******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230728_204329 produced at 2023-07-28 21:38:20.978147 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.09 -0.38 -0.53 0.0 0.94 -0.94 -0.38 -0.75 -5.59 10.0 -4 -8 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.41 0.0 0.00 0.00 0.00 0.00 -4.74 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 -4.74 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.19 0.0 0.10 -0.10 -0.10 -0.10 -31.34 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.13 0.0 0.39 -0.39 -0.11 -0.04 -17.99 56.0 -16 -6 caleb_strategy_v3 JPY False False 0.03 -0.25 -0.13 0.0 0.54 -0.54 -0.25 -0.28 -4.08 17.0 -8 -9 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.11 24.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.09 0.0 0.94 -0.94 -0.15 -0.11 -2.50 25.0 -4 -3 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.09 0.0 0.67 -0.67 -0.10 -0.10 -1.75 13.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.08 0.0 0.06 -0.06 -0.05 -0.05 -31.06 26.0 -20 -20 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.07 0.0 0.85 -0.85 -0.04 -0.04 -1.51 19.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.36 -0.36 -0.04 -0.04 -1.64 8.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.67 -0.67 0.00 0.00 -1.29 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.04 0.0 0.68 -0.68 -0.05 0.00 -0.84 14.0 -1 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.36 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.45 -0.45 0.00 -0.02 -1.16 19.0 0 -1 caleb_strategy_v3 BITCOIN False False 0.00 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -30.84 59.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.69 2.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.25 -0.02 0.0 0.54 -0.54 -0.25 -0.25 -0.45 13.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.02 0.0 0.78 -0.78 -0.03 -0.08 -0.65 29.0 -1 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.15 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.01 0.0 0.26 -0.26 -0.04 -0.04 -0.61 23.0 -4 -4 caleb_strategy_v3 PLAT False False 0.02 -0.07 -0.01 0.0 0.17 -0.17 -0.07 -0.10 -0.52 10.0 -4 -6 caleb_strategy_v3 US20 False False 0.04 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.29 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.28 -0.28 0.00 0.00 -0.31 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.29 0.0 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 -2.74 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 -0.52 9.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.52 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 -0.05 -0.01 4.0 0 -1 caleb_strategy_v3 CORN False False 0.01 0.00 0.00 0.0 0.11 -0.11 0.00 0.00 0.04 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.07 8.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.00 0.0 0.46 -0.46 0.02 0.00 -0.04 21.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.17 -0.17 0.01 0.01 0.90 18.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.57 10.0 1 1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.75 9.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.28 0.01 0.0 0.42 -0.42 0.28 0.37 0.32 9.0 6 8 caleb_strategy_v3 COPPER False False 0.03 0.00 0.01 0.0 0.21 -0.21 0.00 0.07 0.17 6.0 0 2 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.39 11.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.21 -0.21 0.03 0.03 1.62 23.0 3 3 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.52 -0.52 0.00 0.00 0.43 10.0 0 0 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 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.02 0.0 0.17 -0.17 0.05 0.05 0.68 7.0 2 2 caleb_strategy_v3 DAX False False 0.01 -0.01 0.02 0.0 0.37 -0.37 -0.01 -0.01 3.41 58.0 -2 -1 caleb_strategy_v3 COCOA False False 0.01 0.01 0.02 0.0 0.32 -0.32 0.01 0.01 1.21 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 2.09 48.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.42 -0.42 0.00 0.00 4.50 66.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.19 0.03 0.0 0.19 -0.19 0.19 0.19 0.29 2.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.11 0.04 0.0 0.63 -0.63 0.11 0.06 1.26 22.0 4 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.24 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.16 0.04 0.0 0.35 -0.35 0.16 0.16 2.14 20.0 9 9 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.04 0.0 0.22 -0.22 0.00 0.00 9.68 51.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 3.06 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.04 -0.04 0.00 0.00 4.04 4.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.07 0.0 0.14 -0.14 0.08 0.08 2.52 5.0 3 3 caleb_strategy_v3 BTP False False 0.05 0.18 0.08 0.0 0.45 -0.45 0.18 0.23 1.72 10.0 4 5 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.08 0.0 0.13 -0.13 0.00 0.00 1.96 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.12 -0.12 0.06 0.06 2.53 4.0 2 2 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.49 -0.49 0.00 0.00 1.65 10.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.09 0.0 0.16 -0.16 0.05 0.07 7.41 13.0 4 6 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.96 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.11 0.0 0.43 -0.43 0.10 0.10 4.44 17.