******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230808_204326 produced at 2023-08-08 21:38:30.074405 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.50 0.0 0.96 -0.96 -0.48 -0.48 -5.19 10.0 -5 -5 caleb_strategy_v3 US2 False True 0.07 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -5.11 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.36 0.0 0.00 0.00 0.00 0.00 -4.18 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -27.79 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.07 -0.18 0.0 0.39 -0.39 -0.07 -0.10 -25.82 56.0 -10 -14 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -3.74 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.22 -0.14 0.0 0.54 -0.54 -0.22 -0.22 -4.46 17.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.12 0.0 0.67 -0.67 -0.21 -0.15 -2.30 13.0 -4 -3 caleb_strategy_v3 US5 False False 0.04 -0.19 -0.10 0.0 0.96 -0.96 -0.19 -0.19 -2.52 25.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.09 0.0 0.07 -0.07 -0.06 -0.06 -34.29 26.0 -25 -25 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.08 0.0 0.87 -0.87 -0.23 -0.23 -1.76 19.0 -5 -5 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.08 0.0 0.78 -0.78 -0.03 -0.08 -3.15 29.0 -1 -3 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.68 -0.68 0.00 0.00 -1.28 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.05 0.0 0.69 -0.69 -0.05 -0.10 -0.92 14.0 -1 -2 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -0.92 8.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.45 -0.45 0.00 0.00 -1.85 19.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 -0.04 -0.63 2.0 0 -1 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.03 0.0 0.20 -0.20 0.00 0.00 -0.74 6.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.07 -0.07 0.00 0.00 -2.33 5.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.03 0.0 0.00 -0.00 0.00 0.00 -1.22 0.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.19 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.08 -0.02 0.0 0.39 -0.39 -0.08 -0.10 -2.94 48.0 -10 -12 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.25 -0.25 -0.01 -0.01 -1.85 23.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 -0.21 -0.02 0.0 0.54 -0.54 -0.21 -0.21 -0.55 13.0 -5 -5 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -0.38 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.02 0.0 0.28 -0.28 0.00 0.00 -0.40 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.08 -0.02 0.0 0.16 -0.16 -0.08 -0.08 -1.17 10.0 -5 -5 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.31 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.75 9.0 -1 -1 caleb_strategy_v3 BITCOIN False False 0.00 -0.00 -0.01 0.0 0.06 -0.06 -0.00 -0.00 -13.45 59.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.02 -0.01 0.0 0.46 -0.46 0.02 0.00 -0.42 21.0 1 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.36 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.73 12.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.10 -0.01 0.0 0.36 -0.36 -0.10 -0.11 -2.13 58.0 -16 -17 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.47 8.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.11 -0.00 0.0 0.21 -0.21 -0.11 -0.11 -0.05 4.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.34 18.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.00 0.0 0.31 -0.31 0.00 0.00 0.25 26.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.29 11.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.19 0.01 0.0 0.19 -0.19 0.19 0.19 0.14 2.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.43 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.00 0.60 9.0 1 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.05 0.54 7.0 2 2 caleb_strategy_v3 SMI False False 0.05 0.37 0.01 0.0 0.41 -0.41 0.37 0.37 0.30 9.0 8 8 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 3.06 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.42 -0.42 0.00 0.00 1.72 66.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.21 -0.21 0.02 0.02 2.17 23.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.02 0.02 0.0 0.34 -0.34 0.02 0.02 1.20 20.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.53 -0.53 0.05 0.05 0.41 10.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.76 12.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.63 -0.63 0.06 0.06 1.07 22.0 2 2 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.22 -0.22 0.00 0.00 6.00 51.