 -0.9 -0.3 NaN 0 BITCOIN 9.5 2.9 16.1 0.0 0 BOBL -1.3 -1.4 -1.2 NaN 0 BTP 1.3 1.1 1.4 4.0 4 BUND 0.3 0.3 0.4 4.0 4 BUXL -0.0 -0.0 0.0 NaN 0 CAC 1.1 0.9 1.3 NaN 0 CAD -0.4 -0.8 0.1 NaN 0 CANOLA 11.6 10.9 12.3 NaN 0 CHF -1.4 -1.6 -1.2 -3.0 -3 COCOA 0.4 0.2 0.6 NaN 0 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -0.5 -1.0 -0.0 -1.0 -1 CORN 0.0 -0.1 0.2 0.0 0 COTTON2 0.1 0.0 0.3 NaN 0 CRUDE_W 2.4 1.9 2.9 2.0 2 DAX -1.7 -2.7 -0.7 -10.0 -10 DOW -0.3 -1.3 0.8 NaN 0 EUR 0.1 -0.1 0.3 0.0 0 EURIBOR-ICE -7.8 -8.6 -7.0 -1.0 -1 EUROSTX 1.8 1.4 2.1 6.0 6 FEEDCOW -1.1 -1.2 -0.9 NaN 0 GASOIL 1.6 1.4 1.8 1.0 1 GASOLINE 2.9 2.7 3.0 4.0 4 GAS_US_mini -27.1 -29.6 -24.6 -10.0 -10 GBP 3.3 2.9 3.6 10.0 10 GOLD_micro -20.2 -21.7 -18.7 -5.0 -5 HEATOIL 1.1 0.9 1.2 0.0 0 JGB-SGX-mini 45.1 41.6 48.6 16.0 16 JPY -4.2 -4.5 -4.0 -12.0 -12 LEANHOG 0.9 0.3 1.5 -5.0 -5 LIVECOW 6.8 6.5 7.2 NaN 0 LUMBER-new -1.0 -1.3 -0.7 NaN 0 MILK -3.4 -3.5 -3.2 NaN 0 MXP 86.3 82.0 90.6 60.0 60 NASDAQ_micro 0.9 0.5 1.4 15.0 15 NIKKEI 45.2 42.5 48.0 35.0 35 NZD 0.9 0.5 1.2 1.0 1 OAT 1.3 1.1 1.5 NaN 0 OATIES -1.0 -1.3 -0.8 NaN 0 OJ 2.9 2.7 3.0 NaN 0 PALLAD -0.7 -0.8 -0.7 NaN 0 PLAT -0.5 -0.7 -0.3 -5.0 -5 REDWHEAT -0.3 -0.4 -0.2 NaN 0 RICE 3.1 2.8 3.4 NaN 0 ROBUSTA 1.4 1.3 1.5 2.0 2 RUSSELL 4.3 2.7 5.8 -1.0 -1 SHATZ -2.6 -3.0 -2.2 NaN 0 SILVER-mini -0.2 -0.4 0.0 NaN 0 SMI -0.4 -0.5 -0.2 0.0 0 SOFR -3.4 -4.7 -2.2 NaN 0 SOYBEAN 0.6 0.5 0.6 2.0 2 SOYMEAL 0.6 0.6 0.7 NaN 0 SOYOIL 0.5 0.5 0.6 1.0 1 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 2.9 2.1 3.7 10.0 10 SUGAR11 1.2 1.0 1.4 3.0 3 US10 -1.1 -1.2 -1.0 NaN 0 US10U -0.2 -0.3 -0.1 -11.0 -11 US2 -4.1 -4.3 -3.9 NaN 0 US20 -0.2 -0.3 -0.1 NaN 0 US30 -0.2 -0.2 -0.1 NaN 0 US5 -2.1 -2.3 -2.0 -7.0 -7 VIX -29.4 -30.9 -27.9 -16.0 -16 WHEAT -1.0 -1.1 -0.9 NaN 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 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BITCOIN 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BOBL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BTP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BUND 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 BUXL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CAC 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CANOLA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CHF 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COCOA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COFFEE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COPPER 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CORN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 COTTON2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 CRUDE_W 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 DAX 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 DOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EUR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EURIBOR-ICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 EUROSTX 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 FEEDCOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GASOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GASOLINE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GAS_US_mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GBP 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 GOLD_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 HEATOIL 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 JGB-SGX-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 JPY 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LEANHOG 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LIVECOW 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 LUMBER-new 2.7 2.7 2.6 0.9 1.3 2.2 0.9 3.0 0.9 1.3 2.1 0.9 1.4 0.9 0.9 6.4 6.4 6.4 6.4 0.9 0.9 1.3 2.2 0.9 0.0 0.9 1.3 2.2 0.9 3.0 0.9 17.0 3.6 2.7 2.6 2.6 1.4 1.4 1.4 1.4 MILK 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 MXP 