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.45 0.0 0.30 -0.30 0.29 0.29 53.45 36.0 35 35 caleb_strategy_v3 MXP False False 0.01 0.62 0.83 0.0 0.63 -0.63 0.62 0.62 79.02 60.0 59 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.60 1.24 0.0 0.60 -0.60 0.60 0.60 33.01 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.5 Shocked risk 69.9 Sum abs risk 59.7 Leverage 5.92 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 0.0049 0.6662 0.7308 11.6933 BITCOIN 743.6021 29505.0000 2.5203 40.3241 BOBL 0.2927 115.7600 0.2529 4.0456 BTP 0.6870 115.8200 0.5932 9.4907 BUND 0.5896 132.8400 0.4438 7.1013 BUXL 1.2980 134.3200 0.9663 15.4612 CAC 65.1140 7493.0000 0.8690 13.9040 CAD 0.0031 0.7558 0.4075 6.5201 CANOLA 8.9186 812.4000 1.0978 17.5649 CHF 0.0061 1.1564 0.5314 8.5026 COCOA 39.9471 3520.0000 1.1349 18.1578 COFFEE 2.7011 158.6500 1.7026 27.2408 COPPER 0.0454 3.9275 1.1554 18.4858 CORN 12.4847 531.0000 2.3512 37.6186 COTTON2 1.4748 85.0400 1.7342 27.7471 CRUDE_W 1.0326 79.1200 1.3052 20.8826 DAX 123.3877 16550.0000 0.7455 11.9287 DOW 185.0244 35604.0000 0.5197 8.3148 EUR 0.0058 1.1051 0.5220 8.3523 EURIBOR-ICE 0.0641 97.0500 0.0661 1.0575 EUROSTX 42.0685 4487.0000 0.9376 15.0010 FEEDCOW 1.5627 251.8750 0.6204 9.9266 GASOIL 11.5855 843.7500 1.3731 21.9696 GASOLINE 0.0369 2.4913 1.4827 23.7233 GAS_US_mini 0.0867 2.7600 3.1428 50.2847 GBP 0.0076 1.2859 0.5949 9.5180 GOLD_micro 12.4039 1977.0000 0.6274 10.0385 HEATOIL 0.0340 2.8738 1.1827 18.9227 JGB-SGX-mini 0.3057 147.2000 0.2076 3.3223 JPY 0.0000 0.0071 0.6858 10.9722 LEANHOG 1.2329 85.0500 1.4496 23.1937 LIVECOW 1.0743 179.6000 0.5982 9.5705 LUMBER-new 11.0967 525.0000 2.1137 33.8185 MILK 0.3251 17.6300 1.8443 29.5083 MXP 0.0004 0.0594 0.6572 10.5157 NASDAQ_micro 128.0984 15869.5000 0.8072 12.9152 NIKKEI 292.8263 33110.0000 0.8844 14.1505 NZD 0.0046 0.6156 0.7535 12.0562 OAT 0.6099 127.3100 0.4790 7.6647 OATIES 7.8643 445.0000 1.7672 28.2760 OJ 3.7662 317.7500 1.1853 18.9643 PALLAD 21.7203 1240.0000 1.7516 28.0262 PLAT 14.0915 943.4000 1.4937 23.8991 REDWHEAT 18.0722 870.5000 2.0761 33.2172 RICE 0.1655 15.8250 1.0458 16.7323 ROBUSTA 40.6787 2596.0000 1.5670 25.0716 RUSSELL 18.0638 1993.5000 0.9061 14.4981 SHATZ 0.0961 105.0000 0.0915 1.4644 SILVER-mini 0.3761 24.8375 1.5144 24.2300 SMI 82.9069 11335.0000 0.7314 11.7028 SOFR 0.0814 96.5350 0.0843 1.3484 SOYBEAN 18.5684 1382.7500 1.3429 21.4858 SOYMEAL 6.3758 407.3000 1.5654 25.0461 SOYOIL 1.0339 62.3200 1.6590 26.5437 SP400 20.1829 2732.2000 0.7387 11.8193 SP500_micro 24.3536 4610.7500 0.5282 8.4511 SUGAR11 0.3465 24.1100 1.4372 22.9957 US10 0.4649 111.3750 0.4175 6.6794 US10U 0.6158 116.9062 0.5268 8.4281 US2 0.1196 101.5000 0.1179 1.8860 US20 0.8412 124.2812 0.6769 10.8302 US30 1.2089 132.0312 0.9157 14.6504 US5 0.3124 106.7812 0.2926 4.6814 VIX 0.4432 17.3500 2.5546 40.8743 WHEAT 19.0244 727.7500 2.6141 41.8261 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.15 0.73 486.84 1.00 486.84 46875.0 96.28 -3.71 -35.69 BITCOIN 29.50 2.52 74.36 1.00 74.36 46875.0 630.38 -4.07 -256.46 BOBL 1157.60 0.25 292.70 1.11 324.65 46875.0 144.39 -11.30 -163.10 BTP 1158.20 0.59 687.01 1.11 762.00 46875.0 61.52 8.96 55.12 BUND 1328.40 0.44 589.58 1.11 653.94 46875.0 71.68 6.41 45.97 BUXL 1343.20 0.97 1297.97 1.11 1439.64 46875.0 32.56 -0.41 -1.32 CAC 749.30 0.87 651.14 1.11 722.21 46875.0 64.90 5.85 37.98 CAD 755.80 0.41 307.99 1.00 307.99 46875.0 152.19 -1.32 -20.15 CANOLA 162.48 1.10 178.37 0.76 135.30 46875.0 346.44 13.34 461.98 CHF 1445.44 0.53 768.12 1.00 768.12 46875.0 61.03 -8.81 -53.74 COCOA 352.00 1.13 399.47 1.00 399.47 46875.0 117.34 5.59 65.60 COFFEE 594.94 1.70 1012.91 1.00 1012.91 46875.0 46.28 -11.25 -52.05 COPPER 981.88 1.16 1134.42 1.00 1134.42 46875.0 41.32 0.35 1.43 CORN 265.50 2.35 624.23 1.00 624.23 46875.0 75.09 0.25 1.90 COTTON2 425.20 1.73 737.38 1.00 737.38 46875.0 63.57 3.34 21.26 CRUDE_W 791.20 1.31 1032.64 1.00 1032.64 46875.0 45.39 4.54 20.59 DAX 165.50 0.75 123.39 1.11 136.86 46875.0 342.51 3.04 104.29 DOW 178.02 0.52 92.51 1.00 92.51 46875.0 506.69 3.98 201.57 EUR 1381.38 0.52 721.10 1.00 721.10 46875.0 65.00 -3.96 -25.77 EURIBOR-ICE 2426.25 0.07 160.36 1.11 177.86 46875.0 263.55 -6.80 -179.27 EUROSTX 448.70 0.94 420.68 1.11 466.60 46875.0 100.46 6.52 65.47 FEEDCOW 1259.38 0.62 781.33 1.00 781.33 46875.0 59.99 -8.04 -48.26 GASOIL 843.75 1.37 1158.55 1.00 1158.55 46875.0 40.46 12.78 51.69 GASOLINE 1046.35 1.48 1551.42 1.00 1551.42 46875.0 30.21 20.00 60.43 GAS_US_mini 69.00 3.14 216.85 1.00 216.85 46875.0 216.16 -11.73 -253.64 GBP 803.69 0.59 478.10 1.00 478.10 46875.0 98.05 3.94 38.67 GOLD_micro 197.70 0.63 124.04 1.00 124.04 46875.0 377.91 -12.57 -474.92 HEATOIL 1207.00 1.18 1427.48 1.00 1427.48 46875.0 32.84 12.15 39.91 JGB-SGX-mini 147200.00 0.21 30565.21 0.01 218.08 46875.0 214.94 11.75 252.64 JPY 892.50 0.69 612.04 1.00 612.04 46875.0 76.59 -16.41 -125.67 LEANHOG 340.20 1.45 493.16 1.00 493.16 46875.0 95.05 12.47 118.55 LIVECOW 718.40 0.60 429.71 1.00 429.71 46875.0 109.08 11.94 130.25 LUMBER-new 144.38 2.11 305.16 1.00 305.16 46875.0 153.61 -9.82 -150.85 MILK 352.60 1.84 650.29 1.00 650.29 46875.0 72.08 -17.76 -128.02 MXP 296.95 0.66 195.16 1.00 195.16 46875.0 240.18 20.00 480.37 