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.77 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 4.42 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.27 0.07 0.0 0.46 -0.46 0.27 0.32 1.51 10.0 6 7 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.50 -0.50 0.00 0.00 1.60 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.09 0.0 0.15 -0.15 0.06 0.09 3.13 5.0 2 3 caleb_strategy_v3 GASOIL False False 0.03 0.10 0.10 0.0 0.13 -0.13 0.10 0.13 3.16 4.0 3 4 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.10 0.0 0.44 -0.44 0.10 0.10 3.90 17.0 4 4 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.11 0.0 0.15 -0.15 0.15 0.15 2.88 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.11 0.0 0.14 -0.14 0.00 0.00 2.53 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.10 0.13 0.0 0.16 -0.16 0.10 0.11 10.46 13.0 8 9 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.37 0.0 0.29 -0.29 0.28 0.29 45.68 36.0 35 36 caleb_strategy_v3 MXP False False 0.01 0.63 0.64 0.0 0.63 -0.63 0.63 0.63 61.07 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.55 0.90 0.0 0.59 -0.59 0.55 0.59 24.43 16.0 15 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.5 Shocked risk 61.0 Sum abs risk 60.2 Leverage 5.49 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 0.0050 0.6548 0.7657 12.2505 BITCOIN 700.6414 30140.0000 2.3246 37.1940 BOBL 0.2772 116.1600 0.2387 3.8188 BTP 0.6791 115.8200 0.5864 9.3820 BUND 0.5944 133.1300 0.4465 7.1441 BUXL 1.4056 134.3000 1.0466 16.7455 CAC 62.7276 7298.0000 0.8595 13.7523 CAD 0.0032 0.7456 0.4225 6.7606 CANOLA 9.4880 794.5000 1.1942 19.1074 CHF 0.0056 1.1471 0.4871 7.7943 COCOA 45.2341 3366.0000 1.3439 21.5017 COFFEE 2.8330 160.9000 1.7608 28.1720 COPPER 0.0498 3.7760 1.3176 21.0808 CORN 10.8991 499.2500 2.1831 34.9294 COTTON2 1.3411 86.1800 1.5562 24.8992 CRUDE_W 1.0515 81.4000 1.2918 20.6692 DAX 126.1944 15898.0000 0.7938 12.7004 DOW 202.0829 35376.0000 0.5712 9.1399 EUR 0.0054 1.0980 0.4914 7.8619 EURIBOR-ICE 0.0576 97.1300 0.0593 0.9484 EUROSTX 42.7597 4324.0000 0.9889 15.8223 FEEDCOW 1.5821 251.9250 0.6280 10.0479 GASOIL 11.9947 884.7500 1.3557 21.6914 GASOLINE 0.0379 2.5081 1.5125 24.1994 GAS_US_mini 0.0875 2.8650 3.0528 48.8442 GBP 0.0071 1.2748 0.5596 8.9542 GOLD_micro 11.9081 1940.5000 0.6137 9.8186 HEATOIL 0.0342 2.9996 1.1390 18.2246 JGB-SGX-mini 0.2965 146.8400 0.2019 3.2309 JPY 0.0000 0.0070 0.6804 10.8865 LEANHOG 1.2380 84.5750 1.4638 23.4204 LIVECOW 1.1304 181.0250 0.6245 9.9913 LUMBER-new 9.9251 508.5000 1.9518 31.2293 MILK 0.3162 18.2600 1.7317 27.7065 MXP 0.0005 0.0580 0.7891 12.6250 NASDAQ_micro 130.3347 15326.0000 0.8504 13.6066 NIKKEI 307.7460 32295.0000 0.9529 15.2467 NZD 0.0046 0.6063 0.7596 12.1543 OAT 0.6076 127.6800 0.4759 7.6144 OATIES 7.3220 433.0000 1.6910 27.0557 OJ 4.1680 283.6500 1.4694 23.5109 PALLAD 21.7062 1222.5000 1.7756 28.4089 PLAT 13.9909 905.2000 1.5456 24.7298 REDWHEAT 17.1975 781.2500 2.2013 35.2204 RICE 0.1621 16.0750 1.0085 16.1353 ROBUSTA 38.2960 2558.0000 1.4971 23.9537 RUSSELL 17.3909 1954.1000 0.8900 14.2395 SHATZ 0.0881 105.2250 0.0837 1.3389 SILVER-mini 0.3739 23.1875 1.6125 25.7997 SMI 78.7380 11095.0000 0.7097 11.3547 SOFR 0.0810 96.6150 0.0838 1.3414 SOYBEAN 18.7973 1305.2500 1.4401 23.0421 SOYMEAL 5.9726 393.8000 1.5166 24.2664 SOYOIL 1.0175 59.7300 1.7036 27.2569 SP400 19.8034 2690.0000 0.7362 11.7790 SP500_micro 26.9081 4513.2500 0.5962 9.5392 SUGAR11 0.3123 23.7200 1.3166 21.0649 US10 0.4718 111.4375 0.4234 6.7743 US10U 0.6479 116.3906 0.5566 8.9060 US2 0.1111 101.7266 0.1092 1.7479 US20 0.9193 122.4688 0.7507 12.0106 US30 1.3605 128.3750 1.0598 16.9571 US5 0.3013 107.1172 0.2813 4.5011 VIX 0.4998 18.5500 2.6942 43.1072 WHEAT 17.4638 680.0000 2.5682 41.0913 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.85 0.77 501.39 1.00 501.39 46875.0 93.49 -6.08 -56.81 BITCOIN 30.14 2.32 70.06 1.00 70.06 46875.0 669.03 -1.67 -111.88 BOBL 1161.60 0.24 277.24 1.10 304.45 46875.0 153.96 -12.31 -189.50 BTP 1158.20 0.59 679.14 1.10 745.80 46875.0 62.85 7.68 48.29 BUND 1331.30 0.45 594.43 1.10 652.78 46875.0 71.81 6.13 44.02 BUXL 1343.00 1.05 1405.58 1.10 1543.53 46875.0 30.37 -1.73 -5.27 CAC 729.80 0.86 627.28 1.10 688.84 46875.0 68.05 3.41 23.20 CAD 745.55 0.42 315.02 1.00 315.02 46875.0 148.80 -6.52 -97.02 CANOLA 158.90 1.19 189.76 0.75 141.83 46875.0 330.49 8.67 286.63 CHF 1433.94 0.49 698.53 1.00 698.53 46875.0 67.10 -10.54 -70.71 COCOA 336.60 1.34 452.34 1.00 452.34 46875.0 103.63 1.33 13.78 COFFEE 603.38 1.76 1062.39 1.00 1062.39 46875.0 44.12 -8.11 -35.78 COPPER 944.00 1.32 1243.77 1.00 1243.77 46875.0 37.69 -1.64 -6.19 CORN 249.62 2.18 544.95 1.00 544.95 46875.0 86.02 -4.04 -34.72 COTTON2 430.90 1.56 670.57 1.00 670.57 46875.0 69.90 2.25 15.73 CRUDE_W 814.00 1.29 1051.54 1.00 1051.54 46875.0 44.58 5.74 25.57 DAX 158.98 0.79 126.19 1.10 138.58 46875.0 338.25 -1.93 -65.23 DOW 176.88 0.57 101.04 1.00 101.04 46875.0 463.92 1.66 76.81 EUR 1372.56 0.49 674.43 1.00 674.43 46875.0 69.50 -4.06 -28.25 EURIBOR-ICE 2428.25 0.06 143.94 1.10 158.07 46875.0 296.55 -5.61 -166.35 EUROSTX 432.40 0.99 427.60 1.10 469.57 46875.0 99.83 3.67 36.59 FEEDCOW 1259.62 0.63 791.03 1.00 791.03 46875.0 59.26 -4.54 -26.92 GASOIL 884.75 1.36 1199.47 1.00 1199.47 46875.0 39.08 16.49 64.45 GASOLINE 1053.40 1.51 1593.23 1.00 1593.23 46875.0 29.42 20.00 58.84 GAS_US_mini 71.63 3.05 218.65 1.00 218.65 46875.0 214.38 -13.06 -279.96 GBP 796.75 0.56 445.89 1.00 445.89 46875.0 105.13 3.13 32.90 GOLD_micro 194.05 0.61 119.08 1.00 119.08 46875.0 393.64 -17.32 -681.78 HEATOIL 1259.83 1.14 1435.00 1.00 1435.00 46875.0 32.67 15.80 51.60 JGB-SGX-mini 146840.00 0.20 29651.40 0.01 208.47 46875.0 224.85 8.31 186.94 JPY 877.19 0.68 596.84 1.00 596.84 46875.0 78.54 -17.49 -137.34 LEANHOG 338.30 1.46 495.20 1.00 495.20 46875.0 94.66 17.68 167.40 LIVECOW 724.10 0.62 452.17 1.00 452.17 46875.0 103.67 11.03 114.33 LUMBER-new 139.84 1.95 272.94 1.00 272.94 46875.0 171.74 -13.80 -237.03 MILK 365.20 