******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230810_204324 produced at 2023-08-10 21:38:44.919906 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.52 0.0 0.95 -0.95 -0.38 -0.47 -5.50 10.0 -4 -5 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.42 0.0 0.00 0.00 0.00 0.00 -4.91 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -5.27 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.20 0.0 0.38 -0.38 -0.14 -0.16 -29.34 56.0 -21 -23 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -28.86 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -4.01 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.22 -0.15 0.0 0.52 -0.52 -0.22 -0.22 -4.87 17.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.20 -0.13 0.0 0.66 -0.66 -0.20 -0.20 -2.49 13.0 -4 -4 caleb_strategy_v3 US5 False False 0.04 -0.23 -0.10 0.0 0.95 -0.95 -0.23 -0.23 -2.67 25.0 -6 -6 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.08 0.0 0.86 -0.86 -0.23 -0.23 -1.83 19.0 -5 -5 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.08 0.0 0.77 -0.77 -0.03 -0.03 -3.15 29.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.07 -0.07 -0.06 -0.06 -28.25 26.0 -25 -25 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.44 -0.44 0.00 0.00 -1.95 19.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.67 -0.67 0.00 0.00 -1.33 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.04 0.0 0.20 -0.20 -0.03 -0.03 -1.14 6.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.13 -0.03 0.0 0.38 -0.38 -0.13 -0.13 -4.02 48.0 -16 -16 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.03 0.0 0.68 -0.68 -0.05 -0.05 -0.70 14.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.03 0.0 0.36 -0.36 0.00 0.00 -0.76 8.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.40 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 -1.46 0.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.08 -0.02 0.0 0.16 -0.16 -0.08 -0.08 -1.08 10.0 -5 -5 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.35 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.05 2.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.16 -0.02 0.0 0.53 -0.53 -0.16 -0.16 -0.59 13.0 -4 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.25 -0.25 -0.01 -0.01 -2.28 23.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -0.37 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.41 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.02 0.0 0.01 -0.01 0.00 0.00 -4.65 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.11 -0.02 0.0 0.36 -0.36 -0.11 -0.11 -2.77 58.0 -17 -17 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.82 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 -8.10 59.0 -3 -3 caleb_strategy_v3 COCOA False False 0.01 -0.01 -0.01 0.0 0.31 -0.31 -0.01 -0.01 -0.43 26.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.44 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 -0.92 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.53 8.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.02 -0.01 0.0 0.45 -0.45 0.02 0.02 -0.60 21.0 1 1 caleb_strategy_v3 BUXL False False 0.05 -0.10 -0.00 0.0 0.21 -0.21 -0.10 -0.10 -0.04 4.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 0.19 0.00 0.0 0.19 -0.19 0.19 0.19 0.05 2.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.23 -0.23 0.00 0.00 0.23 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.41 -0.41 0.00 0.00 1.20 66.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.59 18.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.48 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.59 9.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.42 11.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.05 0.55 7.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.21 -0.21 0.01 0.01 2.27 23.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.02 0.02 0.0 0.34 -0.34 0.02 0.02 1.30 20.0 1 1 caleb_strategy_v3 SMI False False 0.05 0.36 0.02 0.0 0.41 -0.41 0.36 0.36 0.35 9.0 8 8 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.52 -0.52 0.05 0.05 0.39 10.0 1 1 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.02 0.0 0.21 -0.21 0.00 0.00 4.39 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.62 -0.62 0.06 0.06 1.03 22.0 2 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.13 12.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.94 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.06 0.0 0.05 -0.05 0.00 0.00 4.93 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.32 0.08 0.0 0.45 -0.45 0.32 0.32 1.67 10.0 7 7 caleb_strategy_v3 OAT False False 0.05 0.00 0.08 0.0 0.49 -0.49 0.00 0.00 1.55 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.13 0.09 0.0 0.13 -0.13 0.13 0.13 2.84 4.