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NASDAQ_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NIKKEI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 NZD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OAT 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OATIES 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 OJ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PALLAD 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 PLAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 REDWHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RICE 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 ROBUSTA 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 RUSSELL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SHATZ 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SILVER-mini 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SMI 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOFR 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYBEAN 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYMEAL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SOYOIL 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP400 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SP500_micro 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 SUGAR11 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US10U 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US2 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US20 2.5 2.5 2.5 0.8 1.3 2.1 0.8 2.8 0.8 1.3 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.3 2.1 0.8 5.3 0.8 1.3 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US30 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 US5 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 VIX 3.8 3.8 3.8 1.3 1.9 3.2 1.3 4.2 1.3 1.9 3.2 1.3 4.2 1.3 1.3 9.0 9.0 9.0 9.0 1.3 1.3 1.9 3.2 1.3 0.0 1.3 1.9 3.2 1.3 4.2 1.3 0.0 0.0 0.0 0.0 0.0 2.0 2.0 0.0 0.0 WHEAT 2.5 2.5 2.5 0.8 1.2 2.1 0.8 2.8 0.8 1.2 2.1 0.8 2.8 0.8 0.8 5.9 5.9 5.9 5.9 0.8 0.8 1.2 2.1 0.8 5.3 0.8 1.2 2.1 0.8 2.8 0.8 15.8 3.3 2.5 2.5 2.5 1.3 1.3 1.3 1.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.2 -0.2 -0.2 0.0 -0.0 0.2 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.4 -0.5 -0.2 -0.3 -0.0 -0.3 0.1 0.2 BITCOIN 0.3 0.1 0.2 0.0 0.3 0.1 0.1 0.1 0.1 -0.1 0.4 0.1 -0.2 0.2 0.2 -0.4 -0.2 -0.3 -0.2 0.1 0.1 0.1 0.1 0.1 -1.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.7 0.5 0.3 -0.1 -0.0 0.3 0.0 0.3 BOBL -0.1 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -1.2 -0.1 -0.9 -0.5 -0.0 -0.0 -0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.9 -0.1 -0.0 -0.1 0.0 -0.3 -0.3 -0.3 -0.2 BTP -0.3 0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.2 -0.0 -0.1 -0.0 0.0 0.3 0.5 0.4 0.5 0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.0 0.0 0.0 -0.0 0.0 -0.0 2.5 -0.2 -0.0 0.4 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 0.6 0.4 0.4 -0.0 -0.0 -0.0 -0.2 -0.0 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.5 -0.2 0.0 0.0 0.1 -0.3 -0.3 -0.1 -0.0 BUXL -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.7 -0.4 0.1 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC -0.0 -0.3 -0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.3 0.1 0.5 0.0 0.1 -0.3 0.1 -0.1 0.0 0.0 0.1 0.1 0.3 0.0 -0.2 0.0 0.1 0.1 0.0 0.2 0.0 1.6 -0.6 0.2 -0.3 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.1 0.4 0.3 0.0 0.2 0.1 0.1 0.0 0.1 0.1 0.3 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.7 -0.5 -0.0 0.1 -0.3 -0.3 -0.3 -0.1 CANOLA 0.5 0.5 0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 0.3 1.0 0.9 1.0 0.1 -0.0 0.2 -0.1 0.2 -1.1 0.0 0.0 -0.0 0.0 -0.0 0.0 3.0 0.7 0.5 0.5 0.0 -0.2 0.2 0.0 0.3 CHF 0.4 -0.0 0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.2 0.1 0.3 0.1 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 0.2 0.1 0.2 -0.4 0.0 0.2 0.1 0.1 0.1 0.1 -2.9 0.6 0.3 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 COCOA -0.1 0.0 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.4 