1.73 632.40 1.00 632.40 46875.0 74.12 -17.05 -126.39 MXP 290.15 0.79 228.95 1.00 228.95 46875.0 204.74 18.13 371.26 NASDAQ_micro 306.52 0.85 260.67 1.00 260.67 46875.0 179.83 -4.61 -82.96 NIKKEI 32295.00 0.95 30774.60 0.01 216.37 46875.0 216.65 16.14 349.56 NZD 606.35 0.76 460.61 1.00 460.61 46875.0 101.77 -1.27 -12.92 OAT 1276.80 0.48 607.63 1.10 667.26 46875.0 70.25 7.32 51.43 OATIES 216.50 1.69 366.10 1.00 366.10 46875.0 128.04 -8.18 -104.72 OJ 425.48 1.47 625.21 1.00 625.21 46875.0 74.98 20.00 149.95 PALLAD 1222.50 1.78 2170.62 1.00 2170.62 46875.0 21.60 -7.74 -16.72 PLAT 452.60 1.55 699.54 1.00 699.54 46875.0 67.01 -4.59 -30.76 REDWHEAT 390.62 2.20 859.87 1.00 859.87 46875.0 54.51 -7.53 -41.04 RICE 321.50 1.01 324.22 1.00 324.22 46875.0 144.58 14.60 211.14 ROBUSTA 255.80 1.50 382.96 1.00 382.96 46875.0 122.40 17.67 216.23 RUSSELL 97.70 0.89 86.95 1.00 86.95 46875.0 539.08 1.78 96.05 SHATZ 1052.25 0.08 88.05 1.10 96.70 46875.0 484.77 -8.32 -403.18 SILVER-mini 579.69 1.61 934.73 1.00 934.73 46875.0 50.15 -6.42 -32.19 SMI 1109.50 0.71 787.38 1.14 898.91 46875.0 52.15 1.75 9.12 SOFR 2415.38 0.08 202.50 1.00 202.50 46875.0 231.48 -3.11 -71.99 SOYBEAN 652.62 1.44 939.86 1.00 939.86 46875.0 49.87 13.50 67.32 SOYMEAL 393.80 1.52 597.26 1.00 597.26 46875.0 78.48 9.52 74.75 SOYOIL 358.38 1.70 610.52 1.00 610.52 46875.0 76.78 7.02 53.89 SP400 2690.00 0.74 1980.34 1.00 1980.34 46875.0 23.67 1.88 4.44 SP500_micro 225.66 0.60 134.54 1.00 134.54 46875.0 348.41 -3.78 -131.81 SUGAR11 265.66 1.32 349.76 1.00 349.76 46875.0 134.02 1.38 18.51 US10 1114.38 0.42 471.82 1.00 471.82 46875.0 99.35 -10.68 -106.12 US10U 1163.91 0.56 647.86 1.00 647.86 46875.0 72.35 -6.32 -45.70 US2 2034.53 0.11 222.25 1.00 222.25 46875.0 210.91 -20.00 -421.81 US20 1224.69 0.75 919.33 1.00 919.33 46875.0 50.99 -6.18 -31.53 US30 1283.75 1.06 1360.54 1.00 1360.54 46875.0 34.45 -9.68 -33.34 US5 1071.17 0.28 301.34 1.00 301.34 46875.0 155.55 -13.38 -208.20 VIX 185.50 2.69 499.77 1.00 499.77 46875.0 93.79 -20.00 -187.58 WHEAT 340.00 2.57 873.19 1.00 873.19 46875.0 53.68 -12.28 -65.93 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -56.813 0.013 2.5 -1.847 BITCOIN -111.884 0.048 2.5 -13.454 BOBL -189.499 0.004 2.5 -1.757 BTP 48.293 0.012 2.5 1.506 BUND 44.015 0.004 2.5 0.408 BUXL -5.266 0.004 2.5 -0.049 CAC 23.197 0.013 2.5 0.758 CAD -97.023 0.013 2.5 -3.154 CANOLA 286.631 0.008 2.5 6.005 CHF -70.709 0.013 2.5 -2.298 COCOA 13.784 0.007 2.5 0.254 COFFEE -35.784 0.004 2.5 -0.360 COPPER -6.192 0.048 2.5 -0.745 CORN -34.725 0.008 2.5 -0.727 COTTON2 15.726 0.007 2.5 0.290 CRUDE_W 25.567 0.049 2.5 3.131 DAX -65.227 0.013 2.5 -2.131 DOW 76.812 0.009 2.5 1.715 EUR -28.250 0.013 2.5 -0.918 EURIBOR-ICE -166.354 0.012 2.5 -5.189 EUROSTX 36.590 0.013 2.5 1.195 FEEDCOW -26.917 0.014 2.5 -0.917 GASOIL 64.450 0.020 2.5 3.160 GASOLINE 58.843 0.020 2.5 2.885 GAS_US_mini -279.956 0.049 2.5 -34.286 GBP 32.896 0.013 2.5 1.069 GOLD_micro -681.782 0.015 2.5 -25.824 HEATOIL 51.599 0.020 2.5 2.530 JGB-SGX-mini 186.937 0.052 2.5 24.428 JPY -137.337 0.013 2.5 -4.464 LEANHOG 167.398 0.025 2.5 10.464 LIVECOW 114.331 0.014 2.5 3.897 LUMBER-new -237.026 0.007 2.5 -4.305 MILK -126.392 0.007 2.5 -2.332 MXP 371.264 0.066 2.5 61.073 NASDAQ_micro -82.963 0.009 2.5 -1.853 NIKKEI 349.560 0.052 2.5 45.678 NZD -12.918 0.013 2.5 -0.420 OAT 51.434 0.012 2.5 1.604 OATIES -104.717 0.008 2.5 -2.194 OJ 149.951 0.007 2.5 2.766 PALLAD -16.718 0.015 2.5 -0.633 PLAT -30.759 0.015 2.5 -1.165 REDWHEAT -41.038 0.005 2.5 -0.469 RICE 211.143 0.008 2.5 4.423 ROBUSTA 216.233 0.004 2.5 2.175 RUSSELL 96.048 0.013 2.5 3.058 SHATZ -403.182 0.004 2.5 -3.739 SILVER-mini -32.191 0.015 2.5 -1.219 SMI 9.120 0.013 2.5 0.298 SOFR -71.987 0.023 2.5 -4.179 SOYBEAN 67.317 0.003 2.5 0.539 SOYMEAL 74.750 0.003 2.5 0.599 SOYOIL 53.891 0.003 2.5 0.432 SP400 4.444 0.013 2.5 0.142 SP500_micro -131.810 0.009 2.5 -2.943 SUGAR11 18.508 0.007 2.5 0.339 US10 -106.116 0.005 2.5 -1.284 US10U -45.702 0.005 2.5 -0.553 US2 -421.815 0.005 2.5 -5.106 US20 -31.525 0.005 2.5 -0.382 US30 -33.341 0.005 2.5 -0.404 US5 -208.198 0.005 2.5 -2.520 VIX -187.585 0.059 2.5 -27.794 WHEAT -65.928 0.005 2.5 -0.753 ===================== Position diags ===================== AUD 3.04 BITCOIN 80.45 BOBL 1.43 BTP 1.96 BUND 0.67 BUXL 0.28 CAC 2.22 CAD 4.84 CANOLA 6.92 CHF 2.18 COCOA 1.91 COFFEE 0.44 COPPER 4.53 CORN 1.80 COTTON2 1.29 CRUDE_W 5.46 DAX 11.05 DOW 10.36 EUR 2.26 EURIBOR-ICE 9.25 EUROSTX 3.26 FEEDCOW 2.02 GASOIL 1.92 GASOLINE 1.44 GAS_US_mini 26.26 GBP 3.42 GOLD_micro 14.91 HEATOIL 1.60 JGB-SGX-mini 29.38 JPY 2.55 LEANHOG 5.92 LIVECOW 3.53 LUMBER-new 3.12 MILK 1.37 MXP 33.68 NASDAQ_micro 4.02 NIKKEI 28.31 NZD 3.31 OAT 2.19 OATIES 2.68 OJ 1.38 PALLAD 0.82 PLAT 2.54 REDWHEAT 0.62 RICE 3.03 ROBUSTA 1.23 RUSSELL 17.16 SHATZ 4.50 SILVER-mini 1.90 SMI 1.70 SOFR 13.44 SOYBEAN 0.40 SOYMEAL 0.63 SOYOIL 0.62 SP400 0.75 SP500_micro 7.78 SUGAR11 2.46 US10 1.20 US10U 0.88 US2 2.55 US20 0.62 US30 0.42 US5 1.88 VIX 13.90 WHEAT 0.61 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.8 -2.2 -1.5 NaN 0 BITCOIN -13.5 -21.5 -5.4 -3.0 -3 BOBL -1.8 -1.9 -1.6 -5.0 -5 BTP 1.5 1.3 1.7 6.0 6 BUND 0.4 0.3 0.5 1.0 1 BUXL -0.0 -0.1 -0.0 -2.0 -2 CAC 0.8 0.5 1.0 NaN 0 CAD -3.2 -3.6 -2.7 -1.0 -1 CANOLA 6.0 5.3 6.7 NaN 0 CHF -2.3 -2.5 -2.1 -4.0 -4 COCOA 0.3 0.1 0.4 0.0 0 COFFEE -0.4 -0.4 -0.3 NaN 0 COPPER -0.7 -1.2 -0.3 0.0 0 CORN -0.7 -0.9 -0.5 0.0 0 COTTON2 0.3 0.2 0.4 0.0 0 CRUDE_W 3.1 2.6 3.7 2.0 2 DAX -2.1 -3.2 -1.0 -16.0 -16 DOW 1.7 0.7 2.8 NaN 0 EUR -0.9 -1.1 -0.7 -1.0 -1 EURIBOR-ICE -5.2 -6.1 -4.3 -5.0 -5 EUROSTX 1.2 0.9 1.5 1.0 1 FEEDCOW -0.9 -1.1 -0.7 0.0 0 GASOIL 3.2 3.0 3.4 3.0 3 GASOLINE 2.9 2.7 3.0 4.0 4 GAS_US_mini -34.3 -36.9 -31.7 -25.0 -25 GBP 1.1 0.7 1.4 2.0 2 GOLD_micro -25.8 -27.3 -24.3 -10.0 -10 HEATOIL 2.5 2.4 2.7 0.0 0 JGB-SGX-mini 24.4 21.5 27.4 15.0 15 JPY -4.5 -4.7 -4.2 -7.0 -7 LEANHOG 10.5 9.9 11.1 8.0 8 LIVECOW 3.9 3.5 4.3 4.0 4 LUMBER-new -4.3 -4.6 -4.0 NaN 0 MILK -2.3 -2.5 -2.2 NaN 0 MXP 61.1 57.7 64.4 60.0 60 NASDAQ_micro -1.9 -2.3 -1.5 -1.0 -1 NIKKEI 45.7 42.8 48.5 35.0 35 NZD -0.4 -0.8 -0.1 1.0 1 OAT 1.6 1.4 1.8 NaN 0 OATIES -2.2 -2.5 -1.9 NaN 0 OJ 2.8 2.6 2.9 NaN 0 PALLAD -0.6 -0.7 -0.6 NaN 0 PLAT -1.2 -1.4 -0.9 -5.0 -5 REDWHEAT -0.5 -0.5 -0.4 -1.0 -1 RICE 4.4 4.1 4.7 NaN 0 ROBUSTA 2.2 2.1 2.3 2.0 2 RUSSELL 3.1 1.3 4.8 0.0 0 SHATZ -3.7 -4.2 -3.3 NaN 0 SILVER-mini -1.2 -1.4 -1.0 NaN 0 SMI 0.3 0.1 0.5 8.0 8 SOFR -4.2 -5.5 -2.8 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.5 0.7 1.0 1 SOYOIL 0.4 0.4 0.5 0.0 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro -2.9 -3.7 -2.2 -10.0 -10 SUGAR11 0.3 0.1 0.6 0.0 0 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.6 -0.6 -0.5 -5.0 -5 US2 -5.1 -5.4 -4.9 NaN 0 US20 -0.4 -0.4 -0.3 NaN 0 US30 -0.4 -0.4 -0.4 NaN 0 US5 -2.5 -2.7 -2.3 -5.0 -5 VIX -27.8 -29.2 -26.4 -17.0 -17 WHEAT -0.8 -0.8 -0.7 -1.0 -1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 1.8 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 -0.3 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.2 -0.4 -0.2 -0.0 -0.3 0.0 0.1 BITCOIN -0.3 0.1 0.1 0.0 -0.2 0.1 -0.1 0.1 -0.0 0.1 0.4 -0.1 -0.0 0.1 0.1 -0.5 -0.2 -0.4 -0.3 0.0 0.1 -0.0 0.2 -0.0 -1.1 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.2 0.7 -0.3 0.2 -0.1 -0.1 0.3 -0.1 0.3 BOBL 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 -1.2 -0.4 -1.2 -0.8 -0.0 -0.0 0.0 -0.2 0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 -2.2 0.1 0.2 0.0 0.0 -0.3 -0.3 -0.3 -0.2 BTP 0.0 -0.1 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 0.3 0.5 0.3 0.4 0.0 0.0 -0.0 -0.0 -0.0 -0.4 0.0 0.0 0.1 -0.0 0.0 -0.0 2.5 -0.1 0.1 0.2 0.4 -0.3 -0.3 -0.1 0.1 BUND 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.4 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 0.1 0.0 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.9 -0.3 -0.1 0.1 0.1 -0.3 -0.3 0.0 0.1 CAC 0.0 -0.1 -0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.0 0.5 0.0 0.1 -0.4 0.0 -0.3 -0.1 0.0 0.1 -0.1 0.3 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.2 -0.0 1.3 0.2 -0.1 0.0 -0.1 0.3 -0.0 0.3 0.0 CAD -0.3 0.0 0.3 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 -0.4 -0.4 -0.5 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA -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 0.1 -0.0 0.9 0.5 0.8 0.1 0.1 -0.0 -0.0 0.1 -1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 1.8 -0.3 0.1 0.5 0.3 -0.2 0.2 0.0 0.3 CHF -0.1 0.3 0.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.3 0.0 0.1 -0.8 -0.8 -0.8 -0.8 0.1 0.1 -0.1 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -2.9 0.1 0.3 0.2 0.1 -0.2 -0.3 -0.2 -0.3 COCOA -0.0 -0.0 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.4 0.1 0.6 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.2 -0.0 0.4 0.1 -0.6 0.1 -0.1 0.2 -0.0 0.2 0.0 -2.2 0.1 0.3 0.5 0.5 -0.3 -0.2 0.2 -0.1 COFFEE 0.3 -0.4 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.3 -0.1 -0.1 0.0 0.2 0.1 0.2 -0.1 -0.1 0.0 -0.2 -0.0 -1.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -1.1 0.4 -0.1 -0.5 -0.0 -0.3 -0.3 -0.1 -0.2 COPPER 0.1 0.1 -0.2 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.5 0.3 0.3 0.1 -0.2 0.0 -0.3 0.1 -0.2 CORN 0.1 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.4 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.8 -0.4 -0.1 -0.1 -0.0 -0.0 0.1 0.0 0.2 COTTON2 0.2 0.2 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.1 0.0 -0.2 0.0 0.1 0.5 0.4 0.4 0.3 0.1 0.0 0.0 -0.0 0.0 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.5 0.1 0.2 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 -0.3 0.2 0.1 0.5 0.5 0.4 0.4 0.2 0.1 0.2 0.1 0.2 -0.4 0.1 0.1 0.1 0.1 0.1 0.1 -1.6 -0.3 -0.4 -0.1 0.1 0.2 0.2 0.2 0.1 DAX 0.0 -0.2 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.1 0.5 0.0 0.0 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.2 0.3 -0.0 0.8 0.0 -0.2 0.1 -0.1 0.2 -0.0 -0.5 -0.0 -0.1 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.3 0.4 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.3 0.1 0.3 0.1 0.1 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.1 0.2 0.1 -0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.8 0.5 0.5 0.5 0.3 -0.1 -0.1 -0.3 -0.0 EUR -0.3 0.