******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230726_204335 produced at 2023-07-26 21:38:33.682937 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.48 -0.52 0.0 0.96 -0.96 -0.48 -0.48 -5.44 10.0 -5 -5 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -4.27 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.34 0.0 0.00 0.00 0.00 0.00 -4.68 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.20 0.0 0.11 -0.11 -0.11 -0.11 -32.04 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.26 -0.14 0.0 0.55 -0.55 -0.26 -0.26 -4.44 17.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.17 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.13 0.0 0.40 -0.40 -0.11 -0.11 -18.23 56.0 -16 -16 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.10 0.0 0.96 -0.96 -0.15 -0.15 -2.49 25.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.08 0.0 0.68 -0.68 -0.10 -0.10 -1.45 13.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.36 -0.36 -0.04 -0.04 -1.66 8.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.07 0.0 0.07 -0.07 -0.05 -0.05 -27.37 26.0 -20 -20 caleb_strategy_v3 BOBL False False 0.05 -0.05 -0.06 0.0 0.87 -0.87 -0.05 -0.05 -1.40 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.68 -0.68 0.00 0.00 -1.29 17.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -37.19 59.0 0 0 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.63 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.31 5.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.03 0.0 0.70 -0.70 -0.05 -0.05 -0.53 14.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 -0.25 -0.02 0.0 0.55 -0.55 -0.25 -0.25 -0.37 13.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.02 0.0 0.79 -0.79 -0.03 -0.05 -0.68 29.0 -1 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.85 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.01 0.0 0.26 -0.26 -0.02 -0.02 -0.72 23.0 -2 -2 caleb_strategy_v3 US20 False False 0.05 0.00 -0.01 0.0 0.41 -0.41 0.00 0.00 -0.23 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.26 6.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.59 19.0 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 -2.43 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.48 9.0 -2 -2 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.28 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.43 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.02 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.07 -0.00 0.0 0.17 -0.17 -0.07 -0.07 -0.14 10.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.14 12.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.02 0.00 0.0 0.37 -0.37 -0.02 -0.02 0.27 58.0 -3 -3 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.03 4.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.23 0.00 0.0 0.42 -0.42 0.23 0.23 0.06 9.0 5 5 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.18 -0.18 0.02 0.02 0.73 11.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 0.00 -0.00 0.00 0.00 0.24 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.79 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 0.60 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.47 -0.47 0.02 0.02 0.27 21.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.18 -0.18 0.01 0.01 1.25 18.0 1 1 caleb_strategy_v3 COCOA False False 0.01 0.01 0.01 0.0 0.33 -0.33 0.01 0.01 1.07 26.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.39 -0.39 0.00 0.00 2.49 48.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.03 0.05 0.02 0.0 0.18 -0.18 0.05 0.05 0.72 7.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.22 -0.22 0.03 0.03 1.61 23.0 3 3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 5.60 68.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.53 -0.53 0.00 0.00 0.45 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.19 0.02 0.0 0.35 -0.35 0.19 0.19 1.40 20.0 11 11 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.42 -0.42 0.00 0.00 4.34 66.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.20 0.03 0.0 0.20 -0.20 0.20 0.20 0.34 2.0 2 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.97 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.05 0.0 0.23 -0.23 0.00 0.00 11.34 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.14 0.05 0.0 0.64 -0.64 0.14 0.14 1.90 22.0 5 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.89 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 4.38 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.06 0.0 0.12 -0.12 0.06 0.06 2.07 4.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.07 0.0 0.14 -0.14 0.08 0.08 2.42 5.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.07 0.0 0.16 -0.16 0.04 0.04 5.47 13.0 3 3 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.07 0.0 0.13 -0.13 0.00 0.00 1.57 3.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.18 0.08 0.0 0.46 -0.46 0.18 0.18 1.68 10.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.51 -0.51 0.00 0.00 1.74 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.86 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.13 0.0 0.44 -0.44 0.10 0.10 4.95 17.