NASDAQ_micro 317.39 0.81 256.20 1.00 256.20 46875.0 182.96 -1.49 -27.19 NIKKEI 33110.00 0.88 29282.63 0.01 208.93 46875.0 224.36 18.23 409.05 NZD 615.55 0.75 463.83 1.00 463.83 46875.0 101.06 -0.13 -1.31 OAT 1273.10 0.48 609.87 1.11 676.44 46875.0 69.30 7.63 52.85 OATIES 222.50 1.77 393.21 1.00 393.21 46875.0 119.21 -4.59 -54.69 OJ 476.62 1.19 564.93 1.00 564.93 46875.0 82.98 20.00 165.95 PALLAD 1240.00 1.75 2172.03 1.00 2172.03 46875.0 21.58 -8.47 -18.29 PLAT 471.70 1.49 704.58 1.00 704.58 46875.0 66.53 -2.05 -13.63 REDWHEAT 435.25 2.08 903.61 1.00 903.61 46875.0 51.88 -1.23 -6.40 RICE 316.50 1.05 330.99 1.00 330.99 46875.0 141.62 13.61 192.76 ROBUSTA 259.60 1.57 406.79 1.00 406.79 46875.0 115.23 13.98 161.12 RUSSELL 99.68 0.91 90.32 1.00 90.32 46875.0 519.00 3.39 175.93 SHATZ 1050.00 0.09 96.10 1.11 106.59 46875.0 439.78 -7.62 -335.04 SILVER-mini 620.94 1.51 940.33 1.00 940.33 46875.0 49.85 -1.56 -7.77 SMI 1133.50 0.73 829.07 1.16 963.42 46875.0 48.65 2.04 9.90 SOFR 2413.38 0.08 203.39 1.00 203.39 46875.0 230.47 -3.55 -81.72 SOYBEAN 691.38 1.34 928.42 1.00 928.42 46875.0 50.49 16.85 85.07 SOYMEAL 407.30 1.57 637.58 1.00 637.58 46875.0 73.52 12.66 93.04 SOYOIL 373.92 1.66 620.33 1.00 620.33 46875.0 75.57 9.40 71.00 SP400 2732.20 0.74 2018.29 1.00 2018.29 46875.0 23.23 3.92 9.11 SP500_micro 230.54 0.53 121.77 1.00 121.77 46875.0 384.95 2.43 93.42 SUGAR11 270.03 1.44 388.10 1.00 388.10 46875.0 120.78 4.07 49.10 US10 1113.75 0.42 464.95 1.00 464.95 46875.0 100.82 -10.61 -106.95 US10U 1169.06 0.53 615.81 1.00 615.81 46875.0 76.12 -4.88 -37.12 US2 2030.00 0.12 239.29 1.00 239.29 46875.0 195.90 -20.00 -391.79 US20 1242.81 0.68 841.24 1.00 841.24 46875.0 55.72 -4.29 -23.89 US30 1320.31 0.92 1208.95 1.00 1208.95 46875.0 38.77 -6.57 -25.49 US5 1067.81 0.29 312.43 1.00 312.43 46875.0 150.03 -13.78 -206.78 VIX 173.50 2.55 443.23 1.00 443.23 46875.0 105.76 -20.00 -211.52 WHEAT 363.88 2.61 951.22 1.00 951.22 46875.0 49.28 -9.21 -45.37 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -35.692 0.013 2.5 -1.160 BITCOIN -256.459 0.048 2.5 -30.841 BOBL -163.097 0.004 2.5 -1.513 BTP 55.123 0.012 2.5 1.719 BUND 45.966 0.004 2.5 0.426 BUXL -1.322 0.004 2.5 -0.012 CAC 37.975 0.013 2.5 1.241 CAD -20.145 0.013 2.5 -0.655 CANOLA 461.985 0.008 2.5 9.678 CHF -53.736 0.013 2.5 -1.747 COCOA 65.604 0.007 2.5 1.210 COFFEE -52.051 0.004 2.5 -0.524 COPPER 1.434 0.048 2.5 0.173 CORN 1.897 0.008 2.5 0.040 COTTON2 21.256 0.007 2.5 0.392 CRUDE_W 20.594 0.049 2.5 2.522 DAX 104.287 0.013 2.5 3.407 DOW 201.567 0.009 2.5 4.501 EUR -25.771 0.013 2.5 -0.838 EURIBOR-ICE -179.267 0.012 2.5 -5.592 EUROSTX 65.471 0.013 2.5 2.139 FEEDCOW -48.263 0.014 2.5 -1.645 GASOIL 51.692 0.020 2.5 2.534 GASOLINE 60.428 0.020 2.5 2.963 GAS_US_mini -253.639 0.049 2.5 -31.064 GBP 38.667 0.013 2.5 1.257 GOLD_micro -474.921 0.015 2.5 -17.989 HEATOIL 39.914 0.020 2.5 1.957 JGB-SGX-mini 252.635 0.052 2.5 33.013 JPY -125.668 0.013 2.5 -4.085 LEANHOG 118.548 0.025 2.5 7.410 LIVECOW 130.246 0.014 2.5 4.439 LUMBER-new -150.855 0.007 2.5 -2.735 MILK -128.015 0.007 2.5 -2.362 MXP 480.365 0.066 2.5 79.021 NASDAQ_micro -27.186 0.009 2.5 -0.607 NIKKEI 409.046 0.052 2.5 53.452 NZD -1.310 0.013 2.5 -0.043 OAT 52.849 0.012 2.5 1.649 OATIES -54.694 0.008 2.5 -1.146 OJ 165.950 0.007 2.5 3.061 PALLAD -18.290 0.015 2.5 -0.693 PLAT -13.629 0.015 2.5 -0.516 REDWHEAT -6.395 0.005 2.5 -0.073 RICE 192.762 0.008 2.5 4.038 ROBUSTA 161.120 0.004 2.5 1.621 RUSSELL 175.928 0.013 2.5 5.602 SHATZ -335.043 0.004 2.5 -3.107 SILVER-mini -7.774 0.015 2.5 -0.294 SMI 9.904 0.013 2.5 0.324 SOFR -81.724 0.023 2.5 -4.744 SOYBEAN 85.071 0.003 2.5 0.681 SOYMEAL 93.042 0.003 2.5 0.745 SOYOIL 70.995 0.003 2.5 0.569 SP400 9.112 0.013 2.5 0.290 SP500_micro 93.425 0.009 2.5 2.086 SUGAR11 49.101 0.007 2.5 0.899 US10 -106.951 0.005 2.5 -1.295 US10U -37.120 0.005 2.5 -0.449 US2 -391.790 0.005 2.5 -4.742 US20 -23.890 0.005 2.5 -0.289 US30 -25.491 0.005 2.5 -0.309 US5 -206.777 0.005 2.5 -2.503 VIX -211.515 0.059 2.5 -31.340 WHEAT -45.371 0.005 2.5 -0.518 ===================== Position diags ===================== AUD 3.13 BITCOIN 75.81 BOBL 1.34 BTP 1.92 BUND 0.66 BUXL 0.30 CAC 2.12 CAD 4.95 CANOLA 7.26 CHF 1.98 COCOA 2.16 COFFEE 0.47 COPPER 4.97 CORN 1.57 COTTON2 1.17 CRUDE_W 5.56 DAX 11.19 DOW 11.31 EUR 2.11 EURIBOR-ICE 8.22 EUROSTX 3.28 FEEDCOW 2.04 GASOIL 1.98 GASOLINE 1.48 GAS_US_mini 26.47 GBP 3.19 GOLD_micro 14.31 HEATOIL 1.61 JGB-SGX-mini 28.09 JPY 2.49 LEANHOG 5.94 LIVECOW 3.72 LUMBER-new 2.79 MILK 1.33 MXP 39.51 NASDAQ_micro 4.09 NIKKEI 29.32 NZD 3.28 OAT 2.16 OATIES 2.50 OJ 1.53 PALLAD 0.82 PLAT 2.52 REDWHEAT 0.59 RICE 2.97 ROBUSTA 1.16 RUSSELL 16.53 SHATZ 4.08 SILVER-mini 1.89 SMI 1.59 SOFR 13.38 SOYBEAN 0.40 SOYMEAL 0.59 SOYOIL 0.61 SP400 0.74 SP500_micro 8.60 SUGAR11 2.21 US10 1.22 US10U 0.92 US2 2.37 US20 0.67 US30 0.47 US5 1.82 VIX 15.67 WHEAT 0.56 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.5 -0.8 NaN 0 BITCOIN -30.8 -38.4 -23.3 0.0 0 BOBL -1.5 -1.6 -1.4 -1.0 -1 BTP 1.7 1.5 1.9 4.0 4 BUND 0.4 0.4 0.5 0.0 0 BUXL -0.0 -0.0 0.0 NaN 0 CAC 1.2 1.0 1.5 NaN 0 CAD -0.7 -1.1 -0.2 -1.0 -1 CANOLA 9.7 9.0 10.4 NaN 0 CHF -1.7 -1.9 -1.5 -2.0 -2 COCOA 1.2 1.0 1.4 1.0 1 COFFEE -0.5 -0.6 -0.5 NaN 0 COPPER 0.2 -0.3 0.7 