0.0 0.5 0.1 0.2 -0.1 -0.1 -0.0 -0.0 0.2 0.2 0.1 0.4 0.2 -0.4 0.1 0.0 0.2 0.0 0.2 0.0 -1.8 -0.3 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.5 -0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.1 0.1 0.2 0.2 0.3 -0.2 -0.1 -0.2 -0.2 -0.2 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.5 -0.4 -0.5 -0.4 0.3 -0.3 -0.3 -0.1 -0.3 COPPER 0.0 0.1 -0.3 0.0 0.2 0.1 0.1 0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 -0.1 0.0 -0.2 -0.0 0.1 -0.0 0.1 -0.1 0.0 0.4 0.3 -0.2 0.1 -0.5 -0.0 -0.3 0.0 -0.2 CORN -0.5 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.5 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 -0.3 0.3 -0.0 -0.0 0.2 0.0 0.3 COTTON2 -0.1 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.0 0.0 0.5 0.4 0.4 0.3 0.0 -0.0 0.1 -0.1 0.0 -1.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 0.1 -0.1 0.0 0.2 -0.3 -0.2 0.1 0.1 CRUDE_W 0.3 0.1 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.1 0.1 -0.3 0.1 -0.0 0.3 0.5 0.3 0.4 0.0 -0.0 0.2 -0.1 0.1 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 -1.5 0.2 0.4 0.3 0.4 0.1 0.2 0.1 0.0 DAX -0.3 -0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.0 0.4 -0.0 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 0.1 0.3 -0.0 0.8 -0.0 0.1 0.1 0.0 0.2 -0.0 -0.6 -0.4 -0.3 -0.3 -0.2 0.2 -0.0 0.3 0.0 DOW 0.0 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.5 -0.5 0.1 0.0 0.1 0.1 0.1 -0.4 0.0 0.1 0.1 0.0 0.1 0.0 -0.6 0.2 0.4 0.3 0.0 -0.1 -0.0 -0.3 -0.0 EUR 0.3 0.1 0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.2 0.1 0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 0.1 0.1 0.7 0.0 0.2 0.1 0.1 0.0 0.1 -1.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.2 EURIBOR-ICE -0.1 -0.3 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.7 -0.4 -0.6 -0.6 -0.1 -0.0 0.0 -0.2 -0.0 0.9 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -2.1 0.0 -0.1 -0.2 0.0 -0.3 -0.3 0.3 0.0 EUROSTX -0.1 -0.2 -0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.3 0.1 0.5 0.0 0.1 -0.3 0.0 -0.2 -0.1 0.0 0.1 0.1 0.3 0.0 0.2 0.0 0.1 0.1 0.0 0.2 0.0 1.2 -0.4 -0.0 -0.2 -0.1 0.2 -0.0 0.3 0.1 FEEDCOW 0.3 -0.1 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.4 0.1 0.5 0.1 0.1 -1.2 -1.2 -1.2 -1.2 0.2 0.2 0.2 0.4 0.2 0.4 0.1 0.0 0.2 0.0 0.2 0.1 -3.2 0.0 0.5 0.5 0.5 -0.0 -0.3 0.2 -0.2 GASOIL 0.4 0.5 -0.3 0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.2 0.1 -0.1 0.1 0.0 0.3 0.9 0.4 0.6 0.1 -0.0 0.2 -0.1 0.1 0.5 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.2 0.2 0.2 0.0 -0.1 0.1 -0.1 -0.1 GASOLINE 0.3 0.2 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 0.1 0.1 1.2 1.2 1.2 1.2 0.1 0.0 0.2 0.2 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 3.2 0.1 0.5 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.2 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.3 -0.1 -0.4 0.0 -0.0 0.0 -0.7 -0.6 -0.8 -0.0 -0.2 -0.1 -0.4 -0.0 0.8 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -3.2 -0.7 -0.0 0.0 0.0 0.0 0.2 0.0 0.0 GBP 0.2 0.2 0.3 0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.4 0.1 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.1 0.3 0.2 0.2 -0.1 0.1 0.2 0.1 0.1 0.0 0.1 0.4 0.0 -0.1 0.2 0.2 0.1 0.1 0.1 0.3 GOLD_micro -0.0 -0.5 -0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.2 -0.1 -0.1 -0.9 -0.7 -0.9 -0.8 -0.1 -0.0 0.2 0.2 -0.0 -0.6 -0.0 0.1 0.0 0.1 0.1 0.0 -2.5 0.1 -0.2 -0.5 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.4 0.4 -0.3 0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 -0.2 0.1 -0.2 0.1 0.0 0.2 1.0 0.3 0.6 0.1 -0.1 0.3 -0.1 0.2 -1.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.5 0.5 0.2 -0.1 0.0 -0.1 0.0 JGB-SGX-mini -0.5 -0.1 0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.0 0.0 1.0 1.2 0.8 1.0 0.0 0.1 -0.2 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.0 0.0 -0.0 3.2 -0.7 -0.1 0.2 0.3 -0.3 -0.1 0.1 0.1 JPY 0.3 -0.2 -0.4 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 0.1 -0.2 -0.0 -0.1 -1.0 -0.8 -1.0 -0.9 -0.1 -0.1 0.2 -0.3 0.0 1.