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.39 0.0 0.30 -0.30 0.29 0.29 47.74 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.62 0.86 0.0 0.63 -0.63 0.62 0.62 81.53 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.60 1.79 0.0 0.60 -0.60 0.60 0.60 47.46 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.5 Shocked risk 66.6 Sum abs risk 57.8 Leverage 6.24 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 0.0048 0.6782 0.7050 11.2800 BITCOIN 754.8548 29595.0000 2.5506 40.8099 BOBL 0.2991 115.8200 0.2583 4.1323 BTP 0.7113 115.8700 0.6139 9.8221 BUND 0.6087 133.3000 0.4567 7.3066 BUXL 1.3272 136.2000 0.9745 15.5916 CAC 60.7583 7359.0000 0.8256 13.2101 CAD 0.0032 0.7580 0.4174 6.6784 CANOLA 8.5834 832.5000 1.0310 16.4966 CHF 0.0059 1.1682 0.5053 8.0848 COCOA 41.9285 3560.0000 1.1778 18.8443 COFFEE 2.7374 163.6500 1.6727 26.7638 COPPER 0.0432 3.9050 1.1073 17.7163 CORN 12.9238 548.7500 2.3551 37.6821 COTTON2 1.3040 89.4300 1.4582 23.3306 CRUDE_W 1.0660 77.7500 1.3711 21.9376 DAX 117.0014 16228.0000 0.7210 11.5358 DOW 184.6124 35654.0000 0.5178 8.2846 EUR 0.0054 1.1116 0.4873 7.7973 EURIBOR-ICE 0.0655 97.0500 0.0675 1.0796 EUROSTX 38.5952 4373.0000 0.8826 14.1213 FEEDCOW 1.6274 250.0750 0.6508 10.4123 GASOIL 11.8540 815.7500 1.4531 23.2502 GASOLINE 0.0383 2.5659 1.4919 23.8703 GAS_US_mini 0.0866 2.8100 3.0826 49.3222 GBP 0.0071 1.2939 0.5497 8.7948 GOLD_micro 11.4044 1974.4000 0.5776 9.2418 HEATOIL 0.0346 2.7861 1.2426 19.8813 JGB-SGX-mini 0.2475 148.1800 0.1670 2.6724 JPY 0.0000 0.0072 0.6556 10.4894 LEANHOG 1.2490 83.4250 1.4971 23.9540 LIVECOW 1.1195 179.7000 0.6230 9.9677 LUMBER-new 11.5153 528.0000 2.1809 34.8947 MILK 0.3391 17.5000 1.9377 31.0033 MXP 0.0004 0.0587 0.6440 10.3045 NASDAQ_micro 128.0392 15544.2500 0.8237 13.1793 NIKKEI 301.0044 32445.0000 0.9277 14.8438 NZD 0.0047 0.6214 0.7636 12.2171 OAT 0.6283 127.8100 0.4916 7.8655 OATIES 8.1761 448.0000 1.8250 29.2004 OJ 3.9836 316.7500 1.2576 20.1222 PALLAD 22.3537 1283.0000 1.7423 27.8768 PLAT 13.3199 974.5000 1.3668 21.8696 REDWHEAT 18.9502 874.5000 2.1670 34.6716 RICE 0.1673 16.0000 1.0456 16.7297 ROBUSTA 39.4722 2645.0000 1.4923 23.8773 RUSSELL 17.6379 1988.5000 0.8870 14.1919 SHATZ 0.0971 104.9350 0.0925 1.4798 SILVER-mini 0.3419 25.5875 1.3360 21.3767 SMI 77.0080 11202.0000 0.6874 10.9992 SOFR 0.0802 96.6400 0.0830 1.3284 SOYBEAN 18.4608 1420.7500 1.2994 20.7899 SOYMEAL 6.4332 418.1000 1.5387 24.6188 SOYOIL 1.0574 63.2300 1.6723 26.7562 SP400 19.6489 2739.3000 0.7173 11.4767 SP500_micro 23.6869 4584.2500 0.5167 8.2672 SUGAR11 0.3481 24.3700 1.4283 22.8531 US10 0.4525 112.0156 0.4040 6.4633 US10U 0.5882 117.9062 0.4989 7.9825 US2 0.1213 101.6016 0.1194 1.9108 US20 0.7892 126.0625 0.6261 10.0168 US30 1.1487 134.2188 0.8559 13.6939 US5 0.3098 107.1250 0.2892 4.6276 VIX 0.4336 17.4000 2.4921 39.8733 WHEAT 19.9178 742.2500 2.6834 42.9350 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 678.25 0.70 478.17 1.00 478.17 46875.0 98.03 -1.85 -18.09 BITCOIN 29.60 2.55 75.49 1.00 75.49 46875.0 620.98 -4.98 -309.24 BOBL 1158.20 0.26 299.13 1.11 331.27 46875.0 141.50 -10.63 -150.47 BTP 1158.70 0.61 711.30 1.11 787.73 46875.0 59.51 9.04 53.81 BUND 1333.00 0.46 608.73 1.11 674.14 46875.0 69.53 7.00 48.66 BUXL 1362.00 0.97 1327.23 1.11 1469.84 46875.0 31.89 0.90 2.85 CAC 735.90 0.83 607.58 1.11 672.87 46875.0 69.66 4.26 29.65 CAD 757.95 0.42 316.37 1.00 316.37 46875.0 148.17 -1.41 -20.84 CANOLA 166.50 1.03 171.67 0.76 130.47 46875.0 359.27 15.07 541.48 CHF 1460.31 0.51 737.89 1.00 737.89 46875.0 63.53 -7.01 -44.55 COCOA 356.00 1.18 419.29 1.00 419.29 46875.0 111.80 5.20 58.13 COFFEE 613.69 1.67 1026.54 1.00 1026.54 46875.0 45.66 -9.42 -43.00 COPPER 976.25 1.11 1080.97 1.00 1080.97 46875.0 43.36 -0.54 -2.36 CORN 274.38 2.36 646.19 1.00 646.19 46875.0 72.54 0.89 6.49 COTTON2 447.15 1.46 652.02 1.00 652.02 46875.0 71.89 5.48 39.40 CRUDE_W 777.50 1.37 1066.03 1.00 1066.03 46875.0 43.97 4.49 19.72 DAX 162.28 0.72 117.00 1.11 129.57 46875.0 361.76 0.23 8.37 DOW 178.27 0.52 92.31 1.00 92.31 46875.0 507.82 3.82 194.13 EUR 1389.44 0.49 677.12 1.00 677.12 46875.0 69.23 -2.34 -16.19 EURIBOR-ICE 2426.25 0.07 163.72 1.11 181.31 46875.0 258.54 -6.75 -174.51 EUROSTX 437.30 0.88 385.95 1.11 427.42 46875.0 109.67 3.90 42.80 FEEDCOW 1250.38 0.65 813.71 1.00 813.71 46875.0 57.61 -8.48 -48.83 GASOIL 815.75 1.45 1185.40 1.00 1185.40 46875.0 39.54 10.70 42.31 GASOLINE 1077.68 1.49 1607.78 1.00 1607.78 46875.0 29.16 20.00 58.31 GAS_US_mini 70.25 3.08 216.56 1.00 216.56 46875.0 216.46 -10.33 -223.50 GBP 808.69 0.55 444.51 1.00 444.51 46875.0 105.45 5.54 58.37 GOLD_micro 197.44 0.58 114.04 1.00 114.04 46875.0 411.02 -11.71 -481.39 HEATOIL 1170.16 1.24 1454.02 1.00 1454.02 46875.0 32.24 9.96 32.12 JGB-SGX-mini 148180.00 0.17 24750.10 0.01 174.94 46875.0 267.95 13.56 363.23 JPY 899.75 0.66 589.86 1.00 589.86 46875.0 79.47 -17.19 -136.57 LEANHOG 333.70 1.50 499.59 1.00 499.59 46875.0 93.83 9.32 87.45 LIVECOW 718.80 0.62 447.80 1.00 447.80 46875.0 104.68 13.89 145.37 LUMBER-new 145.20 2.18 316.67 1.00 316.67 46875.0 148.02 -9.08 -134.34 MILK 350.00 1.94 678.20 1.00 678.20 46875.0 69.12 -18.16 -125.49 MXP 293.70 0.64 189.15 1.00 189.15 46875.0 247.82 20.00 495.63 NASDAQ_micro 310.88 0.82 256.08 1.00 256.08 46875.0 183.05 -1.76 -32.17 NIKKEI 32445.00 0.93 30100.44 0.01 212.76 46875.0 220.32 16.58 365.32 NZD 621.40 0.76 474.48 1.00 474.48 46875.0 98.79 0.85 8.35 OAT 1278.10 0.49 628.30 1.11 695.81 46875.0 67.37 8.27 55.74 OATIES 224.00 1.83 408.81 1.00 408.81 46875.0 114.66 -3.53 -40.49 OJ 475.12 1.26 597.53 1.00 597.53 46875.0 78.45 20.00 156.89 