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.1 0.1 -0.0 0.6 0.0 -0.0 0.1 -0.0 0.0 -0.0 -1.2 0.2 -0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.1 EURIBOR-ICE 0.4 -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 -0.5 -0.5 -0.6 -0.5 -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 0.1 0.2 0.0 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.0 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.1 0.5 0.0 0.1 -0.3 -0.0 -0.3 -0.2 0.0 0.1 -0.1 0.3 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 1.1 0.2 -0.1 -0.1 -0.1 0.3 0.0 0.3 0.1 FEEDCOW -0.1 0.3 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.4 0.1 0.6 0.2 0.2 -0.8 -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 0.7 -0.0 0.3 0.5 0.0 -0.2 0.2 -0.1 GASOIL 0.5 0.5 0.2 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.0 0.2 -0.1 0.2 0.2 0.9 0.9 0.6 0.7 0.2 0.1 0.2 0.1 0.2 0.7 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.7 0.5 0.5 0.2 -0.1 0.0 -0.2 -0.1 GASOLINE 0.5 0.5 0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.4 0.1 -0.1 0.2 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.0 0.1 0.0 0.1 0.1 3.2 -0.7 -0.2 0.3 0.5 0.2 0.2 0.2 0.0 GAS_US_mini 0.1 0.5 0.4 0.0 0.0 0.0 0.0 0.0 0.1 0.2 -0.4 0.1 -0.5 0.0 0.0 -0.9 -0.8 -0.8 -0.8 -0.0 -0.2 0.1 -0.4 0.0 1.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -3.2 -0.7 -0.5 -0.5 -0.1 0.1 0.2 -0.0 0.0 GBP -0.4 0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.0 0.0 0.0 -0.1 -0.0 -0.0 0.1 0.1 -0.1 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.4 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro 0.1 -0.2 -0.3 0.0 -0.2 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.1 0.2 -0.1 -0.1 -1.0 -0.7 -0.9 -0.8 -0.1 -0.0 -0.2 0.1 -0.1 -0.6 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -2.6 -0.0 0.1 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.2 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.0 0.2 -0.2 0.2 0.2 1.1 1.0 0.7 0.7 0.2 0.2 0.3 0.1 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.7 0.5 0.5 0.5 0.0 0.0 -0.1 -0.0 JGB-SGX-mini -0.4 -0.5 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 0.6 1.2 0.6 0.9 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 3.2 -0.6 -0.4 -0.1 0.2 -0.3 -0.1 0.1 0.1 JPY 0.0 0.1 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 0.1 -0.1 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.1 0.5 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.1 0.1 1.2 0.9 1.2 1.2 0.1 -0.0 0.1 -0.3 0.1 0.8 -0.0 0.0 -0.2 0.0 -0.3 0.0 3.2 0.4 0.1 0.0 -0.3 -0.1 0.0 0.3 0.3 LIVECOW -0.3 0.3 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.4 -0.0 0.6 0.1 0.2 -0.9 0.4 0.3 0.8 0.2 0.2 0.1 0.4 0.1 0.3 0.1 0.0 0.2 0.0 0.2 0.0 1.0 0.7 0.0 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.5 0.0 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 -0.1 -0.1 -0.8 -0.8 -0.7 -0.8 -0.1 -0.1 -0.3 -0.2 -0.2 NaN -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -3.4 -0.3 -0.5 -0.5 0.0 -0.3 -0.3 -0.3 -0.3 MILK 0.5 0.5 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 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 0.2 0.4 -0.4 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.5 -0.3 0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.0 0.4 -0.0 0.5 0.0 0.1 1.0 1.1 1.1 1.1 0.1 0.2 -0.1 0.4 0.0 -1.1 0.0 -0.0 0.2 -0.0 0.3 0.0 3.2 0.4 0.1 0.0 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.5 0.0 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.2 0.0 0.1 -0.6 -0.5 -0.6 -0.6 0.1 0.2 -0.1 0.4 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.9 0.0 0.0 0.4 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.3 -0.2 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.4 -0.0 0.1 0.9 0.7 0.9 0.8 0.1 0.2 -0.1 0.4 -0.0 -0.3 0.0 -0.0 0.2 -0.0 0.2 -0.0 3.2 0.4 -0.3 -0.0 0.5 0.0 0.0 -0.0 0.1 NZD -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -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 -0.0 -0.2 -0.3 -0.2 0.0 -0.2 0.1 0.1 OAT 0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.3 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 2.8 -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 -0.1 0.2 -0.0 -0.2 0.0 0.1 -1.0 -0.1 -0.8 -0.5 0.1 0.1 -0.1 0.1 0.1 -1.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -3.2 -0.5 -0.2 0.5 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.4 0.1 0.6 0.1 0.2 1.2 1.2 1.2 1.2 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 0.5 0.5 0.5 0.3 0.1 0.3 0.2 PALLAD 0.2 -0.3 -0.4 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.4 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.2 0.0 -0.4 -0.3 -0.2 -0.0 0.1 0.0 PLAT 0.1 -0.3 -0.4 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.7 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.4 -0.3 0.0 -0.3 -0.2 0.0 -0.2 0.1 -0.2 REDWHEAT -0.1 0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.0 -0.2 0.2 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.3 -0.7 -0.2 -0.2 0.0 -0.3 -0.2 -0.1 -0.1 RICE 0.5 0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.4 1.2 1.2 1.2 0.1 0.0 0.1 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 3.2 0.3 0.5 -0.1 0.5 -0.1 -0.3 0.0 -0.2 ROBUSTA 0.1 -0.5 0.1 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 1.0 1.2 1.2 0.1 0.1 0.1 0.3 0.1 -0.6 0.0 0.1 0.1 0.0 0.2 0.0 3.1 0.6 0.1 -0.3 0.5 -0.1 -0.3 0.1 -0.1 RUSSELL 0.1 0.5 