0.0 0 CORN 0.0 -0.1 0.2 0.0 0 COTTON2 0.4 0.3 0.5 1.0 1 CRUDE_W 2.5 2.0 3.1 3.0 3 DAX 3.4 2.3 4.5 -2.0 -2 DOW 4.5 3.4 5.6 NaN 0 EUR -0.8 -1.0 -0.6 -1.0 -1 EURIBOR-ICE -5.6 -6.4 -4.8 -4.0 -4 EUROSTX 2.1 1.8 2.5 9.0 9 FEEDCOW -1.6 -1.8 -1.4 -1.0 -1 GASOIL 2.5 2.3 2.7 2.0 2 GASOLINE 3.0 2.8 3.1 4.0 4 GAS_US_mini -31.1 -33.7 -28.4 -20.0 -20 GBP 1.3 0.9 1.6 4.0 4 GOLD_micro -18.0 -19.4 -16.6 -16.0 -16 HEATOIL 2.0 1.8 2.1 0.0 0 JGB-SGX-mini 33.0 30.2 35.8 16.0 16 JPY -4.1 -4.3 -3.8 -8.0 -8 LEANHOG 7.4 6.8 8.0 4.0 4 LIVECOW 4.4 4.1 4.8 4.0 4 LUMBER-new -2.7 -3.0 -2.5 NaN 0 MILK -2.4 -2.5 -2.2 NaN 0 MXP 79.0 75.1 83.0 59.0 59 NASDAQ_micro -0.6 -1.0 -0.2 -4.0 -4 NIKKEI 53.5 50.5 56.4 35.0 35 NZD -0.0 -0.4 0.3 1.0 1 OAT 1.6 1.4 1.9 NaN 0 OATIES -1.1 -1.4 -0.9 NaN 0 OJ 3.1 2.9 3.2 NaN 0 PALLAD -0.7 -0.8 -0.6 NaN 0 PLAT -0.5 -0.8 -0.3 -4.0 -4 REDWHEAT -0.1 -0.1 -0.0 NaN 0 RICE 4.0 3.7 4.3 NaN 0 ROBUSTA 1.6 1.5 1.7 3.0 3 RUSSELL 5.6 3.9 7.3 1.0 1 SHATZ -3.1 -3.5 -2.7 NaN 0 SILVER-mini -0.3 -0.5 -0.1 NaN 0 SMI 0.3 0.2 0.5 6.0 6 SOFR -4.7 -6.1 -3.4 NaN 0 SOYBEAN 0.7 0.6 0.7 2.0 2 SOYMEAL 0.7 0.7 0.8 NaN 0 SOYOIL 0.6 0.5 0.6 1.0 1 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 2.1 1.2 2.9 0.0 0 SUGAR11 0.9 0.7 1.1 1.0 1 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.4 -0.5 -0.4 -6.0 -6 US2 -4.7 -5.0 -4.5 NaN 0 US20 -0.3 -0.4 -0.2 NaN 0 US30 -0.3 -0.4 -0.3 NaN 0 US5 -2.5 -2.7 -2.3 -4.0 -4 VIX -31.3 -32.9 -29.8 -17.0 -17 WHEAT -0.5 -0.6 -0.5 -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 1.7 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 0.2 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 -0.1 -0.1 -0.0 0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.3 0.1 0.1 BITCOIN -0.2 0.2 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -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 -0.0 -0.5 -0.1 -0.3 -0.1 0.3 -0.0 0.3 BOBL 0.2 -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 -0.3 -1.2 -0.7 -0.0 -0.0 0.0 -0.2 -0.0 0.5 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -1.5 0.2 0.1 -0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP -0.0 0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 0.1 -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 0.3 0.3 -0.3 -0.3 -0.1 0.1 BUND 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.0 0.3 0.5 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 0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.3 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 0.0 -0.1 0.2 0.1 -0.3 -0.3 0.1 0.1 CAC 0.1 -0.2 -0.3 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.3 0.1 0.5 0.1 0.1 -0.4 0.0 -0.2 -0.1 0.1 0.1 0.2 0.3 0.1 -0.2 0.0 0.1 0.1 0.1 0.2 0.0 1.4 -0.2 -0.4 -0.1 -0.2 0.2 -0.0 0.3 -0.0 CAD -0.0 0.3 0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.2 0.3 0.0 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.1 0.3 -0.5 -0.3 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA 0.5 0.5 0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 0.1 -0.2 0.1 0.1 0.2 0.9 0.7 0.9 0.2 0.1 0.1 -0.1 0.2 -1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 2.2 -0.3 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 -0.1 0.2 0.1 0.3 0.1 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -2.9 -0.0 0.3 0.0 0.1 -0.2 -0.3 -0.2 -0.3 COCOA 0.1 0.2 0.3 0.0 0.0 -0.0 0.0 -0.1 0.1 0.2 0.4 0.2 0.6 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 0.0 0.2 0.1 -2.1 0.7 0.4 0.5 0.5 -0.3 -0.3 0.1 -0.1 COFFEE -0.0 -0.5 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.1 0.0 -0.2 -0.1 -0.1 0.0 0.2 0.2 0.2 -0.2 -0.1 -0.0 -0.2 -0.1 -1.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -1.0 -0.7 -0.5 -0.5 0.2 -0.3 -0.3 -0.1 -0.2 COPPER 0.3 0.2 -0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.1 -0.2 -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 0.5 0.4 0.3 0.2 -0.4 0.0 -0.3 0.1 -0.2 CORN 0.1 0.3 0.1 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 0.0 -0.0 0.0 -0.3 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.4 0.0 -0.1 0.1 0.0 -0.0 0.2 0.0 0.3 COTTON2 0.3 0.2 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 0.1 -0.2 0.1 0.1 0.6 0.4 0.5 0.3 0.1 0.0 0.1 -0.1 0.1 -1.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.3 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.4 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.1 0.2 -0.3 0.2 0.1 0.4 0.5 0.4 0.4 0.2 0.0 0.2 -0.0 0.2 -0.3 0.1 0.1 0.1 0.1 0.1 0.1 -1.4 -0.7 -0.3 0.0 0.3 0.2 0.2 0.2 0.1 DAX 0.2 -0.2 -0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.3 0.2 0.5 0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.1 0.1 0.2 0.3 0.1 0.9 0.0 0.2 0.1 0.1 0.2 0.0 -0.6 0.2 -0.2 -0.3 -0.2 0.3 -0.0 0.3 0.0 DOW 0.5 0.4 0.2 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.3 0.2 0.3 0.2 0.2 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.3 0.2 0.2 -0.5 0.1 0.0 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 0.2 0.0 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 -0.1 0.1 0.0 0.6 0.0 -0.1 0.1 -0.0 0.0 0.0 -1.2 -0.5 -0.3 -0.2 -0.2 -0.1 -0.3 -0.0 0.1 EURIBOR-ICE 0.3 -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 -0.0 -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 0.2 0.1 -0.0 0.0 -0.3 -0.3 0.3 0.1 EUROSTX 0.1 -0.2 -0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.5 0.1 0.1 -0.3 -0.0 -0.3 -0.1 0.1 0.1 0.2 0.3 0.1 0.3 0.0 0.2 0.1 0.1 0.2 0.0 1.1 -0.1 -0.3 -0.2 -0.2 0.3 0.0 0.3 0.1 FEEDCOW 0.1 0.0 0.3 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 0.4 0.0 0.6 0.1 0.2 -1.1 -1.2 -1.2 -1.2 0.2 0.2 0.1 0.4 0.1 0.3 0.1 0.0 0.2 0.0 0.3 0.0 -3.2 -0.5 0.0 0.1 0.5 0.0 -0.2 0.2 -0.2 GASOIL 0.5 0.5 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 -0.2 0.2 0.1 0.6 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 0.5 0.3 0.4 0.1 -0.1 0.0 -0.1 -0.1 GASOLINE 0.5 0.5 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.2 -0.1 0.2 0.2 1.2 1.2 1.2 1.2 0.2 0.1 0.2 0.3 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 3.2 0.0 0.2 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 0.0 -0.3 0.0 -0.5 0.0 0.0 -0.4 -0.7 -0.6 -0.8 -0.0 -0.2 0.0 -0.4 0.0 1.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -3.2 -0.7 -0.5 -0.3 0.0 0.1 0.2 -0.0 0.0 GBP 0.1 0.2 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 -0.0 0.2 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 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.1 0.2 0.0 -0.1 -1.0 -0.7 -0.9 -0.8 -0.0 0.0 0.0 0.2 0.0 -0.6 0.0 -0.1 0.1 0.0 0.1 0.0 -2.6 0.5 0.3 -0.2 -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 -0.1 0.2 -0.2 0.2 0.1 0.6 1.0 0.4 0.6 0.2 0.0 0.3 -0.0 0.2 -1.1 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.7 0.4 0.5 0.4 -0.0 0.0 -0.1 0.0 JGB-SGX-mini -0.5 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.5 1.2 0.7 0.9 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 3.2 0.1 -0.2 0.2 0.3 -0.3 -0.1 0.0 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 -0.2 -0.1 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.3 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 1.2 0.3 1.2 1.2 0.1 -0.1 0.1 -0.4 0.1 0.8 -0.0 0.1 -0.2 0.0 -0.3 0.0 1.5 -0.2 -0.0 0.1 -0.5 -0.1 0.0 0.3 0.3 LIVECOW -0.0 0.4 0.5 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.4 -0.0 0.6 0.1 0.2 -0.7 0.5 0.7 1.0 0.2 0.2 -0.1 0.4 0.1 0.4 0.1 -0.0 0.2 -0.0 0.2 0.0 1.8 -0.7 0.1 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.2 0.3 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.5 -0.8 -0.6 -0.7 -0.0 -0.0 -0.3 -0.1 -0.1 NaN -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -3.4 -0.7 -0.5 -0.2 0.2 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.4 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.0 -1.2 -1.2 -1.2 -1.2 -0.0 -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 0.1 -0.5 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.1 0.0 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.1 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 0.0 0.3 0.0 3.2 0.7 -0.2 0.1 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.1 0.2 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.1 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 -0.2 0.1 0.5 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.5 0.0 0.5 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.3 0.0 0.4 0.0 0.1 0.9 0.7 0.8 0.8 0.2 0.2 0.1 0.4 0.1 -0.3 0.0 0.0 0.2 0.0 0.2 0.0 3.2 0.1 -0.5 0.2 0.5 0.0 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 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.8 -0.4 -0.2 -0.3 -0.3 0.0 -0.2 0.1 0.1 OAT 0.0 0.0 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 0.3 0.5 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 0.1 -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 -0.0 0.0 -0.1 0.0 -0.0 0.2 0.0 -0.2 0.1 0.1 -0.9 -0.0 -0.7 -0.4 0.2 0.1 0.1 0.1 0.1 -1.1 0.0 -0.0 0.0 0.0 0.0 0.0 -3.1 0.3 -0.0 0.5 0.5 0.1 0.3 0.2 0.3 OJ 0.5 0.4 0.2 0.0 0.0 -0.0 0.0 -0.1 0.1 0.2 0.4 0.2 0.6 0.2 0.2 1.2 1.2 1.2 1.2 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 0.5 0.4 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 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.4 -0.1 -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 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.1 0.0 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 -0.1 -0.0 -0.0 -0.0 -0.0 0.4 -0.1 0.1 -0.4 -0.2 0.0 -0.2 0.1 -0.1 REDWHEAT 0.2 0.3 0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -0.2 0.0 0.0 -0.1 0.2 0.1 0.2 0.0 0.0 0.1 -0.0 0.1 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -1.0 0.3 -0.1 -0.0 0.1 -0.3 -0.2 -0.1 -0.1 RICE 0.3 0.3 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 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 -0.0 0.0 0.0 -0.0 0.0 3.2 0.2 0.1 0.1 0.4 -0.1 -0.3 0.0 -0.2 ROBUSTA -0.2 -0.5 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.2 0.0 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 2.7 -0.0 -0.3 -0.2 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 -0.4 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 0.0 0.4 0.5 0.1 -0.1 -0.1 -0.3 -0.1 SHATZ 0.3 -0.3 -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 -1.0 -0.1 -0.5 -0.3 -0.1 -0.1 0.0 -0.3 -0.0 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.2 0.1 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 SILVER-mini 0.5 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.1 0.1 0.1 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 0.0 0.1 0.1 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.6 