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 -3.1 0.1 -0.4 -0.5 -0.5 -0.3 -0.3 -0.3 -0.3 LEANHOG 0.4 0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.2 0.1 -0.3 0.1 0.0 1.2 -0.4 1.2 0.5 0.0 -0.1 0.2 -0.4 0.1 0.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 -2.5 0.3 -0.0 -0.1 -0.5 -0.1 0.0 0.2 0.3 LIVECOW 0.2 0.4 0.4 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.2 0.4 0.2 0.6 0.2 0.2 -0.2 0.6 1.2 1.2 0.2 0.2 0.2 0.4 0.2 0.5 0.1 0.1 0.2 0.1 0.2 0.1 3.1 0.7 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new 0.4 0.5 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 -0.3 0.1 -0.3 0.2 0.1 -0.3 -0.8 -0.7 -0.8 0.1 0.0 0.3 -0.1 0.2 NaN 0.1 0.1 0.0 0.1 -0.0 0.1 -3.4 0.7 0.5 0.5 0.3 -0.3 -0.3 -0.3 -0.3 MILK -0.1 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -1.2 -1.2 -1.2 -1.2 -0.2 -0.2 -0.1 -0.4 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.2 -0.5 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.0 0.3 0.5 0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.4 0.2 0.6 0.2 0.2 1.1 1.1 1.1 1.1 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.2 0.1 0.3 0.1 3.2 -0.7 -0.3 0.4 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.1 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.2 0.4 0.2 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 0.6 0.4 0.5 0.5 -0.1 -0.1 -0.2 -0.1 NIKKEI -0.5 0.2 0.5 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.3 -0.1 0.4 0.1 0.1 0.9 0.7 0.8 0.7 0.2 0.2 -0.1 0.4 0.0 -0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 3.2 -0.7 -0.3 0.5 0.5 0.1 0.0 0.0 0.1 NZD 0.2 0.1 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.2 -0.0 0.1 0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.8 -0.1 -0.2 -0.3 -0.3 0.0 -0.2 0.2 0.1 OAT -0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.3 0.6 0.5 0.5 -0.0 -0.0 -0.0 -0.2 -0.0 0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.7 -0.2 -0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES 0.1 0.5 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.2 0.0 -0.3 0.1 0.1 -0.8 0.1 -0.6 -0.3 0.2 0.1 0.1 0.0 0.2 -1.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -2.3 -0.6 0.1 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.1 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.3 0.1 0.5 0.1 0.1 1.1 1.1 1.1 1.1 0.1 0.2 0.2 0.4 0.1 -1.1 0.1 0.0 0.2 0.0 0.5 0.0 3.2 0.1 -0.1 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD -0.3 -0.5 -0.2 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.4 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.4 -0.5 -0.5 -0.3 -0.2 0.0 -0.0 0.0 PLAT -0.1 -0.5 -0.2 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 0.6 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.3 0.3 -0.3 -0.5 -0.2 -0.0 -0.2 0.1 -0.1 REDWHEAT -0.0 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.3 -0.0 0.0 -0.0 0.2 0.2 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.4 -0.2 -0.0 0.2 -0.3 -0.2 -0.1 -0.1 RICE -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.1 -0.0 -0.1 0.0 0.0 0.7 1.2 1.2 1.2 -0.0 -0.0 0.0 -0.1 -0.0 -1.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 3.2 0.1 -0.5 0.0 0.3 -0.1 -0.3 -0.0 -0.3 ROBUSTA -0.5 -0.3 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.1 1.2 0.8 1.2 1.0 0.1 0.1 -0.1 0.3 -0.0 -0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.3 -0.2 -0.5 0.3 0.5 -0.1 -0.3 0.0 -0.2 RUSSELL 0.1 0.5 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.3 0.1 0.0 0.2 -0.0 0.1 -0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.6 0.5 0.5 -0.1 -0.1 -0.1 -0.3 -0.1 SHATZ -0.1 -0.5 -0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.0 -0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.2 -0.2 -0.1 0.0 0.2 0.1 0.1 0.1 0.0 0.2 0.1 0.1 0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 0.0 0.2 0.1 0.1 0.4 0.0 0.2 0.0 0.1 0.0 0.0 -0.7 0.5 -0.0 -0.1 0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.3 -0.4 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.2 -0.1 0.1 -0.1 0.0 -0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.7 -0.7 -0.5 -0.5 -0.1 -0.1 -0.1 -0.2 -0.2 SOFR -0.2 -0.4 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.0 -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 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 0.0 -0.2 0.1 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.3 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.0 -0.1 0.0 0.0 0.6 1.2 0.8 1.1 0.0 0.0 0.1 -0.0 0.1 -0.8 0.0 0.0 0.0 0.0 -0.0 0.0 3.2 0.2 0.3 0.5 0.1 -0.1 0.3 -0.0 0.3 SOYMEAL 0.1 0.2 -0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 1.1 1.2 1.2 1.2 -0.0 -0.0 0.0 0.0 0.0 -0.9 0.0 0.0 0.0 0.0 0.0 0.0 3.2 0.1 0.3 0.2 0.0 -0.1 -0.3 -0.0 -0.2 SOYOIL 0.5 0.5 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.7 0.6 0.6 0.5 0.1 0.0 0.1 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.7 0.1 0.2 0.5 0.2 0.1 0.1 0.2 0.3 SP400 0.4 0.5 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.3 0.0 0.2 -0.5 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.7 0.5 0.5 -0.1 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.1 0.5 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.1 0.2 0.2 -0.7 -0.5 -0.7 -0.6 0.2 0.2 0.3 0.3 0.2 -0.9 0.1 0.1 0.1 0.1 0.1 0.1 -1.0 0.7 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.1 SUGAR11 -0.5 -0.5 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.2 -0.0 0.3 -0.0 0.0 -0.0 1.0 0.2 0.6 -0.0 0.1 0.1 0.4 -0.0 -1.1 0.0 0.0 0.1 0.0 0.2 -0.0 2.3 0.4 -0.5 -0.4 0.5 -0.3 -0.2 0.1 -0.1 US10 -0.1 -0.4 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.5 -0.4 -0.5 -0.5 -0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.8 0.3 0.0 -0.2 -0.0 -0.3 -0.3 0.2 0.0 US10U -0.1 -0.3 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.3 0.0 -0.2 -0.0 -0.3 -0.3 0.3 0.2 US2 0.0 -0.5 -0.5 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -1.2 -1.1 -1.2 -1.2 -0.1 -0.1 0.0 -0.2 -0.1 0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -3.2 0.3 -0.1 -0.4 -0.2 -0.3 -0.2 -0.3 -0.2 US20 -0.1 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.2 0.0 -0.0 -0.0 -0.3 -0.3 0.3 0.2 US30 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.3 -0.3 0.3 0.3 US5 -0.0 -0.4 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.7 -0.6 -0.1 -0.0 0.0 -0.1 -0.0 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -2.4 0.3 -0.0 -0.2 -0.1 -0.3 -0.3 0.1 -0.2 VIX -0.1 -0.8 -0.8 -0.1 -0.1 -0.2 -0.0 -0.3 -0.1 -0.4 -0.6 -0.3 -0.8 -0.3 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 -0.4 -0.6 -0.3 NaN -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT -0.2 0.5 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 -0.5 -0.5 -0.6 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -3.2 -0.4 -0.2 0.1 -0.0 -0.2 -0.2 -0.1 -0.1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -3.3 10.6 1.0 3.4 8.4 2.2 7.5 0.9 5.2 8.8 -3.9 4.7 -4.8 4.0 2.0 -2.3 -2.6 -2.6 -2.7 1.6 -1.1 12.4 -3.7 5.6 1.9 1.2 9.9 -0.1 6.7 -1.5 3.1 -0.5 -11.7 -20.0 -9.0 -11.4 -2.3 -20.0 10.8 16.6 BITCOIN 11.7 2.4 7.8 4.2 20.0 3.7 14.4 3.0 7.5 -11.5 19.7 15.9 -5.7 18.4 18.1 -6.6 -3.0 -5.2 -4.1 14.3 13.7 5.2 5.7 13.2 -20.0 5.8 -2.5 4.9 2.4 3.0 5.9 -0.6 -20.0 19.5 11.9 -4.9 -1.3 20.0 0.1 20.0 BOBL -5.1 -9.8 -4.2 -1.9 2.1 -1.5 -0.1 -2.1 -1.7 4.5 -3.6 -2.5 -6.3 -5.6 -5.1 -20.0 -1.8 -14.9 -7.7 -5.7 -5.3 -1.5 -8.1 -5.4 9.4 -2.1 1.7 -1.5 -0.6 -2.5 -2.1 -5.9 -2.4 -1.1 -2.6 0.9 -20.0 -20.0 -19.6 -14.7 BTP -11.2 3.9 10.6 -2.9 3.1 -2.3 -0.2 -3.1 -2.5 6.7 7.2 -3.3 -2.7 -0.3 2.1 4.7 8.9 6.5 7.6 0.8 2.3 -1.4 -2.0 -2.6 -6.3 0.7 3.4 2.1 -1.0 0.1 -1.5 15.8 -7.4 -1.4 14.2 11.5 -20.0 -20.0 -4.8 4.0 BUND -4.3 -2.7 0.6 -2.0 2.2 -1.6 -0.1 -2.2 -1.8 2.5 -3.7 -2.8 -6.7 -4.4 -4.3 6.0 9.4 6.7 7.5 -3.8 -3.9 -1.9 -7.8 -4.4 5.2 -1.7 2.2 -1.1 -1.0 -2.6 -2.2 15.9 -5.9 0.5 1.8 2.4 -20.0 -20.0 -10.5 -3.2 BUXL -0.2 4.7 -1.9 -2.4 2.7 -1.9 -0.1 -2.6 -2.2 -1.5 -7.4 -4.1 -9.0 -2.4 -4.8 1.4 1.2 1.8 1.9 -2.7 -5.1 -3.9 -11.4 -3.8 -0.1 -1.0 1.3 -1.2 -2.1 -3.3 -2.0 4.1 -12.1 4.0 7.8 3.1 -20.0 -20.0 8.1 9.9 CAC -1.1 -12.2 -4.2 3.7 9.2 5.1 5.6 4.5 3.1 12.7 14.6 7.9 16.7 1.5 7.4 -5.9 1.5 -2.0 0.2 2.1 9.0 8.4 15.9 2.2 -4.6 2.5 7.7 5.1 3.4 7.6 1.8 10.0 -17.8 9.1 -10.1 -6.5 16.6 -3.3 20.0 -1.5 CAD -4.7 14.3 13.6 5.4 13.4 3.6 12.0 1.5 8.3 7.9 12.6 7.0 -8.6 14.2 15.6 -2.1 -1.9 -2.3 -2.3 11.8 7.6 8.5 -1.9 9.7 -0.9 5.7 3.6 4.2 3.8 0.1 4.4 0.5 -20.0 -20.0 -1.9 3.3 -19.0 -20.0 -20.0 -10.0 CANOLA 20.0 20.0 5.3 -0.4 1.7 -2.1 1.5 -2.3 1.1 8.5 -1.7 9.4 -7.2 9.5 6.0 5.2 16.8 15.1 17.4 12.5 -0.2 20.0 -5.8 20.0 -20.0 1.9 3.2 -0.7 4.1 -1.7 4.0 18.8 20.0 20.0 20.0 1.9 -14.0 18.2 0.3 20.0 CHF 14.7 -0.9 4.2 4.4 10.7 2.9 9.6 1.2 6.7 13.5 10.9 15.0 11.6 11.9 8.4 -13.8 -12.8 -14.0 -13.5 11.4 8.2 20.0 6.7 20.0 -7.4 4.1 14.7 2.9 12.9 1.9 7.8 -18.5 17.3 10.1 -3.9 1.0 -12.9 -20.0 -14.9 -20.0 COCOA -5.5 1.9 12.5 -1.0 3.8 -4.6 3.2 -5.0 2.4 -1.9 20.0 5.2 18.4 14.4 18.4 -1.6 -1.0 -0.8 -0.4 20.0 20.0 6.7 20.0 18.0 -8.3 7.9 0.9 7.7 2.6 6.0 5.9 -11.6 -7.7 20.0 20.0 20.0 -19.5 -20.0 9.9 -10.8 COFFEE -20.0 -20.0 -2.9 -0.9 3.4 -4.1 2.9 -4.5 2.2 -0.1 -2.1 -16.6 -7.0 -18.3 -16.6 2.4 4.0 4.0 4.3 -20.0 -11.9 -14.7 -8.2 -20.0 -20.0 -4.3 0.1 -1.2 -3.8 -0.7 -6.1 -3.3 -10.8 -20.0 -15.6 10.4 -20.0 -20.0 -7.6 -20.0 COPPER 1.3 4.9 -12.5 2.8 13.6 2.5 9.7 2.0 5.0 11.7 -4.2 7.2 -4.5 7.3 -3.3 -2.5 -1.3 -2.3 -1.8 -2.1 -4.5 14.2 -3.6 5.1 -4.0 -0.4 10.5 -2.4 7.6 -1.9 3.6 2.7 10.2 -9.9 3.4 -20.0 -1.7 -20.0 2.1 -17.6 CORN -20.0 17.3 -1.8 -0.3 1.3 -1.6 1.1 -1.7 0.8 4.2 -4.0 -5.5 -4.4 -5.4 -4.2 -3.7 8.8 -0.7 4.3 -3.7 -2.8 -4.6 -2.1 -5.9 -6.8 -0.0 0.5 -0.9 -0.7 -1.2 -0.4 1.6 -3.5 -11.0 12.0 -0.2 -3.3 16.2 0.1 20.0 COTTON2 -3.6 4.5 9.0 -0.5 2.1 -2.5 1.8 -2.8 1.3 7.6 1.0 8.7 -8.6 4.7 4.7 8.7 6.6 6.7 4.7 1.4 -0.9 4.2 -4.1 2.6 -18.1 0.7 2.8 -0.1 3.2 -0.4 1.8 -1.6 4.5 -5.6 0.8 9.8 -20.0 -18.1 4.6 7.2 CRUDE_W 13.0 4.8 -6.4 1.1 8.4 -2.7 9.7 -1.8 6.1 11.5 -4.8 16.0 -10.7 13.7 -2.4 5.2 8.2 5.6 6.4 4.0 -3.5 20.0 -2.9 15.3 -5.5 4.4 8.6 1.2 10.5 1.3 8.1 -9.5 5.7 14.6 10.6 16.4 9.6 12.8 11.0 3.3 DAX -11.4 -10.3 0.5 3.4 8.4 4.7 5.2 4.2 2.9 11.8 13.4 2.3 14.9 -2.0 6.6 -8.1 -6.3 -8.1 -7.6 0.7 8.5 5.2 12.7 -1.5 15.3 -0.3 7.2 4.0 1.4 6.0 -2.0 -3.6 -13.0 -13.9 -13.7 -6.7 15.6 -2.2 20.0 1.8 DOW 1.4 9.5 4.4 3.3 8.3 4.6 5.1 4.1 2.8 14.1 6.6 9.9 6.9 12.4 13.0 -9.8 -6.4 -9.1 -8.1 7.6 5.8 10.0 3.7 8.3 -8.5 5.4 6.5 4.0 5.8 2.8 5.9 -4.0 4.8 16.0 13.8 1.3 -4.2 -3.3 -20.0 -1.5 EUR 11.6 2.5 2.3 4.2 10.4 2.8 9.3 1.1 6.5 14.8 10.6 15.1 6.6 12.5 6.4 -6.3 -6.8 -6.6 -6.6 8.4 5.7 20.0 2.8 17.0 13.1 3.7 13.7 2.5 11.1 1.1 6.9 -7.4 -1.6 0.1 -5.4 -5.5 -5.3 -20.0 0.5 16.2 EURIBOR-ICE -4.5 -11.8 3.2 -1.9 2.1 -1.5 -0.1 -2.1 -1.7 5.1 -4.4 -0.7 -6.6 -4.9 -5.1 -12.2 -7.5 -10.6 -9.5 -6.4 -5.8 0.2 -8.3 -5.4 16.3 -2.1 2.1 -1.7 -0.1 -2.6 -1.9 -13.4 1.0 -2.2 -6.4 0.7 -20.0 -20.0 20.0 3.4 EUROSTX -4.9 -8.1 -0.4 3.5 8.7 4.9 5.3 4.3 3.0 12.8 16.4 8.2 17.1 5.3 12.2 -4.8 0.4 -4.0 -1.9 4.1 10.5 7.5 15.2 2.6 4.5 1.9 8.8 5.7 3.0 8.1 0.3 7.4 -13.5 -1.9 -8.4 -5.3 18.1 -0.1 20.0 5.2 FEEDCOW 10.9 -5.4 14.4 -0.9 3.6 -4.3 3.1 -4.7 2.3 -0.4 17.7 13.9 16.8 14.3 16.4 -20.0 -20.0 -20.0 -20.0 20.0 20.0 12.5 20.0 20.0 7.0 7.2 1.0 8.2 4.2 7.4 6.2 -20.0 0.0 20.0 20.0 20.0 -1.4 -20.0 11.6 -15.7 GASOIL 14.8 19.3 -12.2 1.0 7.0 -2.3 8.1 -1.5 5.1 13.5 -8.3 14.9 -5.2 14.4 3.6 5.2 14.9 5.9 9.7 6.1 -5.3 20.0 -3.6 16.5 10.2 2.7 6.3 -1.7 8.0 -2.2 6.6 0.0 7.0 9.7 9.4 0.8 -6.4 4.0 -8.9 -4.5 GASOLINE 10.9 8.2 -3.8 1.2 9.1 -3.0 10.5 -2.0 6.6 14.9 8.9 18.0 -5.5 17.8 8.0 20.0 20.0 20.0 20.0 11.3 5.3 20.0 7.2 20.0 -20.0 6.6 7.5 4.4 9.2 4.9 8.5 20.0 2.3 19.2 20.0 20.0 9.1 12.1 12.3 -3.1 GAS_US_mini 8.1 20.0 1.5 0.8 6.2 -2.0 7.2 -1.4 4.5 -11.9 -14.2 -8.6 -14.5 2.6 -2.2 0.7 -12.6 -10.4 -13.8 -3.1 -19.2 -5.0 -20.0 -0.6 15.1 1.8 -4.0 -1.6 -1.8 -3.3 1.4 -20.0 -20.0 -0.6 0.2 1.4 2.9 16.9 0.5 1.8 GBP 6.4 8.7 12.9 5.0 12.4 3.3 11.1 1.4 7.7 15.8 18.4 17.7 8.6 17.3 17.6 0.9 -1.1 -0.2 -0.8 19.2 15.7 20.0 8.0 20.0 -1.0 6.4 12.3 4.7 11.3 1.5 8.4 2.4 