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.0 -0.0 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.1 -0.0 0.1 0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 0.2 0.5 0.3 -0.1 -0.1 -0.3 -0.1 SHATZ 0.5 -0.1 -0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -1.2 -0.2 -0.8 -0.5 -0.0 -0.1 0.1 -0.3 0.0 0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.0 0.3 0.2 -0.0 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.0 0.0 -0.2 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.1 -0.1 0.1 -0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 0.0 -0.2 0.1 -0.0 0.3 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.6 -0.3 0.1 0.0 -0.1 -0.2 -0.3 -0.0 -0.3 SMI 0.2 -0.3 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.0 0.1 -0.0 -0.0 -0.2 0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 1.6 0.6 0.2 -0.3 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR 0.0 -0.3 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.0 -0.0 -0.3 -0.3 -0.1 -0.0 SOYBEAN -0.2 0.4 0.3 0.0 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0.0 0.1 -0.1 0.4 -0.0 -1.1 0.0 -0.1 0.2 -0.0 0.4 -0.0 1.1 -0.6 -0.1 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 -0.0 -0.2 -0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -1.7 -0.1 -0.0 -0.1 -0.1 -0.3 -0.3 0.2 0.0 US10U -0.1 -0.2 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.2 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US2 0.0 -0.4 -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 -1.2 -1.2 -1.2 -0.1 -0.1 0.0 -0.3 -0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -3.2 0.2 -0.0 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 US20 -0.2 -0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.2 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US30 -0.2 -0.2 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.1 -0.3 -0.2 -0.1 -0.1 -0.2 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.4 -0.7 -0.4 -0.1 -0.1 -0.3 -0.3 0.3 0.3 US5 0.0 -0.2 -0.4 -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 -0.2 -0.0 0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -2.3 0.1 0.0 -0.1 -0.1 -0.3 -0.3 0.1 -0.2 VIX 0.8 -0.1 -0.8 -0.1 0.1 -0.3 0.0 -0.4 -0.0 0.3 -0.6 0.1 -0.8 -0.2 -0.3 -1.8 -1.8 -1.8 -1.8 -0.3 -0.3 0.1 -0.6 -0.1 NaN -0.1 0.1 -0.3 0.0 -0.5 -0.0 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT 0.1 0.3 0.4 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 0.0 -0.0 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 -12.4 -1.9 2.6 2.0 -2.7 2.4 -2.5 1.4 -0.2 -9.5 -5.3 -10.0 -3.7 -7.7 -3.0 -2.7 -2.6 -2.7 -2.8 -3.7 -2.2 -12.0 -3.3 -8.4 2.0 -1.4 -4.8 -0.6 -5.7 -1.2 -3.8 -0.6 -9.0 -7.8 -15.9 -10.0 -2.6 -20.0 3.3 8.7 BITCOIN -10.5 3.8 5.4 1.0 -14.7 3.5 -11.6 3.5 -4.7 11.0 19.8 -17.5 -0.4 7.3 9.6 -8.1 -3.8 -6.7 -5.2 4.7 12.5 -1.9 7.4 -2.9 -20.0 1.7 6.7 5.1 -0.8 4.5 -1.9 -1.3 20.0 -12.4 10.0 -5.4 -5.7 20.0 -4.6 20.0 BOBL 10.3 -3.3 -5.2 -2.0 0.7 -2.1 -0.9 -2.8 -1.5 3.1 -3.2 4.3 -6.6 0.9 -3.7 -20.0 -6.4 -20.0 -14.2 -2.5 -4.8 2.1 -9.0 0.1 9.7 -0.9 2.8 -1.5 1.1 -3.1 0.2 -13.7 3.9 6.0 1.1 1.8 -20.0 -20.0 -20.0 -14.5 BTP 1.1 -2.5 11.1 -3.1 1.1 -3.2 -1.4 -4.3 -2.4 1.4 8.3 1.0 -0.5 0.8 3.3 4.4 8.3 5.5 6.7 1.5 2.8 -2.2 -1.5 -1.0 -6.7 1.0 1.7 2.5 -1.4 0.5 -0.8 16.1 -2.3 4.9 8.2 14.3 -20.0 -20.0 -4.4 5.5 BUND 3.2 -1.8 2.0 -2.2 0.8 -2.2 -1.0 -3.0 -1.7 2.7 -3.9 -1.5 -7.3 -1.8 -3.6 6.0 9.0 6.4 7.2 -2.8 -4.0 -1.7 -8.5 -2.5 5.9 -1.5 2.1 -1.5 -1.0 -3.3 -1.6 16.8 -2.0 2.1 1.9 3.1 -20.0 -20.0 -15.5 -1.9 BUXL -4.1 1.3 3.5 -2.6 0.9 -2.7 -1.2 -3.7 -2.0 -0.7 -8.4 -6.5 -10.0 -6.5 -5.9 0.9 1.2 1.4 1.6 -4.5 -5.6 -6.1 -11.6 -6.3 0.4 -2.2 0.8 -1.6 -3.4 -3.3 -3.5 5.5 -10.0 -5.5 3.8 3.6 -20.0 -20.0 0.8 11.4 CAC 1.7 -5.7 -12.5 3.7 -7.8 5.2 -5.2 4.6 0.1 -12.5 15.8 -5.7 17.5 5.1 7.0 -6.8 0.2 -4.3 -1.8 3.5 9.2 -8.0 16.0 -0.8 -4.4 2.4 -6.6 5.3 -4.8 8.0 -0.6 8.0 4.6 -2.2 1.8 -4.8 19.2 -1.5 20.0 0.9 CAD -11.9 0.0 11.8 3.6 -4.8 4.4 -4.6 2.5 -0.4 -18.0 11.8 -17.4 -7.0 -10.7 7.6 -1.9 -1.9 -2.1 -2.2 1.8 5.6 -20.0 -0.7 -10.3 0.2 0.9 -11.6 3.4 -10.8 0.6 -5.5 0.6 -11.4 -14.7 -18.5 -5.7 -15.7 -20.0 -20.0 -17.0 CANOLA -5.3 20.0 20.0 1.2 -0.8 -0.6 -0.3 -1.7 1.3 -3.7 3.3 -3.4 -5.8 6.0 7.3 -0.3 14.7 8.5 13.1 13.0 6.2 -3.2 -1.7 6.9 -20.0 2.1 -0.7 0.5 -1.0 -1.1 1.1 11.3 -8.5 2.3 20.0 11.2 -15.0 11.7 1.5 20.0 CHF -3.0 10.7 2.9 2.5 -3.4 3.1 -3.2 1.8 -0.3 -9.8 9.6 -6.8 10.8 4.2 6.3 -13.4 -12.9 -13.8 -13.5 9.8 10.5 -4.9 8.3 3.5 -6.3 3.5 -1.8 3.6 -1.2 2.5 1.6 -18.6 3.2 13.2 7.2 2.0 -14.7 -20.0 -16.7 -20.0 COCOA -0.2 -1.3 9.8 2.7 -1.6 -1.2 -0.7 -3.6 2.7 -13.7 20.0 8.4 20.0 15.6 20.0 -0.3 -0.8 -0.3 -0.2 20.0 20.0 -2.6 20.0 16.5 -10.5 7.9 -6.9 9.1 -0.9 7.7 4.2 -13.7 3.4 11.3 20.0 20.0 -19.3 -18.7 12.1 -6.2 COFFEE 12.5 -16.4 -9.9 2.5 -1.5 -1.1 -0.7 -3.3 2.5 -3.0 -5.0 5.9 -9.3 -12.3 -16.1 0.8 3.5 2.4 3.3 -12.8 -13.1 0.0 -10.9 -4.4 -20.0 -2.4 -3.3 -2.0 0.5 -1.6 -0.1 -7.0 11.5 -2.5 -20.0 -0.3 -20.0 -20.0 -9.9 -14.6 COPPER 3.6 5.4 -7.2 0.5 -7.2 1.7 -5.7 1.7 -2.3 -10.9 -3.1 -5.5 -2.7 1.2 -0.4 -3.5 -1.6 -2.9 -2.3 0.4 -1.3 -5.1 -1.9 0.2 -3.6 1.1 -6.1 -0.6 -2.1 -1.2 1.1 2.9 8.2 10.1 5.1 -9.6 2.1 -20.0 7.4 -17.1 CORN 2.5 -8.7 2.8 0.9 -0.5 -0.4 -0.2 -1.2 0.9 -5.5 -3.8 -4.1 -4.6 -4.7 -4.1 -5.7 6.9 -3.0 1.7 -3.1 -2.9 -6.3 -2.4 -4.7 -6.6 -0.1 -1.4 -0.7 -1.8 -1.4 -0.9 -4.8 -11.8 -2.8 -3.5 -0.3 -2.6 10.5 1.0 18.9 COTTON2 9.4 8.9 11.7 1.5 -0.9 -0.7 -0.4 -2.0 1.5 -6.2 4.9 0.8 -8.4 5.9 6.9 8.2 6.9 7.6 5.8 6.4 3.0 2.8 -2.0 5.9 -20.0 3.0 0.8 1.7 1.4 0.6 2.8 -2.9 2.8 7.9 -5.5 10.3 -20.0 -16.2 9.2 8.4 CRUDE_W 20.0 20.0 4.2 6.0 4.2 2.2 6.9 0.6 8.2 20.0 9.3 20.0 -9.7 20.0 16.9 8.1 8.2 6.9 7.0 20.0 11.5 20.0 3.3 20.0 -6.8 7.4 5.2 4.2 7.5 2.5 8.9 -10.1 -9.9 -15.6 -2.1 5.1 14.2 11.8 14.3 5.1 DAX 0.9 -9.3 -5.8 3.5 -7.4 4.9 -5.0 4.4 0.1 -15.8 14.3 -8.6 16.2 1.5 4.9 -8.3 -6.6 -8.3 -7.8 2.0 8.7 -14.5 13.5 -4.3 16.0 0.3 -12.1 3.9 -8.4 6.2 -3.0 -3.5 -1.1 -2.7 -11.6 -5.1 20.0 -0.4 20.0 4.8 DOW 13.5 15.2 9.8 3.8 -8.0 5.3 -5.3 4.7 0.1 -3.0 14.7 10.9 12.4 14.9 17.8 -11.5 -7.2 -10.4 -9.1 20.0 15.5 5.5 9.3 16.7 -10.3 6.4 -0.6 5.4 1.3 3.6 4.8 -4.9 15.5 20.0 20.0 11.3 -5.7 -4.1 -20.0 -3.0 EUR -10.3 5.0 -0.3 2.7 -3.6 3.3 -3.4 1.8 -0.3 -8.4 7.2 -10.7 8.2 -1.5 2.8 -6.2 -6.8 -6.4 -6.5 3.2 5.6 -7.1 3.7 -2.5 12.1 1.8 -2.5 2.8 -3.1 1.7 -0.9 -7.3 6.8 -0.6 -1.9 -8.2 -3.5 -20.0 0.1 4.2 EURIBOR-ICE 15.9 -0.6 1.3 -1.9 0.7 -2.0 -0.9 -2.7 -1.5 4.9 -3.6 4.9 -6.5 3.1 -2.2 -8.7 -7.6 -9.7 -9.2 -1.3 -4.3 2.9 -8.6 1.9 16.8 -0.6 1.4 -1.5 1.2 -3.4 0.7 -11.8 4.4 9.6 1.0 1.9 -20.0 -20.0 20.0 6.1 EUROSTX -1.3 -7.8 -8.3 3.3 -6.9 4.6 -4.7 4.1 0.1 -12.6 15.3 -7.4 16.5 2.2 6.5 -4.7 -0.3 -4.4 -2.6 3.3 8.9 -8.8 13.7 -1.8 4.6 1.5 -8.5 5.1 -6.0 7.9 -1.6 6.8 7.1 -2.9 -5.1 -4.0 20.0 1.7 20.0 7.4 FEEDCOW -3.5 10.7 18.7 2.9 -1.8 -1.3 -0.8 -3.9 3.0 -3.0 20.0 6.9 20.0 19.7 20.0 -13.6 -20.0 -20.0 -20.0 20.0 20.0 8.8 20.0 17.8 5.4 8.7 -1.5 11.9 2.6 11.9 5.3 -20.0 20.0 -1.0 10.1 20.0 2.5 -16.4 15.1 -9.1 GASOIL 20.0 20.0 9.0 5.4 3.7 2.0 6.2 0.5 7.3 18.5 2.3 20.0 -4.5 20.0 18.5 15.3 15.1 10.5 11.3 20.0 15.3 20.0 5.0 20.0 12.9 6.5 4.8 2.5 7.9 0.5 8.8 0.0 20.0 20.0 20.0 10.0 -9.0 3.0 -12.6 -4.4 GASOLINE 20.0 20.0 10.8 5.9 4.1 2.2 6.8 0.6 8.0 8.0 17.4 17.7 -2.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 15.5 20.0 -20.0 7.7 2.5 5.7 4.6 4.6 7.4 20.0 -20.0 -7.8 11.6 19.7 12.4 13.7 14.7 0.6 GAS_US_mini 3.7 18.3 15.8 4.8 3.4 1.8 5.5 0.5 6.5 13.3 -17.1 6.5 -18.6 3.5 4.1 -15.2 -13.1 -13.1 -14.3 -1.7 -19.3 5.4 -20.0 1.8 20.0 2.1 8.1 -1.0 2.9 -3.7 1.7 -20.0 -20.0 -20.0 -20.0 -4.0 5.1 11.7 -2.2 0.8 GBP -16.0 1.1 9.6 2.9 -3.8 3.5 -3.7 2.0 -0.3 -9.2 11.8 -12.5 9.4 -2.7 5.2 0.2 -0.9 -0.0 -0.5 6.6 11.2 -7.4 7.7 -2.1 -0.8 3.3 -2.0 4.7 -3.0 2.3 -0.6 2.8 8.1 -5.8 -3.2 2.8 5.6 11.2 10.7 20.0 GOLD_micro 2.9 -7.9 -10.7 0.8 -12.2 2.9 -9.7 2.9 -4.0 -18.0 -0.1 -15.9 7.5 -7.3 -14.1 -16.6 -12.3 -15.6 -14.1 -7.7 -1.6 -16.2 6.2 -9.9 -11.0 -1.1 -10.9 1.5 -8.6 4.2 -3.8 -16.5 -1.0 4.0 -4.7 -12.7 -20.0 -20.0 -8.7 -20.0 HEATOIL 20.0 20.0 9.5 6.4 4.5 2.4 7.4 0.6 8.7 20.0 1.4 20.0 -6.8 20.0 20.0 18.3 17.0 11.1 11.9 20.0 20.0 20.0 6.4 20.0 -20.0 7.9 4.7 4.0 8.4 2.2 9.9 2.0 20.0 20.0 20.0 20.0 0.8 1.2 -4.6 -0.3 JGB-SGX-mini -15.7 -20.0 2.4 -1.9 0.7 -2.0 -0.9 -2.7 -1.5 -4.2 5.3 -5.7 5.4 -5.9 -2.6 9.5 20.0 10.8 14.5 -3.3 1.8 -8.4 3.4 -7.8 0.6 -1.4 -1.2 0.3 -3.0 0.5 -2.9 20.0 -17.7 -14.0 -2.1 7.6 -20.0 -7.3 4.0 7.3 JPY 0.5 4.3 -15.4 1.8 -2.4 2.2 -2.3 1.2 -0.2 -7.9 -8.0 -7.7 -7.9 -4.6 -7.7 -15.3 -13.4 -15.8 -15.0 -7.8 -9.8 -7.3 -10.8 -6.3 20.0 -2.6 -2.8 -3.1 -2.7 -3.4 -2.2 -20.0 2.3 -4.7 -20.0 -20.0 -12.5 -20.0 -13.3 -20.0 LEANHOG 5.5 20.0 5.6 2.1 -1.3 -1.0 -0.6 -2.9 2.2 3.0 -4.7 4.7 -8.8 12.4 14.3 20.0 14.5 20.0 20.0 8.6 -4.9 4.3 -15.2 9.8 15.9 -0.2 1.2 -7.6 1.4 -11.6 2.7 20.0 13.3 3.7 1.2 -10.4 -4.4 2.5 20.0 20.0 LIVECOW -11.1 10.4 19.4 3.0 -1.8 -1.4 -0.8 -4.0 3.1 -0.0 20.0 -0.3 20.0 14.3 20.0 -14.7 7.1 4.6 13.1 20.0 20.0 6.4 20.0 15.4 6.4 8.4 0.3 10.1 1.7 8.8 4.3 6.4 20.0 1.8 20.0 20.0 -20.0 -20.0 -17.7 -19.4 LUMBER-new -20.0 1.9 2.0 2.5 -1.5 -0.8 -0.7 -2.4 2.5 -12.7 -14.8 -19.2 -17.3 -16.4 -10.4 -12.6 -12.2 -11.6 -12.0 -10.5 -6.5 -20.0 -6.7 -20.0 NaN -3.3 -4.1 -1.5 -7.8 -1.2 -7.0 -20.0 -9.6 -20.0 -20.0 1.2 -20.0 -20.0 -20.0 -20.0 MILK 20.0 20.0 4.7 1.1 -0.7 -0.5 -0.3 -1.4 1.1 4.0 -6.2 4.2 -8.3 3.5 -3.5 -20.0 -20.0 -20.0 -20.0 -2.8 -9.0 5.4 -10.7 3.9 -3.1 -1.4 1.3 -3.3 1.4 -3.5 0.8 -20.0 6.1 14.9 -16.9 -20.0 -20.0 -20.0 -14.5 -20.0 MXP -19.5 -12.4 1.7 3.1 -4.2 3.8 -4.0 2.1 -0.3 -3.5 17.7 -2.6 18.4 3.8 14.5 16.9 17.8 18.1 17.9 14.2 20.0 -6.1 20.0 2.8 -20.0 5.4 -2.9 8.3 -2.7 9.1 1.0 20.0 12.3 3.7 0.4 20.0 20.0 5.8 20.0 20.0 NASDAQ_micro -20.0 1.6 20.0 2.7 -5.5 3.7 -3.7 3.3 0.1 -11.1 13.6 -6.5 8.7 4.3 11.7 -10.8 -7.7 -10.5 -9.4 18.0 20.0 -7.8 18.9 3.9 -20.0 4.5 -3.0 6.5 -1.9 5.5 0.9 -5.6 0.8 0.2 14.5 20.0 -7.0 -10.7 -16.6 -13.3 NIKKEI -13.2 -9.5 19.8 3.5 -7.3 4.9 -4.9 4.4 0.1 -9.2 15.6 -7.8 15.5 -4.7 12.4 15.8 12.1 14.5 13.1 12.7 20.0 -9.2 20.0 -1.2 -5.5 4.5 -3.0 8.1 -2.7 7.3 -0.2 20.0 11.2 -12.1 -0.6 20.0 3.3 2.8 -2.1 8.6 NZD -12.2 2.1 -0.4 1.9 -2.5 2.3 -2.4 1.3 -0.2 -8.7 -3.4 -9.8 0.5 -6.6 -2.9 0.5 0.6 0.5 0.5 -2.3 -1.2 -9.0 -2.0 -5.8 0.3 -0.9 -4.7 -0.2 -4.9 -0.7 -3.0 5.0 -0.4 -6.9 -10.3 -9.8 0.5 -12.5 6.3 7.3 OAT 2.0 -2.0 4.6 -2.3 0.8 -2.4 -1.1 -3.3 -1.8 3.0 -4.3 -1.7 -7.5 -2.0 -2.8 5.7 9.1 6.8 7.9 -2.6 -3.4 -1.8 -7.7 -2.7 7.9 -1.5 2.4 -1.2 -1.1 -3.4 -1.8 17.7 -1.8 2.0 2.3 4.6 -20.0 -20.0 -2.4 2.5 OATIES -5.2 20.0 20.0 1.5 -0.9 -0.7 -0.4 -2.0 1.6 -8.5 8.5 -3.0 -6.2 5.3 9.5 -16.6 -1.3 -13.2 -8.7 15.7 13.5 -5.7 5.3 6.4 -20.0 3.3 -2.7 2.8 -1.5 1.0 1.1 -20.0 -14.3 -6.6 18.2 20.0 2.4 20.0 14.1 20.0 OJ 20.0 18.0 8.6 2.7 -1.7 -1.3 -0.7 -3.7 2.8 -15.9 20.0 10.6 20.0 16.6 19.4 20.0 19.7 20.0 20.0 20.0 20.0 9.1 20.0 20.0 -20.0 7.3 -3.4 8.6 1.1 10.5 5.6 20.0 -2.0 20.0 20.0 20.0 19.1 5.5 20.0 16.5 PALLAD 7.6 -10.6 -17.1 0.5 -6.9 1.7 -5.5 1.7 -2.2 -9.7 -11.9 -9.4 -12.1 -9.4 -11.0 -3.3 -2.6 -3.3 -3.0 -12.8 -18.8 -6.3 -20.0 -7.7 -4.1 -3.8 -3.4 -4.4 -2.7 -4.6 -2.9 1.3 5.3 0.4 -15.0 -12.4 -16.1 -0.7 4.0 2.0 PLAT 2.1 -10.9 -15.0 0.5 -7.3 1.8 -5.8 1.8 -2.4 -10.8 -7.8 -9.8 -0.5 -7.1 -9.4 -3.4 -2.0 -2.9 -2.5 -9.0 -7.0 -12.3 -2.7 -9.2 12.5 -2.5 -6.3 -1.6 -5.2 -0.4 -3.4 2.4 -7.8 0.2 -13.8 -7.5 2.1 -15.7 11.4 -11.5 REDWHEAT -3.3 2.6 5.7 1.1 -0.7 -0.5 -0.3 -1.5 1.1 -6.4 0.4 -7.1 -6.7 -4.5 0.3 -3.9 2.9 -0.5 2.0 -1.2 -0.6 -11.3 -1.4 -5.8 -8.8 -0.2 -3.6 -0.1 -3.9 -0.1 -1.8 -8.2 -20.0 -6.1 -6.8 1.1 -20.0 -17.6 -6.5 -6.5 RICE 19.1 11.9 5.0 2.1 -1.3 -1.0 -0.6 -2.8 2.1 5.7 0.2 11.9 -1.0 12.0 12.2 -6.1 20.0 20.0 20.0 10.8 3.8 9.7 0.2 13.5 -20.0 4.2 0.9 1.7 3.5 0.1 4.8 20.0 9.0 20.0 -2.8 19.8 -8.0 -20.0 3.0 -15.9 ROBUSTA 3.2 -19.6 3.4 1.7 -1.0 -0.8 -0.5 -2.3 1.7 11.2 10.9 11.1 10.7 1.5 6.9 20.0 16.6 20.0 20.0 8.4 14.5 8.9 16.0 6.7 -10.6 3.7 4.1 6.6 3.5 7.2 2.7 19.6 18.7 5.3 -11.1 20.0 -6.1 -19.0 7.7 -10.9 RUSSELL 5.5 18.6 17.8 3.4 -7.1 4.7 -4.7 4.2 0.1 -15.3 6.3 -1.1 -1.0 11.1 14.3 -7.5 -5.2 -6.9 -6.2 17.6 12.8 -2.4 2.5 10.9 -1.9 5.4 -3.3 4.4 -0.8 2.2 3.1 -0.7 11.7 9.5 19.2 11.5 -4.1 -7.4 -20.0 -10.6 SHATZ 19.6 -5.5 -17.6 -2.0 0.7 -2.0 -0.9 -2.8 -1.5 7.0 -5.4 7.6 -7.0 1.1 -4.6 -20.0 -2.9 -13.4 -8.3 -3.8 -8.3 6.1 -12.9 2.2 11.1 -1.0 3.3 -2.4 2.6 -4.0 1.1 -6.3 10.3 9.3 -0.2 -1.7 -20.0 -20.0 -20.0 -20.0 SILVER-mini -1.7 0.2 -8.9 0.5 -7.8 1.9 -6.2 1.9 -2.5 -12.1 3.0 -9.0 4.4 -0.6 -2.7 -6.6 -5.5 -6.6 -6.2 -0.7 1.5 -15.9 2.7 -5.9 6.0 0.7 -9.4 1.6 -6.6 1.3 -2.0 -3.8 -9.1 5.7 1.8 -2.5 -14.3 -20.0 -1.2 -20.0 SMI 6.7 -11.4 -2.2 3.2 -6.7 4.5 -4.5 4.0 0.1 -14.1 6.2 -4.5 4.2 -2.1 -2.6 -3.2 1.6 -2.8 -0.9 -2.9 1.0 -7.6 3.4 -4.0 3.5 -0.3 -2.0 -0.1 0.3 -0.7 0.9 9.9 18.8 6.5 -12.6 -6.8 -7.5 -10.3 -15.8 -15.5 SOFR 0.3 -10.4 -6.5 -2.0 0.7 -2.1 -0.9 -2.9 -1.6 5.0 -2.0 -1.1 -1.9 -1.2 -3.9 -2.4 -0.7 -1.9 -1.3 -4.1 -3.0 -0.5 -2.7 -3.1 -1.4 -1.9 1.8 -1.4 -0.1 -1.0 -1.3 1.1 3.2 1.9 -0.6 -1.2 -20.0 -20.0 -4.4 -1.9 SOYBEAN -6.3 17.9 10.4 1.0 -0.6 -0.5 -0.3 -1.4 1.0 -7.2 3.1 -6.9 -1.4 1.6 4.6 20.0 20.0 17.8 19.4 3.4 2.2 -8.8 -0.1 -1.9 -17.3 1.3 -2.3 0.7 -2.1 0.0 -0.3 20.0 -16.9 -8.8 12.2 6.2 -9.2 13.8 -5.7 20.0 SOYMEAL 1.8 5.0 -18.4 1.1 -0.7 -0.5 -0.3 -1.5 1.1 -7.1 -2.1 -5.0 2.1 -0.9 -0.3 9.9 20.0 18.6 20.0 0.3 -0.2 -5.1 1.7 -1.3 -19.8 1.4 -1.7 1.3 -1.6 1.8 0.2 20.0 -7.7 -4.2 9.3 2.5 -10.2 -17.8 -6.5 -16.0 SOYOIL -1.6 20.0 20.0 1.0 -0.6 -0.5 -0.3 -1.4 1.1 -7.2 3.3 -4.6 -2.1 4.1 6.3 12.1 10.2 10.3 8.9 8.7 5.3 -3.1 0.7 4.0 -20.0 2.1 -1.3 1.3 -0.8 0.2 0.8 2.9 -9.7 -3.2 12.4 13.4 1.1 6.5 13.6 20.0 SP400 0.9 20.0 15.1 3.5 -7.3 4.9 -4.9 4.3 0.1 -13.1 8.9 -4.0 6.9 12.8 15.5 -5.9 -4.6 -5.5 -5.2 19.6 16.0 -3.3 7.9 10.5 -12.1 5.3 -2.6 4.4 -1.1 2.6 2.6 0.7 6.7 3.4 20.0 10.7 -0.3 -8.7 -11.9 -12.2 SP500_micro -10.6 11.8 20.0 4.0 -8.3 5.6 -5.6 5.0 0.1 -12.6 20.0 -4.3 10.9 10.6 18.3 -13.7 -8.6 -12.5 -10.7 20.0 20.0 -9.0 20.0 9.6 -19.9 6.7 -4.0 7.6 -2.4 5.5 2.3 -7.3 -6.0 7.6 20.0 20.0 -4.3 -9.6 -13.4 -14.0 SUGAR11 1.5 -16.9 0.0 2.3 -1.4 -1.1 -0.6 -3.1 2.3 -16.1 11.5 -11.3 13.9 -1.4 0.4 -1.9 13.8 1.4 7.6 0.7 14.3 -11.6 20.0 -5.6 -20.0 0.6 -7.3 7.8 -5.3 13.8 -2.8 6.7 -17.4 -5.8 -20.0 20.0 -16.7 -17.8 11.0 -5.6 US10 -0.2 -9.1 -10.6 -2.0 0.7 -2.0 -0.9 -2.8 -1.5 1.5 -4.9 -3.1 -6.3 -4.3 -6.1 -8.5 -6.6 -8.9 -8.5 -6.6 -6.2 -2.8 -6.8 -5.2 0.7 -2.4 0.6 -2.1 -1.0 -1.9 -1.9 -10.5 -1.6 -2.0 -2.5 -4.8 -20.0 -20.0 15.1 2.1 US10U -3.0 -8.2 -7.5 -2.6 0.9 -2.7 -1.2 -3.7 -2.0 -1.4 -6.4 -5.5 -8.0 -6.4 -8.2 -4.0 -1.0 -2.5 -2.1 -8.5 -7.4 -7.1 -8.4 -8.6 -3.7 -3.3 -0.6 -2.6 -2.8 -2.2 -3.3 0.1 -9.3 -6.8 -3.0 -5.9 -20.0 -20.0 20.0 19.5 US2 1.8 -17.4 -20.0 -2.0 0.7 -2.0 -0.9 -2.7 -1.5 6.7 -6.8 -2.9 -7.1 -5.2 -7.4 -20.0 -20.0 -20.0 -20.0 -11.5 -13.5 1.1 -14.2 -5.1 7.5 -2.4 1.5 -2.8 0.5 -3.0 -1.0 -20.0 7.2 -0.0 -6.5 -11.0 -20.0 -20.0 -20.0 -17.1 US20 -6.3 -8.2 -6.7 -2.1 0.7 -2.1 -0.9 -2.9 -1.6 -3.1 -4.7 -5.4 -5.0 -5.6 -6.6 -1.8 -1.4 -1.7 -1.8 -7.2 -5.6 -9.0 -6.2 -8.8 -3.6 -2.6 -1.7 -1.8 -3.4 -1.6 -3.2 -0.1 -15.1 -9.7 -3.2 -4.4 -20.0 -20.0 20.0 20.0 US30 -7.7 -6.6 -3.9 -2.5 0.9 -2.5 -1.1 -3.5 -1.9 -5.2 -7.1 -7.5 -6.8 -7.5 -8.4 -9.2 -2.5 -5.9 -3.9 -8.4 -6.6 -12.4 -8.4 -11.0 -3.3 -3.1 -3.0 -2.1 -4.8 -1.8 -4.1 -2.4 -20.0 -14.6 -4.1 -4.3 -20.0 -20.0 20.0 20.0 US5 2.0 -9.3 -14.5 -2.0 0.7 -2.0 -0.9 -2.7 -1.5 5.7 -5.1 -2.2 -6.3 -3.1 -6.0 -13.1 -8.8 -12.9 -11.6 -6.5 -7.0 -0.2 -7.8 -3.6 3.0 -2.2 1.5 -2.2 0.1 -2.3 -1.1 -14.8 3.9 1.1 -2.1 -5.1 -20.0 -20.0 6.2 -15.6 VIX 20.0 -3.1 -20.0 -6.6 3.7 -8.9 2.4 -8.8 -1.8 16.1 -20.0 10.9 -20.0 -12.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 7.6 -20.0 -8.1 NaN -7.6 4.3 -10.6 2.8 -10.9 -1.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 4.5 10.4 16.9 0.9 -0.5 -0.4 -0.2 -1.2 0.9 -3.3 -2.8 -4.3 -6.4 -3.1 -0.7 -9.2 -8.9 -9.8 -9.8 -0.3 -1.6 -4.3 -3.5 -2.0 -3.4 0.4 -0.6 -0.4 -1.1 -1.1 -0.2 -20.0 -11.2 0.5 -1.0 0.5 -18.4 -16.0 -11.2 -8.1 End of report for caleb_strategy_v3