0.1 0.3 0.2 -0.0 -0.2 -0.3 -0.0 -0.3 SMI 0.1 -0.3 0.0 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 0.2 0.1 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.0 0.0 1.6 0.3 -0.4 -0.5 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.2 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 -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 -0.2 0.0 -0.0 0.0 -0.3 -0.3 -0.1 -0.0 SOYBEAN 0.4 0.5 0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 0.1 0.1 1.0 1.2 0.9 1.1 0.1 0.0 0.1 -0.0 0.1 -1.0 0.0 -0.0 0.0 0.0 0.0 0.0 3.2 -0.2 0.1 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 -0.0 -0.0 0.0 0.1 0.0 0.0 0.6 1.2 1.2 1.2 0.0 0.0 0.0 0.0 0.0 -1.0 0.0 -0.0 0.0 0.0 0.0 0.0 3.2 -0.1 0.0 0.3 0.1 -0.1 -0.2 -0.1 -0.2 SOYOIL 0.4 0.5 0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 0.6 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 0.4 -0.1 0.1 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 0.0 0.1 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 0.1 0.2 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.4 0.5 0.1 -0.0 -0.1 -0.2 -0.1 SP500_micro 0.3 0.5 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 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 0.2 0.0 0.1 0.1 -1.1 0.3 0.5 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 0.2 -0.5 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 0.0 0.4 0.0 0.0 -0.1 0.9 0.1 0.5 0.0 0.1 0.0 0.4 0.0 -1.1 0.0 -0.1 0.2 -0.0 0.3 0.0 1.4 -0.6 -0.1 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 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 -0.5 -0.4 -0.5 -0.5 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.6 -0.2 0.0 -0.1 -0.1 -0.3 -0.3 0.2 0.0 US10U 0.1 -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 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.1 -0.3 0.0 -0.0 -0.1 -0.3 -0.3 0.3 0.3 US2 0.3 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -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 -0.0 -0.3 -0.3 -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 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 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 -0.3 -0.2 -0.0 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -0.1 0.1 -0.0 -0.3 -0.3 0.3 0.3 US5 0.3 -0.3 -0.3 -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 -0.1 -0.1 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -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 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -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 -0.0 -0.3 -0.0 -0.4 -0.1 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.2 0.5 0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 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 0.3 -0.1 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 5.5 7.4 3.5 3.5 -0.7 2.7 1.1 1.3 3.0 -11.0 -3.8 -4.0 -3.9 0.7 2.7 -2.5 -2.6 -2.6 -2.7 1.2 -0.5 -5.8 -3.2 -0.1 2.1 1.2 -7.7 0.3 -3.0 -1.3 0.3 -0.5 -10.0 -13.2 -11.5 -11.1 -1.7 -20.0 5.6 10.2 BITCOIN -7.6 6.7 6.4 4.9 -8.1 4.6 -2.1 3.6 3.5 -15.9 19.8 -20.0 -3.4 9.5 12.6 -7.6 -3.5 -6.1 -4.7 8.0 13.5 -10.1 7.0 -1.6 -20.0 3.3 -5.2 5.4 -5.7 4.0 -1.2 -1.0 -0.2 -20.0 -2.2 -10.0 -3.8 20.0 -2.8 20.0 BOBL 6.1 -6.5 -4.0 -1.8 -1.0 -1.9 -0.7 -2.7 -1.1 -3.2 -3.4 3.3 -6.4 -1.7 -3.9 -20.0 -4.4 -19.5 -11.3 -3.2 -4.9 1.0 -8.6 -0.5 9.5 -1.3 -0.1 -1.6 0.5 -3.0 -0.2 -9.5 5.3 2.3 -0.5 1.2 -20.0 -20.0 -20.0 -14.6 BTP -0.5 0.7 11.5 -2.6 -1.5 -2.8 -1.1 -3.9 -1.6 -1.5 8.2 6.2 -1.2 4.2 4.6 4.1 8.5 5.7 7.0 3.2 3.3 2.4 -1.4 3.0 -6.3 2.0 -0.5 2.7 1.3 0.4 1.6 16.5 9.0 1.1 13.7 13.4 -20.0 -20.0 -7.9 4.8 BUND 1.5 -0.8 1.1 -1.9 -1.1 -2.0 -0.8 -2.8 -1.1 -6.6 -3.4 2.0 -6.9 -0.2 -2.6 5.8 9.1 6.4 7.3 -1.9 -3.6 -0.2 -8.3 -0.4 5.6 -0.8 -1.5 -1.1 -0.1 -3.0 -0.2 17.0 3.8 -0.5 2.8 3.1 -20.0 -20.0 -13.5 -2.2 BUXL -4.2 6.9 -0.2 -2.3 -1.4 -2.5 -1.0 -3.5 -1.4 -8.8 -7.5 -1.5 -9.5 -0.9 -3.1 1.1 1.2 1.5 1.8 -1.7 -4.8 -3.8 -12.2 -1.6 0.2 -0.5 -5.1 -1.1 -2.3 -3.8 -0.9 5.6 0.7 -5.1 7.8 4.5 -20.0 -20.0 4.5 10.8 CAC 5.7 -6.6 -11.4 5.5 4.3 5.3 5.5 4.3 6.1 15.5 16.5 16.9 17.9 14.7 11.0 -5.9 0.8 -3.3 -1.0 6.7 10.3 12.5 16.5 9.5 -4.6 4.5 8.2 6.1 6.7 8.3 5.3 8.8 -5.3 -15.4 -4.1 -6.3 18.2 -2.1 20.0 -0.0 CAD -1.9 10.8 14.9 5.7 -1.1 4.4 1.7 2.1 5.0 -17.9 14.3 3.4 -7.1 10.8 15.0 -1.8 -1.9 -2.2 -2.2 11.0 9.1 -2.3 -0.4 5.5 -0.2 5.6 -4.7 5.2 -1.4 0.9 2.5 0.5 8.7 -20.0 -12.3 -2.6 -16.3 -20.0 -20.0 -17.4 CANOLA 20.0 20.0 16.9 1.6 0.2 -0.8 2.8 -1.8 3.4 -6.6 3.0 8.1 -7.1 10.7 9.8 2.6 15.7 11.3 15.0 20.0 7.7 10.5 -3.1 20.0 -20.0 3.0 -1.0 0.5 1.3 -1.2 3.3 13.9 -8.3 20.0 20.0 11.8 -14.4 14.0 0.9 20.0 CHF 20.0 11.5 3.3 3.8 -0.7 2.9 1.1 1.4 3.3 -10.9 10.1 6.9 10.4 9.2 8.8 -13.2 -12.8 -13.8 -13.5 13.1 10.0 4.5 7.1 13.3 -6.0 4.0 -1.6 3.0 1.5 1.9 4.1 -18.5 -0.4 10.9 1.9 3.1 -13.2 -20.0 -15.0 -20.0 COCOA 4.6 6.5 13.5 3.1 0.4 -1.5 5.3 -3.3 6.4 15.1 20.0 18.6 20.0 20.0 20.0 0.1 -0.8 -0.3 -0.2 20.0 20.0 20.0 20.0 20.0 -9.6 8.2 4.8 8.4 5.8 6.8 6.8 -13.4 20.0 17.3 20.0 20.0 -20.0 -20.0 10.2 -7.9 COFFEE -0.6 -20.0 -9.5 2.9 0.4 -1.4 5.0 -3.2 6.1 1.5 -4.7 4.6 -8.9 -16.0 -17.8 0.7 3.6 2.8 3.5 -19.3 -15.1 -1.5 -11.2 -11.8 -20.0 -4.0 -3.0 -2.3 0.1 -1.4 -2.4 -6.3 -19.7 -20.0 -20.0 7.0 -20.0 -20.0 -9.5 -16.6 COPPER 12.0 7.6 -10.0 3.1 -5.1 2.9 -1.3 2.3 2.2 8.4 -4.0 6.8 -3.7 7.2 -1.2 -2.9 -1.4 -2.6 -2.1 0.8 -2.5 7.6 -2.9 5.4 -4.1 1.3 5.0 -1.3 4.5 -1.7 3.9 2.9 12.1 11.0 6.3 -17.3 0.7 -20.0 4.9 -17.3 CORN 4.1 12.6 2.8 1.0 0.1 -0.5 1.7 -1.1 2.1 -0.3 -2.9 2.4 -4.2 -1.7 -2.2 -4.2 7.7 -1.8 2.9 -0.4 -1.7 1.8 -1.7 1.5 -6.6 0.8 -0.7 -0.5 0.7 -1.2 1.1 -2.8 1.3 -5.0 2.7 0.2 -2.4 12.6 1.1 20.0 COTTON2 12.4 6.8 12.1 1.8 0.2 -0.9 3.1 -2.0 3.7 -2.5 4.5 6.4 -9.0 9.1 8.7 10.3 7.0 8.0 5.8 6.5 2.0 7.7 -2.6 9.3 -20.0 3.0 -0.7 1.3 3.7 0.3 4.3 -2.6 3.4 11.1 -4.6 11.1 -20.0 -17.2 7.4 8.1 CRUDE_W 20.0 15.6 -2.2 4.9 10.0 0.8 11.1 -0.2 9.1 19.9 2.7 20.0 -10.9 20.0 9.2 6.8 8.1 6.2 6.6 18.6 4.1 20.0 -0.2 20.0 -6.5 6.6 8.8 3.1 10.0 2.0 9.3 -9.1 -20.0 -11.2 1.1 11.0 11.9 11.8 12.0 4.3 DAX 7.2 -7.3 -2.5 5.4 4.2 5.2 5.4 4.2 5.9 15.8 15.9 18.3 17.0 10.9 10.4 -8.3 -6.5 -8.2 -7.8 7.1 11.3 17.3 15.3 10.8 16.8 3.0 13.6 5.2 9.6 7.1 5.2 -3.6 5.3 -9.4 -12.9 -6.5 20.0 -1.1 20.0 3.6 DOW 20.0 16.5 8.2 5.6 4.3 5.3 5.5 4.3 6.1 15.7 13.2 18.7 11.0 19.3 18.9 -11.2 -6.8 -9.9 -8.7 20.0 14.9 20.0 8.3 20.0 -10.0 6.7 3.6 4.7 6.5 3.0 7.6 -4.6 20.0 20.0 20.0 7.1 -4.9 -3.7 -20.0 -2.3 EUR 10.5 9.7 1.3 4.1 -0.8 3.2 1.2 1.5 3.6 -10.1 9.5 -0.6 7.8 6.2 6.5 -6.1 -6.8 -6.5 -6.6 7.5 6.7 -5.4 3.6 4.6 12.1 3.3 -4.7 2.9 -2.0 1.5 2.1 -7.4 -14.7 -10.2 -6.4 -7.2 -4.5 -20.0 -1.4 5.5 EURIBOR-ICE 13.1 -5.9 5.6 -1.7 -1.0 -1.8 -0.7 -2.6 -1.0 -2.6 -3.9 3.6 -6.4 -0.3 -3.1 -10.3 -7.6 -10.3 -9.4 -2.7 -4.6 2.0 -7.9 0.5 16.3 -1.1 0.3 -1.7 0.8 -3.2 0.1 -12.0 6.4 4.8 -1.4 1.2 -20.0 -20.0 20.0 5.0 EUROSTX 3.4 -6.1 -5.9 5.2 4.0 5.0 5.2 4.0 5.7 14.1 17.8 15.8 18.1 14.0 14.4 -4.8 -0.0 -4.3 -2.4 7.3 11.3 12.9 15.7 8.7 4.8 3.9 13.3 6.4 8.4 8.8 4.9 7.0 -4.3 -13.8 -9.9 -6.0 20.0 1.1 20.0 6.6 FEEDCOW 2.9 1.7 12.7 3.2 0.4 -1.6 5.5 -3.5 6.7 3.6 20.0 3.8 19.9 16.4 19.1 -18.6 -20.0 -20.0 -20.0 20.0 20.0 6.4 20.0 15.2 6.3 8.0 2.2 10.7 2.0 10.3 4.5 -20.0 -16.1 1.9 2.6 20.0 1.1 -18.9 13.6 -11.6 GASOIL 20.0 20.0 -2.0 4.4 8.8 0.7 9.8 -0.1 8.0 17.6 -4.2 19.6 -5.8 19.9 14.2 9.6 14.7 7.5 10.0 20.0 4.3 20.0 -0.1 20.0 12.3 5.5 11.5 1.1 11.1 -0.5 9.1 0.0 13.5 10.2 15.2 4.0 -7.9 3.2 -11.0 -4.4 GASOLINE 20.0 20.0 3.4 5.1 10.3 0.9 11.5 -0.2 9.4 20.0 15.6 20.0 -4.3 20.0 18.5 20.0 20.0 20.0 20.0 20.0 16.9 20.0 12.7 20.0 -20.0 7.7 7.8 5.0 9.9 4.2 9.7 20.0 1.4 6.6 20.0 20.0 11.0 12.8 13.6 -0.9 GAS_US_mini 1.6 20.0 8.7 3.9 7.9 0.7 8.8 -0.1 7.2 3.0 -16.8 2.9 -17.7 5.8 3.4 -6.5 -12.3 -10.0 -12.9 -1.6 -20.0 0.9 -20.0 2.4 18.8 2.6 -1.2 -1.1 0.6 -3.8 2.4 -20.0 -20.0 -20.0 -11.0 0.3 4.0 13.6 -0.6 1.3 GBP 2.1 7.8 11.5 4.5 -0.9 3.5 1.4 1.7 3.9 -9.6 14.0 -2.5 9.0 6.3 10.0 0.6 -1.0 0.0 -0.6 11.9 12.7 -2.6 7.5 6.1 -0.7 4.9 -2.5 4.7 -0.8 2.0 2.7 2.7 -13.2 -8.7 -4.4 2.6 6.0 10.7 11.0 20.0 GOLD_micro 17.3 -9.9 -7.9 4.3 -7.1 4.1 -1.8 3.2 3.1 -8.7 2.6 6.6 7.9 3.4 -10.6 -16.5 -12.0 -15.2 -13.7 -3.3 0.6 0.4 7.5 1.9 -11.8 1.8 -4.2 2.6 0.5 4.5 3.3 -16.2 14.9 12.6 -9.2 -13.4 -20.0 -20.0 -6.8 -20.0 HEATOIL 20.0 20.0 -2.2 5.2 10.5 0.9 11.6 -0.2 9.5 20.0 -6.4 20.0 -8.3 20.0 16.4 10.0 16.3 6.9 10.0 20.0 5.4 20.0 -0.6 20.0 -20.0 7.0 11.9 2.8 12.0 1.6 10.3 1.4 20.0 17.3 20.0 14.6 -1.7 1.7 -6.6 0.6 JGB-SGX-mini -20.0 -14.5 8.3 -1.9 -1.1 -2.0 -0.8 -2.9 -1.2 -3.3 7.0 -2.0 6.5 -2.7 1.9 8.6 20.0 11.4 15.6 1.1 4.4 -2.6 4.6 -1.3 0.8 0.2 -4.9 1.6 -1.5 1.1 -1.0 20.0 4.3 -7.7 6.2 11.0 -20.0 -7.0 3.5 7.2 JPY 20.0 1.3 -14.4 2.9 -0.6 2.3 0.9 1.1 2.5 -3.9 -7.7 1.5 -8.0 1.3 -6.9 -15.9 -13.3 -16.0 -15.0 -6.0 -9.6 -0.7 -10.9 -0.8 20.0 -1.8 -1.3 -2.9 -0.2 -3.3 -0.1 -20.0 -5.1 -3.2 -20.0 -20.0 -16.6 -20.0 -17.9 -20.0 LEANHOG 13.6 20.0 -0.7 2.5 0.3 -1.2 4.3 -2.7 5.2 11.1 -5.9 13.0 -10.0 16.0 12.4 20.0 5.8 20.0 20.0 8.1 -7.8 10.5 -17.1 13.5 15.4 -1.2 4.7 -8.3 4.1 -11.1 3.4 9.8 -6.6 -0.5 2.1 -18.1 -3.9 2.9 19.9 20.0 LIVECOW -0.2 16.8 18.8 3.5 0.4 -1.7 6.0 -3.8 7.2 -20.0 20.0 -3.5 20.0 12.9 20.0 -11.0 8.7 11.0 17.3 20.0 20.0 -6.1 20.0 17.1 7.7 8.4 -2.8 9.0 -0.8 7.4 4.2 11.1 -20.0 4.8 20.0 20.0 -20.0 -20.0 -16.7 -19.7 LUMBER-new -6.5 12.9 4.3 2.6 0.3 -1.0 4.5 -2.1 5.4 -16.5 -11.0 -16.9 -14.9 -4.0 -0.4 -8.3 -11.9 -10.1 -11.4 -0.9 -1.8 -20.0 -4.4 -9.9 NaN -0.1 -9.3 0.1 -9.4 -0.7 -4.1 -20.0 -20.0 -20.0 -9.3 6.8 -20.0 -20.0 -20.0 -20.0 MILK 20.0 14.1 0.2 1.3 0.2 -0.6 2.2 -1.4 2.7 2.1 -7.5 3.9 -8.9 1.1 -5.3 -20.0 -20.0 -20.0 -20.0 -5.9 -10.9 8.2 -11.2 3.2 -3.9 -2.0 1.3 -3.3 1.9 -3.1 0.5 -20.0 16.0 4.3 -20.0 -20.0 -20.0 -20.0 -14.3 -20.0 MXP -2.1 1.0 10.6 6.0 -1.2 4.6 1.8 2.2 5.2 13.2 20.0 15.2 20.0 19.1 20.0 18.5 17.9 18.7 18.1 20.0 20.0 14.7 20.0 20.0 -20.0 8.3 5.3 9.7 4.2 9.9 6.0 20.0 20.0 -7.0 5.8 20.0 20.0 5.7 20.0 20.0 NASDAQ_micro -4.4 9.3 20.0 4.0 3.1 3.8 4.0 3.1 4.4 2.2 14.5 6.3 8.2 10.7 13.6 -10.9 -7.5 -10.4 -9.2 20.0 20.0 8.7 19.3 15.9 -20.0 5.3 1.9 6.2 1.6 4.7 3.1 -5.6 -7.0 5.9 19.8 20.0 -7.2 -9.8 -15.7 -12.3 NIKKEI -19.5 1.4 20.0 5.3 4.0 5.0 5.2 4.0 5.7 14.4 16.6 1.0 16.2 5.6 14.3 15.9 11.9 14.1 12.8 19.5 20.0 7.8 20.0 7.4 -5.2 5.5 3.5 7.9 1.9 6.5 2.0 20.0 3.1 -20.0 8.3 20.0 3.7 2.9 -1.1 8.9 NZD 6.4 6.8 1.5 2.9 -0.6 2.3 0.9 1.1 2.6 -9.0 -1.6 -5.2 0.3 0.3 0.6 0.5 0.6 0.5 0.5 1.1 0.0 -4.6 -1.7 -0.1 0.2 1.0 -4.4 0.4 -2.4 -0.6 0.3 5.0 -12.1 -9.6 -12.3 -11.2 1.4 -12.5 8.5 7.3 OAT 0.2 0.3 4.1 -2.0 -1.2 -2.2 -0.8 -3.1 -1.2 -7.1 -3.8 1.9 -7.2 0.3 -1.6 5.6 9.2 7.1 8.2 -1.6 -3.0 -0.6 -7.5 -0.5 7.6 -0.7 -2.0 -0.8 -0.4 -3.1 -0.3 18.1 3.6 -1.5 4.0 4.7 -20.0 -20.0 -3.6 1.7 OATIES -5.1 20.0 20.0 1.7 0.2 -0.8 2.9 -1.9 3.6 -0.4 8.2 4.4 -6.7 9.4 10.5 -15.0 -0.3 -11.7 -7.4 18.3 12.3 5.5 3.7 14.9 -20.0 3.6 -0.9 2.4 0.8 0.6 2.6 -19.3 8.7 -1.3 20.0 20.0 3.9 20.0 15.4 20.0 OJ 20.0 17.0 6.7 3.3 0.4 -1.6 5.7 -3.6 6.