PALLAD 1283.00 1.74 2235.37 1.00 2235.37 46875.0 20.97 -7.94 -16.65 PLAT 487.25 1.37 666.00 1.00 666.00 46875.0 70.38 -0.54 -3.78 REDWHEAT 437.25 2.17 947.51 1.00 947.51 46875.0 49.47 -0.40 -1.97 RICE 320.00 1.05 334.59 1.00 334.59 46875.0 140.09 14.94 209.29 ROBUSTA 264.50 1.49 394.72 1.00 394.72 46875.0 118.75 13.48 160.05 RUSSELL 99.42 0.89 88.19 1.00 88.19 46875.0 531.53 3.31 175.94 SHATZ 1049.35 0.09 97.05 1.11 107.48 46875.0 436.12 -7.84 -341.81 SILVER-mini 639.69 1.34 854.65 1.00 854.65 46875.0 54.85 1.16 6.36 SMI 1120.20 0.69 770.08 1.15 885.59 46875.0 52.93 0.33 1.76 SOFR 2416.00 0.08 200.59 1.00 200.59 46875.0 233.69 -3.15 -73.64 SOYBEAN 710.38 1.30 923.04 1.00 923.04 46875.0 50.78 17.81 90.44 SOYMEAL 418.10 1.54 643.32 1.00 643.32 46875.0 72.86 13.59 99.06 SOYOIL 379.38 1.67 634.42 1.00 634.42 46875.0 73.89 10.06 74.30 SP400 2739.30 0.72 1964.89 1.00 1964.89 46875.0 23.86 4.44 10.60 SP500_micro 229.21 0.52 118.43 1.00 118.43 46875.0 395.79 2.82 111.62 SUGAR11 272.94 1.43 389.85 1.00 389.85 46875.0 120.24 5.67 68.12 US10 1120.16 0.40 452.50 1.00 452.50 46875.0 103.59 -10.30 -106.69 US10U 1179.06 0.50 588.24 1.00 588.24 46875.0 79.69 -3.86 -30.78 US2 2032.03 0.12 242.68 1.00 242.68 46875.0 193.16 -20.00 -386.32 US20 1260.62 0.63 789.22 1.00 789.22 46875.0 59.39 -3.25 -19.28 US30 1342.19 0.86 1148.74 1.00 1148.74 46875.0 40.81 -5.30 -21.64 US5 1071.25 0.29 309.83 1.00 309.83 46875.0 151.29 -13.61 -205.93 VIX 174.00 2.49 433.62 1.00 433.62 46875.0 108.10 -20.00 -216.20 WHEAT 371.12 2.68 995.89 1.00 995.89 46875.0 47.07 -8.93 -42.05 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -18.095 0.013 2.5 -0.588 BITCOIN -309.237 0.048 2.5 -37.188 BOBL -150.472 0.004 2.5 -1.395 BTP 53.806 0.012 2.5 1.678 BUND 48.656 0.004 2.5 0.451 BUXL 2.855 0.004 2.5 0.026 CAC 29.654 0.013 2.5 0.969 CAD -20.838 0.013 2.5 -0.677 CANOLA 541.477 0.008 2.5 11.344 CHF -44.549 0.013 2.5 -1.448 COCOA 58.129 0.007 2.5 1.072 COFFEE -43.004 0.004 2.5 -0.433 COPPER -2.360 0.048 2.5 -0.284 CORN 6.487 0.008 2.5 0.136 COTTON2 39.398 0.007 2.5 0.727 CRUDE_W 19.724 0.049 2.5 2.416 DAX 8.374 0.013 2.5 0.274 DOW 194.129 0.009 2.5 4.335 EUR -16.191 0.013 2.5 -0.526 EURIBOR-ICE -174.514 0.012 2.5 -5.444 EUROSTX 42.805 0.013 2.5 1.398 FEEDCOW -48.826 0.014 2.5 -1.664 GASOIL 42.306 0.020 2.5 2.074 GASOLINE 58.310 0.020 2.5 2.859 GAS_US_mini -223.502 0.049 2.5 -27.373 GBP 58.375 0.013 2.5 1.897 GOLD_micro -481.386 0.015 2.5 -18.234 HEATOIL 32.122 0.020 2.5 1.575 JGB-SGX-mini 363.226 0.052 2.5 47.465 JPY -136.568 0.013 2.5 -4.439 LEANHOG 87.449 0.025 2.5 5.466 LIVECOW 145.371 0.014 2.5 4.955 LUMBER-new -134.339 0.007 2.5 -2.434 MILK -125.488 0.007 2.5 -2.315 MXP 495.633 0.066 2.5 81.533 NASDAQ_micro -32.173 0.009 2.5 -0.718 NIKKEI 365.315 0.052 2.5 47.738 NZD 8.349 0.013 2.5 0.271 OAT 55.738 0.012 2.5 1.739 OATIES -40.493 0.008 2.5 -0.848 OJ 156.895 0.007 2.5 2.894 PALLAD -16.653 0.015 2.5 -0.631 PLAT -3.782 0.015 2.5 -0.143 REDWHEAT -1.966 0.005 2.5 -0.022 RICE 209.287 0.008 2.5 4.384 ROBUSTA 160.054 0.004 2.5 1.610 RUSSELL 175.944 0.013 2.5 5.602 SHATZ -341.807 0.004 2.5 -3.170 SILVER-mini 6.359 0.015 2.5 0.241 SMI 1.756 0.013 2.5 0.057 SOFR -73.635 0.023 2.5 -4.275 SOYBEAN 90.437 0.003 2.5 0.724 SOYMEAL 99.057 0.003 2.5 0.793 SOYOIL 74.295 0.003 2.5 0.596 SP400 10.598 0.013 2.5 0.337 SP500_micro 111.616 0.009 2.5 2.492 SUGAR11 68.124 0.007 2.5 1.248 US10 -106.695 0.005 2.5 -1.291 US10U -30.785 0.005 2.5 -0.373 US2 -386.318 0.005 2.5 -4.676 US20 -19.285 0.005 2.5 -0.233 US30 -21.643 0.005 2.5 -0.262 US5 -205.935 0.005 2.5 -2.493 VIX -216.202 0.059 2.5 -32.035 WHEAT -42.049 0.005 2.5 -0.480 ===================== Position diags ===================== AUD 3.19 BITCOIN 74.68 BOBL 1.31 BTP 1.86 BUND 0.64 BUXL 0.30 CAC 2.28 CAD 4.82 CANOLA 7.53 CHF 2.06 COCOA 2.06 COFFEE 0.46 COPPER 5.21 CORN 1.52 COTTON2 1.33 CRUDE_W 5.39 DAX 11.82 DOW 11.34 EUR 2.25 EURIBOR-ICE 8.06 EUROSTX 3.58 FEEDCOW 1.96 GASOIL 1.94 GASOLINE 1.43 GAS_US_mini 26.51 GBP 3.43 GOLD_micro 15.57 HEATOIL 1.58 JGB-SGX-mini 35.01 JPY 2.58 LEANHOG 5.87 LIVECOW 3.57 LUMBER-new 2.68 MILK 1.28 MXP 40.77 NASDAQ_micro 4.09 NIKKEI 28.79 NZD 3.21 OAT 2.10 OATIES 2.40 OJ 1.45 PALLAD 0.79 PLAT 2.67 REDWHEAT 0.57 RICE 2.93 ROBUSTA 1.19 RUSSELL 16.92 SHATZ 4.04 SILVER-mini 2.08 SMI 1.73 SOFR 13.57 SOYBEAN 0.41 SOYMEAL 0.58 SOYOIL 0.59 SP400 0.76 SP500_micro 8.84 SUGAR11 2.20 US10 1.25 US10U 0.96 US2 2.34 US20 0.72 US30 0.49 US5 1.83 VIX 16.02 WHEAT 0.54 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 -37.2 -44.7 -29.7 0.0 0 BOBL -1.4 -1.5 -1.3 -1.0 -1 BTP 1.7 1.5 1.9 4.0 4 BUND 0.5 0.4 0.5 0.0 0 BUXL 0.0 -0.0 0.1 NaN 0 CAC 1.0 0.7 1.2 NaN 0 CAD -0.7 -1.2 -0.2 -1.0 -1 CANOLA 11.3 10.6 12.1 NaN 0 CHF -1.4 -1.7 -1.2 -2.0 -2 COCOA 1.1 0.9 1.3 1.0 1 COFFEE -0.4 -0.5 -0.4 NaN 0 COPPER -0.3 -0.8 0.2 0.0 0 CORN 0.1 -0.0 0.3 0.0 0 COTTON2 0.7 0.6 0.9 1.0 1 CRUDE_W 2.4 1.9 3.0 3.0 3 DAX 0.3 -0.9 1.5 -3.0 -3 DOW 4.3 3.2 5.5 NaN 0 EUR -0.5 -0.8 -0.3 -1.0 -1 EURIBOR-ICE -5.4 -6.3 -4.6 -5.0 -5 EUROSTX 1.4 1.0 1.8 11.0 11 FEEDCOW -1.7 -1.9 -1.5 -1.0 -1 GASOIL 2.1 1.9 2.3 2.0 2 GASOLINE 2.9 2.7 3.0 4.0 4 GAS_US_mini -27.4 -30.0 -24.7 -20.0 -20 GBP 1.9 1.6 2.2 5.0 5 GOLD_micro -18.2 -19.8 -16.7 -16.0 -16 HEATOIL 1.6 1.4 1.7 0.0 0 JGB-SGX-mini 47.5 44.0 51.0 16.0 16 JPY -4.4 -4.7 -4.2 -8.0 -8 LEANHOG 5.5 4.9 6.1 3.0 3 LIVECOW 5.0 