1.3 -2.9 6.2 7.6 5.4 10.2 11.3 20.0 GOLD_micro -1.6 -19.0 -2.5 3.7 17.6 3.2 12.6 2.7 6.6 17.7 3.7 9.6 7.2 -7.5 -11.7 -15.7 -11.5 -14.4 -13.1 -10.8 -1.0 14.6 8.1 -2.9 -12.1 -1.2 10.7 1.1 9.0 3.8 2.8 -15.8 2.6 -7.6 -20.0 -10.8 -20.0 -20.0 -6.7 -20.0 HEATOIL 17.2 16.6 -13.2 1.2 8.6 -2.8 9.9 -1.9 6.2 15.2 -11.6 17.9 -7.6 17.4 3.2 3.7 16.7 4.5 9.6 7.0 -7.5 20.0 -5.2 20.0 -20.0 4.8 6.0 0.5 8.3 0.7 7.9 1.4 6.5 20.0 20.0 8.3 -5.0 2.9 -9.0 2.2 JGB-SGX-mini -19.5 -5.3 15.6 -2.4 2.7 -1.9 -0.1 -2.6 -2.2 -8.1 8.4 -8.0 7.3 -4.9 3.7 16.7 20.0 14.2 17.7 2.7 7.8 -12.3 6.9 -5.7 1.4 0.6 -5.3 2.2 -5.4 1.3 -2.7 20.0 -20.0 -3.3 8.1 13.7 -20.0 -6.0 6.9 8.2 JPY 13.0 -9.1 -16.8 3.0 7.5 2.0 6.7 0.8 4.7 9.0 -8.5 7.5 -8.7 -0.9 -9.3 -16.5 -13.0 -16.1 -14.8 -10.3 -12.8 15.8 -12.6 1.6 20.0 -2.5 5.6 -2.9 4.8 -3.0 0.7 -19.7 1.8 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 15.8 19.9 -8.8 -0.7 2.9 -3.5 2.5 -3.8 1.9 14.0 -7.5 14.6 -10.9 15.3 4.8 20.0 -6.6 20.0 7.7 4.0 -12.8 14.8 -19.0 14.6 13.3 -3.1 3.5 -8.1 3.3 -8.9 1.6 -16.1 9.8 -1.6 -4.8 -20.0 -4.8 3.6 18.0 20.0 LIVECOW 9.1 15.2 16.5 -1.1 4.4 -5.3 3.7 -5.8 2.8 17.2 20.0 20.0 20.0 20.0 20.0 -2.8 11.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 9.7 9.0 5.8 7.7 6.8 5.9 8.5 19.9 20.0 20.0 20.0 20.0 -20.0 -20.0 -17.1 -20.0 LUMBER-new 14.0 17.8 2.6 -1.1 4.5 -4.9 3.9 -4.7 2.9 12.6 -13.9 16.4 -20.0 19.3 10.0 -5.2 -12.1 -10.4 -11.8 13.1 0.1 20.0 -6.3 20.0 NaN 6.1 5.1 1.3 9.5 -0.9 9.7 -20.0 20.0 20.0 20.0 12.5 -20.0 -20.0 -20.0 -20.0 MILK -5.4 -5.8 -14.5 -0.5 2.1 -2.5 1.8 -2.8 1.3 3.1 -11.9 -7.1 -11.9 -9.7 -11.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -6.5 -18.6 -17.4 -6.3 -4.2 0.1 -3.9 -1.1 -3.0 -3.2 -20.0 -6.2 -20.0 -20.0 -20.0 -20.0 -20.0 -14.0 -20.0 MXP -1.9 11.6 18.5 5.9 14.6 3.9 13.1 1.6 9.1 20.0 20.0 20.0 20.0 20.0 20.0 18.8 17.8 18.6 18.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 9.5 9.6 7.6 9.7 7.5 20.0 -20.0 -11.2 17.2 20.0 20.0 5.1 20.0 20.0 NASDAQ_micro -4.5 20.0 20.0 2.7 6.8 3.8 4.2 3.4 2.3 11.9 14.6 12.1 6.3 13.7 14.4 -10.6 -7.1 -10.0 -8.8 20.0 20.0 18.7 17.8 20.0 -20.0 5.4 3.9 5.5 3.4 3.9 4.0 -5.2 18.1 17.8 20.0 20.0 -7.1 -9.1 -13.5 -11.0 NIKKEI -20.0 8.7 20.0 3.5 8.7 4.9 5.4 4.3 3.0 -8.7 16.6 -10.5 15.9 6.5 14.6 15.4 11.5 13.2 12.1 20.0 20.0 -9.9 20.0 3.7 -4.5 5.4 -1.2 6.6 -1.9 4.8 1.0 20.0 -20.0 -13.1 20.0 20.0 6.4 3.5 2.2 10.1 NZD 9.4 3.7 -0.7 3.0 7.4 2.0 6.6 0.8 4.6 9.3 -1.2 9.4 -0.8 5.9 1.0 0.4 0.6 0.5 0.5 2.7 -0.3 15.6 -2.1 8.6 0.1 1.5 10.5 0.2 8.2 -0.7 4.5 5.1 -3.0 -8.8 -11.6 -10.4 0.6 -13.3 11.5 10.2 OAT -5.5 -0.2 3.8 -2.2 2.4 -1.8 -0.1 -2.4 -2.0 2.7 -4.2 -3.2 -7.1 -3.7 -3.5 5.9 9.6 7.6 8.7 -3.3 -3.4 -2.2 -7.3 -4.4 7.2 -1.5 2.3 -0.9 -1.3 -2.7 -2.4 17.2 -7.2 -0.2 3.6 3.9 -20.0 -20.0 -1.1 0.3 OATIES 2.4 20.0 20.0 -0.7 2.8 -3.4 2.4 -3.7 1.8 -4.9 7.9 2.6 -10.3 12.4 12.7 -13.4 1.1 -10.0 -5.8 20.0 12.1 5.4 1.2 20.0 -20.0 4.2 -2.8 2.1 -0.4 0.0 3.0 -14.6 -16.6 5.5 20.0 20.0 6.5 20.0 17.5 20.0 OJ 5.4 -0.1 2.4 -0.9 3.5 -4.2 3.0 -4.6 2.2 16.4 15.8 16.8 17.7 11.2 12.8 19.1 17.7 19.0 19.3 17.8 20.0 17.7 20.0 16.0 -20.0 6.0 3.7 11.8 3.2 17.4 3.2 20.0 3.8 -4.9 20.0 20.0 14.0 6.7 20.0 16.7 PALLAD -11.9 -18.9 -6.4 1.9 9.1 1.7 6.5 1.4 3.4 5.3 -10.7 -5.3 -10.8 -8.7 -9.7 -3.5 -2.5 -3.2 -2.9 -15.3 -17.6 -0.9 -20.0 -10.2 -5.2 -3.4 1.1 -3.0 -0.5 -2.9 -2.7 0.6 -13.3 -20.0 -20.0 -10.6 -16.3 0.6 -0.4 2.3 PLAT -4.1 -20.0 -6.1 2.2 10.8 2.0 7.7 1.6 4.0 11.5 -6.3 4.8 0.7 -7.2 -9.2 -2.9 -1.7 -2.5 -2.2 -11.3 -6.8 11.1 -1.3 -4.6 12.2 -2.3 7.9 -1.3 4.6 -0.1 -0.2 1.9 8.3 -13.5 -20.0 -7.8 -1.0 -14.4 6.4 -9.5 REDWHEAT -1.8 3.3 3.0 -0.6 2.4 -2.9 2.1 -3.2 1.6 1.0 -1.0 -4.7 -10.4 -1.8 2.4 -0.4 4.0 2.6 4.2 -0.0 -1.9 -0.8 -3.6 -0.3 -13.0 -0.5 0.6 -0.7 -2.6 -0.6 -2.0 -3.0 -13.2 -9.5 -0.3 8.2 -20.0 -15.6 -3.8 -7.2 RICE -8.0 7.5 -1.5 -0.8 3.1 -3.7 2.6 -4.1 2.0 12.5 -5.9 -5.6 -3.9 1.6 3.7 11.0 20.0 20.0 20.0 -2.2 -3.9 2.8 -3.2 -2.4 -20.0 -0.7 9.3 -1.4 1.3 -1.6 -1.6 20.0 4.0 -19.0 1.3 13.1 -10.4 -20.0 -0.5 -20.0 ROBUSTA -20.0 -10.1 16.3 -0.6 2.5 -3.0 2.1 -3.2 1.6 -5.1 10.9 -8.6 10.4 -5.4 7.4 20.0 12.9 20.0 16.7 6.9 16.0 -7.2 15.7 -4.3 -9.0 2.5 -1.1 5.3 -2.0 5.0 -1.1 14.3 -5.7 -20.0 10.9 20.0 -8.8 -20.0 2.9 -15.7 RUSSELL 5.3 20.0 6.6 2.8 6.9 3.9 4.2 3.4 2.4 9.7 -1.2 11.1 -5.3 11.9 9.5 -6.3 -4.7 -6.0 -5.6 10.2 4.2 15.1 -2.1 13.4 -1.0 4.3 4.1 2.2 5.5 0.6 5.6 -0.5 18.5 20.0 20.0 -5.1 -5.4 -6.5 -19.9 -8.2 SHATZ -5.8 -20.0 -17.0 -1.9 2.1 -1.6 -0.1 -2.1 -1.7 3.8 -5.4 -2.5 -6.7 -6.6 -6.5 -6.7 1.2 -3.2 -2.0 -9.9 -9.4 -2.1 -11.6 -8.0 11.2 -2.4 0.9 -2.1 -0.5 -2.7 -2.0 0.7 0.2 -4.0 -8.8 -3.1 -20.0 -20.0 -20.0 -20.0 SILVER-mini 6.8 -9.9 -2.2 3.0 14.4 2.6 10.3 2.2 5.3 15.2 2.6 10.9 3.9 4.2 -3.6 -6.5 -5.2 -6.4 -6.0 -1.3 0.4 20.0 3.0 7.6 7.2 1.6 16.2 1.2 11.0 1.0 5.2 -4.4 13.7 -0.1 -2.6 1.8 -11.7 -20.0 -2.4 -20.0 SMI -13.8 -17.4 6.8 3.3 8.2 4.6 5.0 4.1 2.8 2.0 7.2 -6.5 2.3 -12.0 2.7 -3.0 2.4 -2.4 -0.2 -7.1 1.7 -7.1 4.3 -12.2 2.3 -3.1 2.6 -0.5 -3.4 -0.6 -5.3 10.6 -20.0 -18.8 -20.0 -5.1 -7.0 -11.3 -11.9 -16.9 SOFR -6.8 -15.0 1.1 -2.1 2.3 -1.7 -0.1 -2.3 -1.9 5.7 -0.2 2.6 -1.6 -2.7 -3.2 -2.4 -0.4 -1.2 -0.8 -4.7 -2.3 2.9 -2.0 -3.7 -1.3 -1.9 3.4 -0.9 1.3 -0.5 -1.2 0.1 9.2 0.1 -6.6 4.4 -20.0 -20.0 -7.3 -0.4 SOYBEAN 11.1 20.0 -1.0 -0.3 1.4 -1.7 1.2 -1.8 0.9 6.3 0.2 5.2 -2.7 5.8 4.2 10.5 20.0 14.2 18.6 4.5 0.3 5.8 -1.3 6.8 -15.5 1.6 1.1 0.1 1.5 -0.3 2.2 20.0 4.9 10.8 20.0 3.9 -7.3 20.0 -2.4 20.0 SOYMEAL 2.8 7.1 -20.0 -0.4 1.4 -1.7 1.2 -1.8 0.9 6.2 -2.0 -1.8 1.5 -1.5 -2.7 17.8 20.0 20.0 20.0 -0.7 -1.3 2.6 0.9 1.4 -16.2 1.3 1.3 0.4 1.6 1.0 2.1 20.0 1.8 12.0 9.9 0.9 -7.9 -20.0 -2.3 -18.2 SOYOIL 20.0 20.0 5.8 -0.3 1.3 -1.6 1.1 -1.7 0.9 4.7 -1.1 6.1 -3.3 6.7 5.2 12.2 10.0 9.3 8.1 7.7 1.5 7.7 -1.5 10.4 -20.0 1.9 0.8 0.4 1.4 -0.3 2.3 4.5 2.9 7.6 20.0 7.5 4.4 7.8 15.9 20.0 SP400 14.3 20.0 4.2 2.9 7.3 4.1 4.5 3.6 2.5 10.2 1.6 13.1 1.7 14.1 11.3 -4.8 -4.3 -5.0 -4.9 15.0 7.2 20.0 2.0 20.0 -9.7 4.6 3.8 2.2 5.8 0.9 6.3 0.5 20.0 20.0 20.0 -4.1 -3.5 -8.0 -12.0 -9.4 SP500_micro 3.9 20.0 20.0 3.9 9.7 5.4 6.0 4.8 3.3 17.8 19.9 17.3 5.2 19.1 20.0 -12.4 -7.6 -11.0 -9.4 20.0 20.0 20.0 15.5 20.0 -18.0 7.6 6.1 6.3 6.2 3.8 7.1 -6.1 20.0 20.0 20.0 20.0 -4.8 -8.0 -10.2 -10.0 SUGAR11 -20.0 -20.0 3.7 -0.7 2.6 -3.2 2.2 -3.5 1.7 12.9 9.3 -1.1 11.2 -3.0 4.0 -0.1 16.2 4.2 10.9 -0.4 12.0 4.3 17.8 -4.4 -20.0 0.6 3.5 5.4 0.9 7.9 -1.4 14.3 12.7 -20.0 -14.5 20.0 -20.0 -18.8 8.7 -9.1 US10 -3.7 -14.8 -3.6 -2.0 2.2 -1.6 -0.1 -2.1 -1.7 5.1 -3.2 1.1 -5.7 -3.9 -5.2 -9.0 -6.3 -9.0 -8.5 -6.7 -5.2 1.5 -5.8 -4.8 0.6 -2.2 2.6 -1.5 0.9 -1.3 -1.3 -11.6 7.8 0.0 -7.3 -1.7 -20.0 -20.0 12.4 2.7 US10U -4.1 -10.7 -2.4 -2.7 3.0 -2.1 -0.2 -2.9 -2.4 6.8 -3.7 1.0 -7.4 -5.0 -7.0 1.9 -0.2 -0.3 -1.0 -7.7 -6.1 1.2 -7.7 -5.8 -3.9 -3.0 3.7 -1.9 1.2 -1.6 -1.8 -0.0 8.3 1.6 -6.6 -1.7 -20.0 -20.0 19.8 16.7 US2 0.5 -20.0 -19.4 -1.9 2.1 -1.5 -0.1 -2.0 -1.7 3.4 -5.3 0.5 -6.2 -5.4 -6.5 -20.0 -18.1 -20.0 -20.0 -11.8 -10.3 1.1 -9.9 -7.4 7.0 -2.3 1.3 -1.9 0.3 -1.9 -1.5 -20.0 8.9 -3.4 -14.6 -7.3 -20.0 -15.8 -20.0 -11.4 US20 -4.7 -7.3 -2.4 -2.2 2.4 -1.7 -0.1 -2.4 -1.9 5.7 -2.1 -0.5 -4.8 -3.6 -5.6 -1.5 -1.3 -1.4 -1.7 -5.5 -4.5 0.0 -6.2 -4.5 -4.0 -2.4 3.3 -1.6 1.0 -1.6 -1.5 -1.5 5.2 1.4 -1.9 -0.5 -20.0 -20.0 19.1 17.7 US30 -4.6 -3.1 -2.1 -2.6 2.9 -2.1 -0.2 -2.8 -2.3 3.3 -4.8 -2.6 -6.9 -4.4 -7.6 -1.9 -0.8 -1.1 -1.0 -5.8 -5.6 -1.9 -9.1 -5.3 -3.7 -3.1 2.9 -2.1 0.0 -2.3 -2.4 -0.3 0.6 0.3 1.2 -0.5 -20.0 -20.0 20.0 20.0 US5 -1.5 -17.6 -5.7 -1.9 2.1 -1.5 -0.1 -2.1 -1.7 4.5 -3.6 1.9 -5.7 -3.9 -5.2 -13.4 -8.0 -12.6 -11.0 -7.2 -5.8 2.3 -6.1 -4.6 2.9 -2.1 2.3 -1.5 0.9 -1.4 -1.2 -15.2 9.3 -0.3 -9.1 -2.5 -20.0 -20.0 5.3 -13.3 VIX -3.5 -20.0 -20.0 -6.9 -3.0 -6.7 -3.8 -6.0 -5.6 -19.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -8.3 -3.1 -7.8 -4.2 -7.0 -6.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -8.5 20.0 6.5 -0.4 1.5 -1.8 1.2 -1.9 0.9 0.7 -5.0 -5.8 -7.6 -2.7 -2.2 -9.2 -8.8 -10.2 -10.1 -1.6 -4.1 -3.2 -6.1 -2.4 -4.0 -0.3 0.0 -1.1 -1.5 -1.5 -0.9 -20.0 -11.6 -8.5 5.9 -0.6 -16.7 -17.9 -7.6 -8.6 End of report for caleb_strategy_v3