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.8 10.5 8.3 12.2 10.2 10.0 20.0 20.0 20.0 14.2 20.0 17.9 5.8 20.0 16.7 PALLAD 8.9 -12.9 -15.9 2.4 -4.0 2.3 -1.0 1.8 1.7 -9.8 -11.7 -4.8 -12.0 -7.9 -10.4 -3.6 -2.6 -3.3 -3.0 -13.9 -19.5 -6.8 -20.0 -8.0 -4.8 -3.6 -3.9 -4.0 -2.7 -4.1 -2.6 1.0 2.6 -10.5 -20.0 -11.7 -15.9 -0.1 1.7 2.3 PLAT 20.0 -15.6 -11.0 2.7 -4.4 2.5 -1.1 2.0 1.9 -11.0 -6.7 1.8 0.3 -3.0 -8.0 -3.1 -1.9 -2.7 -2.4 -6.8 -6.1 -4.1 -1.8 -2.4 13.1 -1.2 -5.5 -1.1 -1.7 -0.1 -0.1 2.2 -3.3 4.1 -16.0 -6.4 1.6 -15.1 9.5 -10.7 REDWHEAT 9.0 13.1 8.9 1.6 0.2 -0.8 2.8 -1.7 3.3 0.7 2.7 3.9 -8.3 5.3 5.8 -2.2 3.4 0.9 3.0 4.9 1.3 6.4 -1.2 7.6 -11.1 2.0 0.3 0.6 3.2 0.0 3.2 -6.6 10.0 -2.5 -1.8 4.5 -20.0 -17.2 -5.4 -6.8 RICE 13.5 11.8 2.7 2.4 0.3 -1.2 4.1 -2.6 5.0 3.0 -2.1 9.5 -2.3 10.4 10.4 -1.0 20.0 20.0 20.0 8.3 1.3 12.7 -1.1 14.2 -20.0 3.4 -0.3 0.9 4.7 -0.4 5.2 20.0 6.1 4.0 2.4 17.7 -8.4 -20.0 1.9 -18.0 ROBUSTA -7.6 -20.0 6.9 2.0 0.2 -1.0 3.4 -2.1 4.1 3.1 10.7 5.9 10.5 -2.5 6.7 20.0 15.3 20.0 20.0 6.9 14.1 5.0 15.2 3.2 -10.0 3.1 0.3 6.1 1.9 6.4 1.3 17.4 -0.1 -10.8 -6.0 20.0 -8.0 -20.0 5.2 -12.8 RUSSELL 17.4 18.7 13.9 4.7 3.6 4.5 4.7 3.6 5.2 7.5 3.9 13.3 -2.8 14.9 14.5 -7.2 -5.0 -6.5 -5.9 18.9 10.7 13.1 0.8 19.4 -1.5 5.5 2.0 3.6 3.2 1.5 5.2 -0.6 1.2 16.0 20.0 3.9 -4.3 -6.8 -20.0 -9.5 SHATZ 12.2 -13.0 -15.8 -1.8 -1.0 -1.9 -0.7 -2.7 -1.1 1.9 -5.7 4.3 -7.0 -3.7 -5.6 -16.7 -1.0 -8.9 -5.4 -6.5 -9.0 1.7 -12.2 -1.8 11.2 -1.9 0.8 -2.5 0.7 -3.5 -0.4 -2.3 7.1 4.3 -5.3 -3.2 -20.0 -20.0 -20.0 -20.0 SILVER-mini 20.0 -2.0 -6.1 3.3 -5.3 3.1 -1.4 2.4 2.3 -8.9 4.6 7.0 5.3 9.2 0.6 -6.8 -5.4 -6.6 -6.1 5.0 3.6 2.8 3.7 7.8 7.1 3.4 -3.0 2.4 0.9 1.5 3.7 -4.1 3.1 13.4 7.1 -0.8 -12.6 -20.0 -1.5 -20.0 SMI 2.2 -13.8 1.6 4.8 3.7 4.6 4.8 3.7 5.2 11.7 6.9 11.6 3.6 0.8 0.3 -3.1 1.9 -2.6 -0.7 -1.2 1.8 12.0 3.7 3.5 3.1 -0.7 8.6 -0.3 6.8 -0.7 2.0 10.1 8.0 -15.8 -20.0 -8.0 -7.0 -10.5 -13.8 -15.7 SOFR 6.2 -11.5 -3.0 -1.8 -1.1 -1.9 -0.7 -2.7 -1.1 -5.4 -1.1 0.5 -1.6 -1.1 -3.1 -3.0 -0.6 -1.8 -1.2 -3.8 -2.5 -3.9 -2.3 -3.4 -1.3 -1.7 -2.0 -1.1 -1.5 -0.8 -1.3 1.2 -6.0 1.2 -1.7 1.0 -20.0 -20.0 -4.1 -0.8 SOYBEAN 15.0 20.0 7.5 1.2 0.2 -0.6 2.1 -1.3 2.6 -3.1 3.5 5.2 -1.6 7.8 7.3 16.3 20.0 15.6 18.6 8.9 3.5 4.2 -0.1 9.5 -18.1 2.2 -0.8 0.8 0.7 0.0 2.1 20.0 -4.5 4.7 20.0 7.9 -8.6 16.9 -4.8 20.0 SOYMEAL 12.8 20.0 -20.0 1.2 0.2 -0.6 2.1 -1.3 2.6 -3.3 -1.2 5.7 2.2 3.0 1.3 10.3 20.0 20.0 20.0 2.9 0.3 3.8 1.8 5.5 -19.0 2.1 -0.5 1.2 1.0 1.4 2.2 20.0 -3.1 1.6 11.1 3.9 -9.0 -18.4 -4.7 -16.6 SOYOIL 16.7 20.0 16.6 1.2 0.1 -0.6 2.1 -1.3 2.5 0.6 2.3 4.3 -2.6 7.6 7.4 10.9 10.0 9.5 8.4 12.0 5.2 6.2 0.0 12.0 -20.0 2.4 -0.2 1.1 1.0 0.0 2.2 2.6 -2.2 4.8 20.0 12.6 2.3 6.6 14.0 20.0 SP400 18.3 20.0 11.3 4.9 3.7 4.7 4.9 3.8 5.3 3.4 6.9 13.4 5.1 16.1 15.6 -5.3 -4.4 -5.2 -5.0 20.0 14.8 12.0 6.1 20.0 -11.4 5.6 0.6 3.6 2.5 1.8 5.1 0.6 -4.4 16.4 20.0 4.3 -1.4 -8.1 -11.8 -10.9 SP500_micro 10.9 20.0 20.0 6.2 4.8 5.9 6.2 4.8 6.8 14.8 20.0 19.2 9.9 20.0 20.0 -13.9 -8.3 -12.2 -10.3 20.0 20.0 20.0 20.0 20.0 -20.0 8.3 3.0 7.4 4.4 4.8 6.8 -7.0 8.3 20.0 20.0 20.0 -4.2 -8.7 -11.6 -12.2 SUGAR11 6.9 -20.0 4.1 2.4 0.3 -1.2 4.2 -2.6 5.1 -8.3 11.1 5.4 13.0 1.9 3.6 -1.3 14.8 2.4 8.8 3.6 14.2 0.8 20.0 2.4 -20.0 1.9 -4.7 7.4 -0.2 11.5 0.5 9.1 -19.1 -2.6 -20.0 20.0 -16.6 -18.0 11.2 -6.9 US10 6.2 -10.4 -7.5 -1.8 -1.0 -1.9 -0.7 -2.7 -1.1 -5.4 -4.0 -1.3 -5.9 -3.2 -5.1 -9.0 -6.5 -9.1 -8.6 -6.1 -5.7 -4.8 -6.5 -4.7 0.6 -2.2 -2.3 -1.8 -1.7 -1.7 -1.5 -10.4 -6.9 0.4 -3.3 -3.3 -20.0 -20.0 15.3 2.9 US10U 3.3 -7.4 -5.5 -2.4 -1.4 -2.6 -1.0 -3.7 -1.5 -7.8 -4.9 -2.2 -7.7 -4.0 -6.9 -2.9 -0.7 -1.7 -1.6 -6.9 -6.6 -6.6 -8.3 -5.7 -3.9 -2.9 -4.2 -2.4 -2.7 -2.2 -2.2 0.7 -8.9 0.2 -1.9 -3.4 -20.0 -20.0 20.0 19.0 US2 12.2 -20.0 -20.0 -1.7 -1.0 -1.8 -0.7 -2.6 -1.0 -5.5 -6.2 -5.4 -6.7 -6.4 -7.1 -20.0 -19.3 -20.0 -20.0 -12.4 -12.5 -6.5 -12.5 -8.6 7.2 -2.5 -1.3 -2.4 -1.4 -2.5 -1.8 -20.0 -9.3 -1.6 -10.6 -10.1 -20.0 -18.7 -20.0 -14.6 US20 0.5 -4.8 -5.4 -2.0 -1.2 -2.1 -0.8 -3.0 -1.2 -7.1 -3.5 -2.8 -4.9 -2.9 -5.7 -2.0 -1.4 -1.7 -1.8 -4.9 -4.7 -5.9 -6.5 -4.4 -4.0 -2.2 -4.9 -1.9 -2.9 -2.0 -1.8 -0.1 -7.3 -0.2 0.9 -1.8 -20.0 -20.0 20.0 20.0 US30 -2.3 -2.3 -4.3 -2.5 -1.5 -2.6 -1.0 -3.8 -1.5 -8.9 -6.5 -5.7 -7.1 -4.7 -8.1 -8.4 -1.9 -4.5 -2.9 -5.6 -6.0 -7.1 -9.7 -5.2 -3.8 -3.0 -6.7 -2.6 -4.1 -2.9 -2.7 -1.1 -7.0 -2.3 2.7 -1.2 -20.0 -20.0 20.0 20.0 US5 10.1 -12.4 -10.3 -1.7 -1.0 -1.8 -0.7 -2.6 -1.0 -5.0 -4.3 -1.5 -5.9 -3.5 -5.4 -13.3 -8.5 -12.9 -11.4 -6.7 -6.4 -4.3 -7.1 -4.7 2.9 -2.1 -1.6 -1.9 -1.3 -1.9 -1.4 -14.4 -6.7 1.1 -4.3 -4.1 -20.0 -20.0 7.7 -14.6 VIX 1.4 -20.0 -20.0 -7.7 -2.0 -8.3 -3.0 -7.6 -5.2 -13.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.7 -20.0 -20.0 NaN -8.9 -2.2 -9.9 -3.1 -9.3 -5.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.3 20.0 19.5 1.0 0.1 -0.5 1.8 -1.1 2.2 0.6 -2.3 2.7 -6.6 2.7 1.7 -8.5 -8.8 -9.7 -9.8 2.5 -0.9 4.1 -3.3 4.7 -3.6 1.1 0.2 -0.3 1.7 -1.0 1.8 -20.0 8.9 -3.4 3.9 0.8 -18.5 -17.2 -10.3 -8.3 End of report for caleb_strategy_v3