4.6 5.3 4.0 4 LUMBER-new -2.4 -2.7 -2.2 NaN 0 MILK -2.3 -2.4 -2.2 NaN 0 MXP 81.5 77.5 85.6 59.0 59 NASDAQ_micro -0.7 -1.1 -0.3 -2.0 -2 NIKKEI 47.7 44.9 50.6 35.0 35 NZD 0.3 -0.0 0.6 1.0 1 OAT 1.7 1.5 1.9 NaN 0 OATIES -0.8 -1.1 -0.6 NaN 0 OJ 2.9 2.7 3.0 NaN 0 PALLAD -0.6 -0.7 -0.6 NaN 0 PLAT -0.1 -0.4 0.1 -4.0 -4 REDWHEAT -0.0 -0.1 0.0 NaN 0 RICE 4.4 4.1 4.7 NaN 0 ROBUSTA 1.6 1.5 1.7 3.0 3 RUSSELL 5.6 3.9 7.3 1.0 1 SHATZ -3.2 -3.6 -2.8 NaN 0 SILVER-mini 0.2 0.0 0.4 NaN 0 SMI 0.1 -0.1 0.2 5.0 5 SOFR -4.3 -5.6 -2.9 NaN 0 SOYBEAN 0.7 0.7 0.8 2.0 2 SOYMEAL 0.8 0.7 0.9 NaN 0 SOYOIL 0.6 0.5 0.7 1.0 1 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 2.5 1.6 3.4 0.0 0 SUGAR11 1.2 1.0 1.5 1.0 1 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.4 -0.5 -0.3 -6.0 -6 US2 -4.7 -4.9 -4.4 NaN 0 US20 -0.2 -0.3 -0.2 NaN 0 US30 -0.3 -0.3 -0.2 NaN 0 US5 -2.5 -2.7 -2.3 -4.0 -4 VIX -32.0 -33.6 -30.4 -17.0 -17 WHEAT -0.5 -0.5 -0.4 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 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 1.6 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 0.2 0.2 0.1 0.0 0.0 0.1 0.0 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 0.0 -0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.3 -0.2 -0.3 -0.0 -0.3 0.1 0.1 BITCOIN -0.1 0.2 0.2 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 0.4 -0.2 -0.1 0.1 0.1 -0.5 -0.2 -0.4 -0.3 0.1 0.1 -0.1 0.1 0.0 -1.1 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 -0.7 -0.5 -0.1 -0.3 -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 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -1.2 -0.2 -1.1 -0.6 -0.0 -0.0 0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.4 0.2 0.1 -0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP -0.1 0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.0 -0.0 0.0 0.0 0.2 0.5 0.3 0.4 0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 2.6 0.3 0.0 0.4 0.3 -0.3 -0.3 -0.1 0.1 BUND -0.0 -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 0.5 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 2.7 0.2 0.0 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.0 0.1 0.1 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 0.9 0.2 -0.0 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.0 -0.1 -0.2 0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.3 0.1 0.5 0.1 0.1 -0.4 0.1 -0.2 -0.0 0.0 0.1 0.1 0.4 0.1 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 1.4 -0.4 -0.4 -0.2 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.1 0.3 0.4 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 -0.2 -0.5 -0.2 -0.0 -0.2 -0.3 -0.3 -0.2 CANOLA 0.5 0.5 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 0.2 0.9 0.7 0.9 0.2 0.1 0.2 -0.1 0.2 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 2.3 0.1 0.5 0.5 0.3 -0.2 0.2 0.0 0.3 CHF 0.5 0.3 0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.3 0.1 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 0.2 0.2 0.2 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -2.9 0.3 0.3 0.0 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.0 0.1 0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.4 0.2 0.5 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.2 0.2 0.4 0.2 -0.5 0.1 0.1 0.2 0.1 0.2 0.1 -2.1 0.5 0.5 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.1 -0.5 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 -0.1 0.1 -0.2 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 0.1 -0.2 -0.1 -1.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -1.0 -0.3 -0.5 -0.5 0.2 -0.3 -0.3 -0.1 -0.2 COPPER 0.2 0.2 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 -0.0 0.0 -0.0 0.0 0.4 0.2 0.1 0.1 -0.5 0.0 -0.3 0.1 -0.2 CORN -0.0 0.3 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 0.5 -0.1 0.2 -0.0 -0.0 0.1 -0.0 0.0 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.4 0.3 -0.2 0.1 0.0 -0.0 0.2 0.0 0.3 COTTON2 0.4 0.2 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.6 0.4 0.5 0.3 0.1 0.0 0.2 -0.1 0.1 -1.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.5 0.4 0.5 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.3 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.0 0.2 -0.3 0.2 0.0 0.4 0.5 0.4 0.4 0.1 0.0 0.2 -0.0 0.2 -0.3 0.1 0.1 0.1 0.1 0.1 0.1 -1.4 -0.6 -0.2 0.1 0.3 0.1 0.2 0.2 0.1 DAX 0.0 -0.2 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 0.1 0.3 0.1 0.9 0.0 0.0 0.1 0.0 0.2 0.0 -0.6 -0.2 -0.4 -0.4 -0.2 0.3 -0.0 0.3 0.0 DOW 0.4 0.4 0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.2 0.3 0.2 0.2 -0.6 -0.4 -0.6 -0.5 0.2 0.1 0.3 0.2 0.2 -0.5 0.1 0.1 0.1 0.1 0.1 0.1 -0.7 0.7 0.5 0.5 0.2 -0.1 -0.0 -0.3 -0.0 EUR 0.3 0.3 0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.0 0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 0.1 0.1 0.7 0.0 -0.0 0.1 0.0 0.0 0.0 -1.2 -0.3 -0.2 -0.1 -0.2 -0.1 -0.3 -0.0 0.1 EURIBOR-ICE 0.3 -0.2 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 -0.6 -0.5 -0.6 -0.6 -0.0 -0.0 0.0 -0.2 0.0 0.9 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.9 0.3 0.1 -0.0 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.1 -0.1 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.3 0.0 -0.3 -0.1 0.1 0.1 0.0 0.4 0.0 0.3 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 -0.5 -0.5 -0.3 -0.2 0.3 0.0 0.3 0.1 FEEDCOW 0.1 -0.1 0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.4 0.0 0.5 0.1 0.2 -1.2 -1.2 -1.2 -1.2 0.2 0.2 0.0 0.4 0.1 0.3 0.1 -0.0 0.2 0.0 0.3 0.0 -3.2 -0.7 0.4 0.2 0.5 0.0 -0.3 0.2 -0.2 GASOIL 0.5 0.5 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 -0.2 0.2 0.1 0.4 0.9 0.4 0.6 0.2 0.0 0.2 -0.0 0.2 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.3 0.1 -0.1 0.0 -0.1 -0.1 GASOLINE 0.5 0.4 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.2 -0.1 0.2 0.1 1.2 1.2 1.2 1.2 0.2 0.1 0.2 0.2 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 3.2 0.2 0.3 0.5 0.5 0.1 0.2 0.2 -0.0 GAS_US_mini 0.0 0.5 0.2 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.3 0.1 -0.5 0.1 0.0 -0.1 -0.7 -0.5 -0.7 -0.0 -0.2 0.1 -0.4 0.0 1.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -3.2 -0.7 -0.5 -0.2 0.0 0.0 0.2 -0.0 0.0 GBP 0.2 0.3 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 0.3 0.1 0.1 0.0 -0.1 0.0 -0.0 0.1 0.1 0.0 0.2 0.1 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.4 -0.4 -0.2 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.4 -0.3 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 0.0 0.1 0.2 0.1 -0.6 0.0 0.1 0.1 0.0 0.1 0.0 -2.6 0.2 0.4 -0.3 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.3 -0.2 0.2 -0.2 0.2 0.1 0.4 1.0 0.3 0.6 0.2 0.0 0.3 -0.0 0.2 -1.1 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.3 0.3 0.5 0.3 -0.0 0.0 -0.1 0.0 JGB-SGX-mini -0.5 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.2 0.0 0.2 -0.0 0.0 0.6 1.2 0.7 1.0 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 3.2 0.2 -0.1 0.2 0.3 -0.3 -0.1 0.1 0.1 JPY 0.5 -0.0 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 0.0 -0.2 0.0 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.0 -0.2 -0.0 1.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -3.2 -0.4 -0.1 -0.5 -0.5 -0.2 -0.3 -0.3 -0.3 LEANHOG 0.4 0.5 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 0.1 1.2 0.2 1.2 1.2 0.1 -0.1 0.1 -0.4 0.1 0.8 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.6 -0.5 -0.1 0.0 -0.5 -0.1 0.0 0.3 0.3 LIVECOW 0.1 0.4 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.4 0.0 0.6 0.1 0.2 -0.6 0.5 0.8 1.1 0.2 0.2 -0.0 0.4 0.2 0.4 0.1 -0.0 0.2 0.0 0.2 0.0 1.9 -0.7 0.5 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.1 0.4 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.2 -0.1 -0.2 0.0 0.0 -0.4 -0.8 -0.6 -0.7 0.0 -0.0 -0.3 -0.1 -0.0 NaN 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -3.4 -0.7 -0.5 -0.1 0.2 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 -1.2 -1.2 -1.2 -1.2 -0.1 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.5 -0.0 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.2 0.1 0.3 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.4 0.1 0.6 0.2 0.2 1.1 1.1 1.1 1.1 0.2 0.2 0.1 0.4 0.2 -1.1 0.1 0.0 0.2 0.0 0.3 0.0 3.2 0.1 -0.3 0.1 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.1 0.3 0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.2 0.1 0.1 -0.6 -0.4 -0.6 -0.5 0.2 0.2 0.1 0.4 0.1 -1.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.9 -0.1 0.1 0.5 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.5 0.1 0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.0 0.4 0.0 0.1 0.9 0.7 0.8 0.7 0.2 0.2 -0.0 0.4 0.0 -0.3 0.0 -0.0 0.2 -0.0 0.2 0.0 3.2 -0.2 -0.5 0.2 0.5 0.1 0.0 -0.0 0.1 NZD 0.2 0.2 0.0 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 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.8 -0.3 -0.2 -0.3 -0.3 0.0 -0.2 0.1 0.1 OAT -0.1 0.0 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 0.3 0.6 0.4 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 2.9 0.2 -0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES 0.0 0.5 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.2 0.1 -0.2 0.1 0.1 -0.9 0.0 -0.7 -0.4 0.2 0.1 0.2 0.1 0.2 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 -3.0 0.1 0.0 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.5 0.2 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.4 0.2 0.6 0.2 0.2 1.2 1.1 1.2 1.2 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.2 0.2 0.1 0.3 0.1 3.2 0.7 0.5 0.3 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 -0.3 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 0.0 -0.4 -0.0 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.1 -0.3 -0.5 -0.3 -0.2 0.0 0.0 0.0 PLAT 0.5 -0.4 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.1 0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.0 0.0 0.7 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.1 0.1 -0.4 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.3 0.3 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 -0.1 0.2 0.1 0.2 0.0 0.0 0.2 -0.0 0.1 -0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -1.0 0.5 -0.1 0.0 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.3 0.3 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.1 1.2 1.2 1.2 0.1 0.0 0.2 -0.0 0.1 -1.1 0.0 0.1 0.0 0.1 -0.0 0.0 3.2 0.7 -0.1 0.2 0.4 -0.1 -0.3 0.0 -0.2 ROBUSTA -0.3 -0.4 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 0.1 0.3 -0.0 0.1 1.2 0.9 1.2 1.2 0.1 0.1 0.1 0.3 0.0 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 2.6 -0.1 -0.5 -0.1 0.5 -0.1 -0.3 0.1 -0.2 RUSSELL 0.4 0.5 0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.3 0.2 0.1 0.2 0.0 0.2 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.1 0.5 0.5 0.1 -0.1 -0.1 -0.3 -0.1 SHATZ 0.2 -0.4 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.9 -0.0 -0.5 -0.3 -0.1 -0.1 0.0 -0.3 -0.0 0.6 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.3 0.1 0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.5 -0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.1 0.0 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.2 0.1 0.1 0.4 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 0.6 0.4 0.2 0.0 -0.2 -0.3 -0.0 -0.3 SMI -0.1 -0.4 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.2 0.1 -0.2 -0.0 -0.0 0.0 0.1 0.1 -0.0 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 1.6 0.0 -0.5 -0.5 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.1 -0.3 -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 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.0 -0.1 0.0 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.5 0.5 0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.8 1.2 0.9 1.1 0.1 0.0 0.1 -0.0 0.1 -0.9 0.0 0.0 0.0 0.0 -0.0 0.0 3.2 0.1 0.2 0.5 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL 0.3 0.5 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.0 0.6 1.2 1.2 1.2 0.0 0.0 0.1 0.0 0.1 -1.0 0.0 0.0 0.0 0.0 0.0 0.0 3.2 0.0 0.1 0.3 0.1 -0.1 -0.2 -0.1 -0.2 SOYOIL 0.5 0.5 0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 0.6 0.6 0.5 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 0.4 0.1 0.2 0.5 0.3 0.0 0.1 0.2 0.3 SP400 0.5 0.5 0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.1 0.2 -0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 0.5 0.5 0.1 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.3 0.5 0.5 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.2 0.3 0.2 0.2 -0.8 -0.5 -0.7 -0.6 0.2 0.2 0.3 0.4 0.2 -1.1 0.1 0.0 0.1 0.0 0.1 0.1 -1.1 0.5 0.5 0.5 0.5 -0.1 -0.1 -0.1 -0.2 SUGAR11 0.1 -0.5 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 0.2 0.1 0.4 0.0 0.0 -0.1 0.9 0.2 0.5 0.0 0.1 0.1 0.4 0.0 -1.1 0.0 0.0 0.1 0.0 0.3 0.0 1.5 -0.3 -0.1 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 0.1 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.5 -0.4 -0.5 -0.5 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.6 -0.1 0.0 -0.1 -0.1 -0.3 -0.3 0.2 0.0 US10U 0.0 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.1 -0.3 -0.3 0.3 0.2 US2 0.2 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -1.2 -1.1 -1.2 -1.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -3.2 -0.3 -0.1 -0.3 -0.2 -0.3 -0.2 -0.3 -0.2 US20 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 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 -0.1 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.3 -0.3 0.3 0.3 US30 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.5 -0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.0 0.1 -0.0 -0.3 -0.3 0.3 0.3 US5 0.2 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.8 -0.5 -0.8 -0.7 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.3 -0.2 0.0 -0.1 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.1 -0.8 -0.8 -0.1 -0.1 -0.3 -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 -0.3 -0.6 -0.3 NaN -0.1 -0.1 -0.3 -0.0 -0.4 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.1 0.5 0.5 0.0 0.0 -0.0 0.0 -0.0 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 0.1 -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 6.6 9.5 2.8 3.5 0.8 2.6 2.0 1.2 3.5 -5.0 -3.5 2.0 -4.0 4.5 3.8 -2.5 -2.6 -2.6 -2.7 2.6 -0.2 2.0 -3.2 3.7 2.1 1.9 0.5 0.5 1.4 -1.3 2.4 -0.5 -2.0 -10.5 -9.4 -11.1 -1.5 -20.0 6.4 10.7 BITCOIN -5.3 6.0 6.7 5.6 1.7 4.6 4.2 3.4 6.4 -19.8 19.8 -20.0 -4.2 11.0 13.8 -7.7 -3.4 -6.0 -4.7 9.5 13.9 -10.0 6.8 0.4 -20.0 3.9 -6.2 5.4 -5.4 3.9 -0.1 -1.0 -20.0 -20.0 -4.9 -10.5 -3.3 20.0 -2.2 20.0 BOBL 3.9 -7.3 -2.6 -1.7 -0.3 -1.8 -0.1 -2.6 -0.8 0.7 -3.4 4.0 -6.4 -2.2 -3.8 -20.0 -3.8 -18.6 -10.6 -3.3 -4.8 2.6 -8.4 -0.1 9.5 -1.3 0.6 -1.6 1.3 -3.0 0.0 -8.6 5.2 2.4 -0.7 1.1 -20.0 -20.0 -20.0 -14.6 BTP -5.2 1.6 12.5 -2.4 -0.5 -2.6 -0.1 -3.7 -1.2 0.8 8.0 6.0 -1.4 4.3 4.4 4.1 8.6 5.8 7.1 3.1 3.1 4.0 -1.5 3.3 -6.2 1.9 0.4 2.6 2.2 0.4 1.7 16.6 9.4 0.4 14.4 12.8 -20.0 -20.0 -7.3 4.6 BUND -0.6 -0.9 3.0 -1.7 -0.4 -1.9 -0.1 -2.7 -0.8 -0.6 -3.4 3.0 -6.8 -0.2 -2.5 5.7 9.2 6.4 7.3 -1.7 -3.4 2.3 -7.9 0.4 5.5 -0.7 0.6 -1.0 1.4 -2.9 0.3 17.0 6.1 0.6 2.9 3.0 -20.0 -20.0 -12.9 -2.3 BUXL -4.9 6.9 1.8 -2.2 -0.4 -2.3 -0.1 -3.3 -1.0 -2.1 -7.4 1.3 -9.3 0.9 -2.8 1.1 1.2 1.6 1.8 -1.0 -4.5 1.0 -11.8 0.5 0.1 -0.1 -0.7 -1.0 0.7 -3.7 0.5 5.6 6.0 -1.1 8.1 4.4 -20.0 -20.0 5.3 10.7 CAC 0.5 -6.0 -9.0 5.5 1.1 5.3 5.3 4.3 6.1 0.2 16.3 14.2 18.1 12.4 9.4 -6.3 0.9 -3.2 -0.8 5.8 10.8 7.6 17.9 7.5 -4.7 3.9 -1.5 6.0 3.4 8.5 4.0 8.9 -11.2 -14.9 -7.7 -6.9 18.0 -2.3 20.0 -0.3 CAD -4.6 12.2 14.6 5.6 1.3 4.1 3.1 1.9 5.6 -8.4 14.1 7.6 -7.2 13.7 15.4 -1.9 -1.9 -2.2 -2.2 11.8 8.9 3.2 -0.5 8.3 -0.4 5.9 -0.8 5.0 1.4 0.7 3.9 0.5 -6.1 -20.0 -8.1 -1.6 -16.5 -20.0 -20.0 -17.5 CANOLA 20.0 20.0 13.0 1.5 3.3 -1.0 4.5 -1.8 3.8 4.7 2.3 10.1 -7.4 11.2 9.7 3.8 16.0 12.3 15.6 20.0 7.1 20.0 -3.9 20.0 -20.0 3.0 0.9 0.3 2.5 -1.2 3.9 14.6 3.9 20.0 20.0 10.9 -14.2 14.8 0.8 20.0 CHF 20.0 11.5 4.3 4.0 0.9 2.9 2.2 1.4 4.0 2.8 10.8 10.0 10.9 11.1 9.8 -13.2 -12.8 -13.8 -13.5 15.4 10.9 13.6 7.6 18.8 -6.4 4.3 1.9 3.0 3.7 1.9 5.2 -18.5 8.7 13.6 1.5 3.7 -13.2 -20.0 -14.9 -20.0 COCOA 0.6 4.7 12.2 2.7 6.0 -1.8 8.3 -3.4 7.0 18.5 20.0 18.9 19.5 19.7 20.0 -0.2 -0.8 -0.4 -0.2 20.0 20.0 20.0 20.0 20.0 -9.2 8.1 7.9 8.2 6.1 6.6 6.6 -13.5 14.6 18.8 20.0 20.0 -20.0 -20.0 10.0 -8.5 COFFEE -4.4 -20.0 -8.7 2.6 5.7 -1.7 7.9 -3.2 6.6 16.6 -4.2 7.8 -8.5 -15.5 -17.4 1.0 3.7 3.0 3.7 -19.4 -14.4 4.9 -10.5 -11.7 -20.0 -3.8 6.9 -2.0 3.6 -1.2 -1.9 -6.2 -9.9 -20.0 -20.0 9.0 -20.0 -20.0 -9.1 -17.3 COPPER 9.6 8.1 -10.9 3.6 1.1 2.9 2.7 2.2 4.1 4.4 -4.2 6.7 -3.9 6.6 -1.8 -2.8 -1.4 -2.5 -2.0 0.1 -3.1 8.4 -3.3 5.2 -4.1 0.9 6.1 -1.6 4.9 -1.8 3.7 2.8 6.4 4.4 4.5 -19.6 0.3 -20.0 4.4 -17.3 CORN -1.2 13.8 1.3 0.9 2.0 -0.6 2.8 -1.1 2.3 3.6 -2.9 3.5 -4.2 -1.5 -2.3 -4.0 8.0 -1.6 3.2 -0.4 -1.7 5.6 -1.7 2.3 -6.7 0.8 1.3 -0.5 1.8 -1.1 1.4 -2.4 7.5 -9.2 5.5 0.0 -2.4 13.3 1.0 20.0 COTTON2 15.8 7.0 10.1 1.8 3.9 -1.1 5.4 -2.2 4.5 11.9 4.6 13.1 -9.8 12.0 10.1 9.8 6.9 7.7 5.5 7.8 2.0 19.4 -3.5 13.5 -20.0 3.1 9.5 1.2 7.8 0.2 5.5 -2.9 11.8 19.1 -2.2 12.4 -20.0 -17.6 6.6 8.0 CRUDE_W 20.0 12.6 -3.5 4.4 10.9 0.3 11.4 -0.5 8.8 18.4 0.5 20.0 -10.9 19.2 5.9 6.3 8.1 6.0 6.5 14.4 1.9 20.0 -1.0 20.0 -6.2 6.2 8.6 2.7 9.8 1.9 9.0 -8.9 -18.3 -6.8 4.7 12.6 11.2 11.9 11.8 4.1 DAX 0.0 -6.6 -1.2 5.2 1.1 5.1 5.1 4.1 5.8 4.2 15.2 16.9 16.8 6.5 8.2 -8.3 -6.5 -8.2 -7.7 5.1 11.1 7.9 15.9 6.2 16.8 1.7 1.0 5.0 3.4 7.1 2.1 -3.6 -5.4 -16.2 -16.0 -7.4 19.2 -1.3 20.0 3.3 DOW 17.3 16.2 7.8 5.3 1.1 5.1 5.1 4.2 5.9 17.5 12.1 19.2 10.2 19.2 18.3 -10.8 -6.7 -9.7 -8.5 20.0 13.4 20.0 7.5 20.0 -9.7 6.5 6.7 4.4 8.3 2.8 8.0 -4.5 20.0 20.0 20.0 6.3 -4.7 -3.6 -20.0 -2.2 EUR 13.6 11.1 2.2 4.3 1.0 3.2 2.4 1.5 4.3 -10.2 10.6 4.0 7.9 9.2 8.1 -6.2 -6.8 -6.5 -6.6 10.2 7.8 0.9 4.1 10.1 12.6 4.0 -2.6 3.0 0.5 1.5 3.9 -7.4 -8.1 -8.0 -5.3 -6.5 -4.7 -20.0 -1.3 5.9 EURIBOR-ICE 11.1 -7.0 7.2 -1.6 -0.3 -1.7 -0.1 -2.5 -0.8 0.1 -3.9 4.2 -6.4 -0.8 -3.2 -10.7 -7.6 -10.4 -9.5 -2.8 -4.6 3.5 -7.8 0.8 16.3 -1.2 0.6 -1.6 1.4 -3.0 0.2 -12.1 7.8 4.1 -1.9 1.3 -20.0 -20.0 20.0 4.7 EUROSTX -3.1 -5.0 -3.4 5.2 1.0 5.0 5.0 4.1 5.8 -8.6 17.8 12.5 18.3 11.6 13.4 -4.8 0.1 -4.3 -2.3 6.2 12.0 3.5 17.3 5.0 4.9 2.7 -2.4 6.2 1.2 8.9 1.8 7.0 -13.9 -18.3 -13.1 -6.8 20.0 0.9 20.0 6.3 FEEDCOW 2.7 -4.8 12.1 2.8 6.2 -1.8 8.6 -3.5 7.2 -13.8 20.0 1.2 19.1 15.1 18.3 -20.0 -20.0 -20.0 -20.0 20.0 20.0 0.4 20.0 13.8 6.4 7.8 -1.3 10.1 0.6 9.6 4.2 -20.0 -20.0 17.2 9.3 20.0 0.6 -19.7 13.1 -12.3 GASOIL 20.0 20.0 -4.8 3.8 9.5 0.2 9.9 -0.4 7.6 16.9 -5.6 18.5 -5.9 18.8 12.1 7.5 14.6 6.7 9.7 18.2 1.2 20.0 -1.3 20.0 11.8 5.0 10.7 0.6 10.1 -0.9 8.5 0.0 3.2 3.5 13.4 2.6 -7.7 3.3 -10.7 -4.4 GASOLINE 20.0 16.9 1.4 4.6 11.5 0.3 12.0 -0.5 9.3 18.4 14.5 20.0 -4.8 20.0 16.9 20.0 20.0 20.0 20.0 20.0 13.7 20.0 11.1 20.0 -20.0 7.5 9.1 4.9 10.6 4.3 9.7 20.0 6.6 11.3 20.0 20.0 10.7 12.6 13.4 -1.3 GAS_US_mini 1.7 20.0 6.0 3.5 8.7 0.2 9.1 -0.4 7.0 12.0 -16.5 6.4 -17.2 7.1 3.1 -2.0 -12.0 -8.7 -12.4 -1.4 -20.0 5.8 -20.0 4.0 18.2 2.8 2.7 -1.2 3.2 -3.7 3.3 -20.0 -20.0 -20.0 -7.5 1.3 3.7 14.2 -0.3 1.4 GBP 6.1 10.6 12.9 4.9 1.1 3.6 2.7 1.7 4.9 -6.5 15.6 2.7 9.4 8.9 12.1 0.7 -1.0 0.0 -0.6 15.5 15.1 2.3 8.6 10.9 -0.8 5.6 0.5 4.9 1.1 1.9 4.2 2.6 -10.5 -8.4 -2.1 3.7 5.7 10.6 10.9 20.0 GOLD_micro 16.2 -10.7 -5.8 5.1 1.5 4.1 3.8 3.1 5.8 3.9 3.3 13.0 8.1 4.6 -10.2 -16.5 -11.9 -15.1 -13.6 -3.0 0.9 10.9 8.6 6.1 -12.2 2.3 4.3 2.6 5.7 4.4 5.4 -16.2 4.5 15.5 -12.4 -13.4 -20.0 -20.0 -6.8 -20.0 HEATOIL 20.0 20.0 -5.2 4.6 11.5 0.3 11.9 -0.5 9.2 20.0 -8.2 20.0 -8.5 20.0 14.0 6.6 16.2 5.5 9.5 20.0 1.3 20.0 -2.2 20.0 -20.0 6.6 11.1 2.4 11.1 1.4 9.7 1.2 9.6 12.3 20.0 12.5 -2.5 2.0 -7.2 0.9 JGB-SGX-mini -20.0 -9.7 12.4 -1.9 -0.4 -2.0 -0.1 -2.9 -0.9 5.0 7.3 0.5 6.7 -2.0 2.5 9.4 20.0 12.0 16.2 2.0 5.9 3.1 5.9 -0.1 0.9 0.4 2.2 1.8 1.2 1.2 -0.4 20.0 7.2 -5.0 6.3 11.2 -20.0 -6.8 3.9 7.3 JPY 20.0 -1.7 -14.5 3.0 0.7 2.2 1.7 1.0 3.0 -3.0 -7.8 1.7 -8.1 1.1 -7.3 -16.0 -13.2 -16.0 -14.9 -6.8 -10.4 -0.2 -11.5 -0.7 20.0 -1.9 -0.1 -2.8 0.0 -3.2 -0.0 -20.0 -12.8 -5.5 -20.0 -20.0 -18.1 -20.0 -19.6 -20.0 LEANHOG 15.4 20.0 -0.7 2.2 4.9 -1.5 6.8 -2.8 5.7 3.5 -6.2 11.1 -10.2 15.6 11.0 20.0 3.1 20.0 20.0 7.2 -8.6 8.9 -17.2 12.9 15.0 -1.7 1.7 -8.5 3.2 -10.8 2.9 3.8 -15.3 -3.9 1.6 -19.7 -3.9 3.1 19.5 20.0 LIVECOW 2.2 15.2 17.6 3.1 6.9 -2.0 9.5 -3.9 8.0 -19.0 20.0 2.6 20.0 16.3 20.0 -10.6 9.1 12.7 18.4 20.0 20.0 -1.7 20.0 20.0 8.0 8.6 -3.7 8.6 0.1 6.9 5.2 12.2 -20.0 20.0 20.0 20.0 -20.0 -20.0 -16.6 -19.8 LUMBER-new -2.2 16.4 4.4 2.5 5.4 -1.3 7.4 -2.3 6.2 -17.0 -10.6 -15.5 -15.2 0.4 2.6 -6.8 -11.8 -9.8 -11.2 2.0 -0.8 -20.0 -4.2 -5.4 NaN 1.3 -13.3 0.6 -9.5 -0.6 -2.4 -20.0 -20.0 -20.0 -4.6 8.4 -20.0 -20.0 -20.0 -20.0 MILK 20.0 11.6 -0.0 1.2 2.7 -0.8 3.7 -1.5 3.1 3.2 -8.2 4.6 -9.4 0.3 -6.1 -20.0 -20.0 -20.0 -20.0 -7.0 -11.5 10.8 -11.3 2.7 -4.2 -2.3 2.0 -3.4 2.4 -3.0 0.3 -20.0 14.9 -0.8 -20.0 -20.0 -20.0 -20.0 -14.1 -20.0 MXP -7.7 3.9 13.1 6.1 1.4 4.5 3.4 2.1 6.1 -0.7 20.0 11.6 20.0 18.7 20.0 18.9 17.9 18.8 18.2 20.0 20.0 9.2 20.0 20.0 -20.0 8.4 0.6 9.7 2.5 9.9 5.7 20.0 2.5 -11.6 5.9 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -4.9 13.7 20.0 3.9 0.8 3.7 3.7 3.1 4.3 -8.4 14.5 4.5 7.8 10.2 13.5 -10.9 -7.4 -10.3 -9.2 20.0 20.0 4.7 18.8 15.8 -20.0 5.3 -0.9 6.0 0.8 4.5 3.1 -5.5 -4.0 3.2 20.0 20.0 -7.1 -9.7 -15.2 -12.1 NIKKEI -20.0 2.6 20.0 4.9 1.0 4.8 4.8 3.9 5.5 -5.4 15.9 -5.3 15.6 4.4 13.5 15.7 11.8 13.9 12.6 18.0 20.0 -1.4 20.0 3.5 -5.0 5.1 -0.6 7.5 -0.2 6.0 1.1 20.0 -4.8 -20.0 9.9 20.0 4.1 3.0 -0.7 9.1 NZD 8.9 7.8 1.5 2.9 0.6 2.1 1.6 1.0 2.9 -5.4 -1.2 -0.5 0.2 1.9 1.2 0.7 0.6 0.6 0.6 1.9 0.2 -1.5 -1.6 1.9 0.2 1.4 -1.6 0.5 -0.5 -0.5 1.4 5.1 -8.6 -8.7 -12.0 -10.9 1.3 -12.6 8.8 7.3 OAT -2.2 0.4 6.0 -1.9 -0.4 -2.1 -0.1 -2.9 -0.9 -1.2 -3.8 2.9 -7.1 0.8 -1.5 5.6 9.3 7.1 8.3 -1.3 -2.9 2.1 -7.3 0.5 7.4 -0.6 0.4 -0.8 1.3 -3.1 0.3 18.2 6.0 -0.5 4.2 4.6 -20.0 -20.0 -3.1 1.5 OATIES 0.8 20.0 20.0 1.6 3.6 -1.1 5.0 -2.0 4.2 3.8 8.6 8.4 -7.3 11.2 11.5 -14.5 0.0 -11.3 -7.1 19.6 12.3 13.1 3.4 18.9 -20.0 3.8 0.4 2.4 2.2 0.5 3.3 -18.8 4.2 0.3 20.0 20.0 4.5 20.0 15.9 20.0 OJ 20.0 10.0 3.9 2.9 6.4 -1.9 8.8 -3.6 7.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.5 15.3 8.5 13.6 11.0 9.7 20.0 20.0 20.0 11.6 20.0 17.1 5.9 20.0 16.7 PALLAD 8.4 -13.0 -14.1 2.7 0.1 2.2 2.0 1.6 3.1 -2.9 -11.4 2.5 -11.7 -5.9 -9.7 -3.3 -2.6 -3.2 -3.0 -13.1 -18.6 0.3 -20.0 -5.2 -5.1 -3.2 -0.2 -3.8 0.0 -3.9 -1.5 1.0 -3.1 -12.9 -20.0 -11.5 -15.9 0.0 1.4 2.3 PLAT 20.0 -17.5 -10.2 3.2 0.9 2.6 2.4 1.9 3.6 -2.7 -6.6 7.8 0.6 -1.4 -7.8 -3.0 -1.8 -2.7 -2.3 -6.6 -6.3 5.6 -1.7 1.3 13.4 -0.7 0.9 -0.9 2.4 -0.0 1.6 2.2 4.4 4.4 -17.9 -6.5 1.1 -14.9 8.9 -10.3 REDWHEAT 10.1 11.2 7.9 1.6 3.5 -1.0 4.8 -2.0 4.1 4.4 2.6 7.2 -9.2 6.7 6.3 -1.8 3.6 1.3 3.3 5.0 1.0 12.4 -1.5 9.5 -12.2 2.0 3.8 0.5 5.7 -0.0 3.8 -6.3 14.8 -5.7 0.1 5.2 -20.0 -17.1 -5.1 -6.8 RICE 10.4 11.9 2.1 2.2 4.8 -1.4 6.6 -2.7 5.5 8.3 -2.7 11.9 -2.5 11.5 10.1 1.3 20.0 20.0 20.0 7.5 0.6 20.0 -1.4 15.7 -20.0 3.1 5.1 0.6 7.7 -0.5 5.7 20.0 20.0 -2.8 6.7 16.0 -8.6 -20.0 1.5 -18.6 ROBUSTA -11.7 -15.6 9.0 1.8 3.9 -1.2 5.4 -2.2 4.5 10.6 10.7 6.0 10.5 -3.3 6.8 20.0 14.8 20.0 19.9 6.8 14.6 7.2 15.6 2.7 -9.8 2.9 3.8 5.9 2.6 6.1 1.1 16.2 -4.4 -20.0 -3.7 20.0 -8.1 -20.0 4.7 -13.4 RUSSELL 16.1 20.0 12.4 4.5 0.9 4.4 4.4 3.6 5.0 8.0 3.0 13.2 -3.3 15.0 13.9 -7.1 -4.9 -6.5 -5.9 18.9 10.1 16.2 0.2 20.0 -1.3 5.4 2.1 3.3 3.9 1.3 5.6 -0.6 1.7 18.0 20.0 2.0 -4.4 -6.7 -20.0 -9.2 SHATZ 8.6 -14.9 -15.3 -1.7 -0.3 -1.8 -0.1 -2.6 -0.8 0.8 -5.6 4.2 -6.9 -4.2 -5.7 -15.9 -0.7 -8.3 -5.0 -7.0 -9.0 1.9 -12.1 -2.2 11.2 -1.9 0.2 -2.4 0.7 -3.4 -0.5 -1.8 3.6 3.4 -6.6 -3.4 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -1.9 -4.5 4.0 1.2 3.3 3.0 2.4 4.6 7.4 4.9 12.1 5.5 11.7 0.9 -6.7 -5.4 -6.5 -6.1 6.7 4.2 13.9 4.4 13.7 7.6 3.8 3.6 2.5 4.8 1.5 5.5 -4.1 17.3 17.0 6.8 0.0 -12.6 -20.0 -1.9 -20.0 SMI -3.9 -14.9 2.3 4.7 1.0 4.6 4.6 3.8 5.3 10.7 6.7 7.7 3.1 -3.1 -0.7 -3.1 2.0 -2.6 -0.6 -3.7 1.3 6.1 3.9 -1.1 3.0 -2.0 2.6 -0.7 3.0 -0.8 -0.6 10.2 1.0 -20.0 -20.0 -8.0 -6.8 -10.6 -13.3 -15.8 SOFR 2.1 -12.0 -1.7 -1.7 -0.4 -1.8 -0.1 -2.6 -0.8 -3.8 -0.7 2.6 -1.5 -0.4 -2.6 -2.8 -0.6 -1.7 -1.1 -3.4 -2.3 -1.3 -2.2 -2.1 -1.3 -1.5 -0.6 -1.0 -0.4 -0.7 -0.8 1.3 -2.8 0.9 -2.6 2.0 -20.0 -20.0 -4.8 -0.8 SOYBEAN 19.3 20.0 6.1 1.1 2.4 -0.7 3.4 -1.4 2.8 6.9 3.1 8.1 -1.8 8.3 7.2 13.5 20.0 14.6 18.2 9.2 3.2 9.8 -0.3 11.7 -17.7 2.2 1.1 0.7 1.7 -0.0 2.5 20.0 3.4 8.5 20.0 7.6 -8.3 17.8 -4.4 20.0 SOYMEAL 12.7 20.0 -20.0 1.1 2.4 -0.7 3.3 -1.4 2.8 7.3 -1.3 7.0 2.1 2.8 0.9 10.7 20.0 20.0 20.0 2.7 0.1 7.1 1.6 6.2 -18.3 2.0 1.5 1.1 1.9 1.3 2.5 20.0 1.3 3.6 11.9 3.4 -8.7 -18.7 -4.2 -16.9 SOYOIL 20.0 20.0 14.4 1.1 2.4 -0.7 3.3 -1.3 2.7 4.2 1.8 7.2 -2.7 8.0 7.3 10.6 9.9 9.3 8.2 11.9 4.7 10.6 -0.3 13.5 -20.0 2.4 1.0 1.0 1.7 -0.1 2.4 2.4 1.5 9.0 20.0 11.9 2.6 6.7 14.2 20.0 SP400 19.7 20.0 10.5 4.7 0.9 4.5 4.5 3.7 5.2 10.2 6.1 14.7 4.5 16.5 15.3 -5.0 -4.4 -5.1 -4.9 20.0 14.4 17.8 5.6 20.0 -11.2 5.6 2.0 3.4 3.7 1.6 5.7 0.6 -2.6 20.0 20.0 2.8 -1.7 -8.1 -11.8 -10.6 SP500_micro 11.1 20.0 20.0 6.0 1.2 5.8 5.8 4.8 6.7 11.7 20.0 19.1 9.1 20.0 20.0 -13.6 -8.1 -11.9 -10.1 20.0 20.0 20.0 20.0 20.0 -20.0 8.3 2.5 7.2 4.9 4.5 7.1 -6.8 15.6 20.0 20.0 20.0 -4.2 -8.5 -11.3 -11.7 SUGAR11 5.9 -20.0 3.3 2.2 4.8 -1.4 6.6 -2.7 5.5 2.5 10.9 11.4 12.8 2.5 4.4 -0.9 15.1 2.8 9.3 4.1 14.3 9.2 20.0 4.9 -20.0 2.0 0.3 7.1 2.8 10.8 1.5 9.7 -8.8 -5.5 -20.0 20.0 -17.0 -18.1 11.0 -7.3 US10 2.8 -11.7 -6.5 -1.7 -0.3 -1.8 -0.1 -2.6 -0.8 -4.5 -3.6 1.3 -5.8 -2.3 -4.7 -9.1 -6.5 -9.1 -8.6 -5.8 -5.6 -1.9 -6.5 -3.3 0.6 -2.0 -0.8 -1.7 -0.5 -1.7 -1.0 -10.4 -3.6 0.6 -4.1 -2.7 -20.0 -20.0 14.8 2.9 US10U 0.4 -8.4 -4.7 -2.3 -0.5 -2.5 -0.1 -3.6 -1.1 -6.4 -4.4 1.9 -7.7 -2.3 -6.3 -1.9 -0.5 -1.3 -1.4 -6.4 -6.5 -1.8 -8.6 -3.6 -3.9 -2.6 -1.0 -2.3 -0.4 -2.2 -1.1 0.9 -3.4 1.8 -2.7 -2.7 -20.0 -20.0 20.0 18.5 US2 8.7 -20.0 -20.0 -1.6 -0.3 -1.7 -0.1 -2.5 -0.8 -6.1 -5.9 -3.4 -6.5 -5.8 -6.8 -20.0 -19.1 -20.0 -20.0 -12.0 -12.1 -5.0 -12.0 -7.7 7.1 -2.4 -1.1 -2.3 -1.0 -2.4 -1.5 -20.0 -9.4 -2.9 -11.6 -9.6 -20.0 -18.0 -20.0 -13.9 US20 -1.5 -5.6 -4.5 -1.9 -0.4 -2.1 -0.1 -3.0 -0.9 -5.6 -3.0 1.5 -4.9 -0.8 -5.2 -1.7 -1.3 -1.5 -1.7 -4.4 -4.8 -0.7 -6.9 -2.1 -4.1 -1.9 -0.6 -1.9 0.0 -2.1 -0.6 -0.1 -0.9 2.2 1.1 -1.0 -20.0 -20.0 20.0 19.6 US30 -3.2 -2.5 -3.2 -2.4 -0.5 -2.6 -0.1 -3.7 -1.2 -8.4 -6.0 0.2 -7.3 -1.4 -7.4 -7.9 -1.8 -4.2 -2.7 -5.0 -6.1 -1.4 -10.3 -2.7 -4.0 -2.6 -1.3 -2.5 -0.4 -3.1 -1.1 -1.0 -2.2 1.0 3.0 -0.5 -20.0 -20.0 20.0 20.0 US5 6.3 -13.9 -9.2 -1.6 -0.3 -1.7 -0.1 -2.5 -0.8 -4.6 -4.0 0.6 -5.8 -2.8 -5.0 -13.4 -8.4 -12.8 -11.3 -6.4 -6.3 -2.2 -7.0 -3.7 2.9 -2.0 -0.7 -1.8 -0.6 -1.8 -1.0 -14.3 -4.5 0.5 -5.2 -3.6 -20.0 -20.0 7.3 -14.2 VIX 2.3 -20.0 -20.0 -7.6 -2.6 -8.0 -3.3 -7.3 -5.4 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.7 -20.0 -20.0 NaN -8.9 -2.8 -9.5 -3.3 -8.8 -5.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.0 20.0 18.4 1.0 2.1 -0.6 2.9 -1.2 2.5 3.7 -2.7 4.1 -6.8 3.1 1.5 -8.6 -8.8 -9.8 -9.8 2.3 -1.1 7.9 -3.3 5.5 -3.7 1.0 2.3 -0.4 3.0 -1.1 2.0 -20.0 12.6 -6.2 5.8 0.4 -18.5 -17.6 -9.9 -8.4 End of report for caleb_strategy_v3