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.09 0.0 0.14 -0.14 0.06 0.06 3.02 5.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.09 0.0 0.15 -0.15 0.09 0.09 8.10 13.0 8 8 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.10 0.0 0.44 -0.44 0.10 0.10 4.01 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 2.82 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.12 0.0 0.14 -0.14 0.00 0.00 2.51 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.39 0.0 0.29 -0.29 0.29 0.29 48.87 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.62 0.68 0.0 0.62 -0.62 0.62 0.62 65.71 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.58 0.96 0.0 0.58 -0.58 0.58 0.58 26.64 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.8 Shocked risk 61.7 Sum abs risk 60.8 Leverage 5.76 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3000000.0, 'annual_cash_vol_target': 750000.0, 'daily_cash_vol_target': 46875.0} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6542 0.7390 11.8240 BITCOIN 689.4524 29500.0000 2.3371 37.3940 BOBL 0.2795 115.6300 0.2417 3.8677 BTP 0.6466 115.5800 0.5594 8.9506 BUND 0.5979 132.0400 0.4528 7.2449 BUXL 1.4132 131.7600 1.0726 17.1610 CAC 63.5002 7418.5000 0.8560 13.6955 CAD 0.0030 0.7455 0.4083 6.5328 CANOLA 9.4223 779.2000 1.2092 19.3477 CHF 0.0054 1.1460 0.4722 7.5551 COCOA 42.5466 3347.0000 1.2712 20.3390 COFFEE 2.7322 159.2000 1.7162 27.4593 COPPER 0.0477 3.7585 1.2689 20.3031 CORN 10.3827 496.2500 2.0922 33.4759 COTTON2 1.2989 87.1900 1.4897 23.8350 CRUDE_W 1.0444 81.4700 1.2820 20.5116 DAX 126.6889 16013.0000 0.7912 12.6586 DOW 195.8140 35335.0000 0.5542 8.8666 EUR 0.0053 1.1010 0.4770 7.6324 EURIBOR-ICE 0.0569 97.0500 0.0586 0.9384 EUROSTX 43.5458 4386.0000 0.9928 15.8854 FEEDCOW 1.5231 253.7000 0.6003 9.6055 GASOIL 13.6606 903.0000 1.5128 24.2048 GASOLINE 0.0389 2.5446 1.5277 24.4424 GAS_US_mini 0.1001 2.8800 3.4744 55.5906 GBP 0.0069 1.2694 0.5468 8.7490 GOLD_micro 11.5778 1928.6000 0.6003 9.6052 HEATOIL 0.0365 3.1035 1.1774 18.8378 JGB-SGX-mini 0.2928 146.7500 0.1995 3.1925 JPY 0.0000 0.0069 0.6737 10.7798 LEANHOG 1.3198 80.3500 1.6425 26.2804 LIVECOW 1.0949 182.5750 0.5997 9.5950 LUMBER-new 9.5891 501.0000 1.9140 30.6238 MILK 0.3078 17.8600 1.7234 27.5745 MXP 0.0004 0.0585 0.7674 12.2778 NASDAQ_micro 126.0988 15233.7500 0.8278 13.2441 NIKKEI 302.2965 32575.0000 0.9280 14.8480 NZD 0.0044 0.6040 0.7360 11.7768 OAT 0.6059 126.6500 0.4784 7.6551 OATIES 7.1427 435.5000 1.6401 26.2417 OJ 3.9267 288.7000 1.3601 21.7620 PALLAD 24.1126 1296.5000 1.8598 29.7571 PLAT 14.3607 913.9000 1.5714 25.1418 REDWHEAT 16.4163 778.5000 2.1087 33.7393 RICE 0.1582 16.2350 0.9743 15.5896 ROBUSTA 36.9120 2535.0000 1.4561 23.2975 RUSSELL 16.9889 1932.6000 0.8791 14.0651 SHATZ 0.0881 105.0750 0.0838 1.3416 SILVER-mini 0.3603 23.2500 1.5497 24.7959 SMI 76.7686 11150.0000 0.6885 11.0161 SOFR 0.0789 96.4950 0.0818 1.3088 SOYBEAN 18.0579 1319.5000 1.3685 21.8967 SOYMEAL 5.7490 394.2000 1.4584 23.3345 SOYOIL 0.9761 60.5000 1.6133 25.8134 SP400 19.2127 2674.0000 0.7185 11.4960 SP500_micro 26.0576 4495.2500 0.5797 9.2747 SUGAR11 0.3071 24.1400 1.2721 20.3536 US10 0.4603 110.8594 0.4152 6.6434 US10U 0.6321 115.7344 0.5462 8.7386 US2 0.1077 101.6172 0.1060 1.6955 US20 0.9026 121.6562 0.7420 11.8714 US30 1.3385 127.4062 1.0506 16.8094 US5 0.2929 106.7344 0.2744 4.3911 VIX 0.4813 18.2500 2.6370 42.1923 WHEAT 16.8505 663.7500 2.5387 40.6188 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.15 0.74 483.42 1.00 483.42 46875.0 96.97 -6.17 -59.87 BITCOIN 29.50 2.34 68.95 1.00 68.95 46875.0 679.89 -0.99 -67.32 BOBL 1156.30 0.24 279.51 1.10 306.85 46875.0 152.76 -12.90 -197.09 BTP 1155.80 0.56 646.57 1.10 709.80 46875.0 66.04 8.13 53.69 BUND 1320.40 0.45 597.89 1.10 656.36 46875.0 71.42 5.93 42.37 BUXL 1317.60 1.07 1413.21 1.10 1551.42 46875.0 30.21 -1.56 -4.72 CAC 741.85 0.86 635.00 1.10 697.11 46875.0 67.24 5.16 34.69 CAD 745.50 0.41 304.39 1.00 304.39 46875.0 154.00 -6.30 -96.97 CANOLA 155.84 1.21 188.45 0.75 140.49 46875.0 333.65 6.29 209.70 CHF 1432.56 0.47 676.45 1.00 676.45 46875.0 69.30 -11.05 -76.59 COCOA 334.70 1.27 425.47 1.00 425.47 46875.0 110.17 -2.12 -23.39 COFFEE 597.00 1.72 1024.58 1.00 1024.58 46875.0 45.75 -9.47 -43.33 COPPER 939.62 1.27 1192.33 1.00 1192.33 46875.0 39.31 -2.42 -9.52 CORN 248.12 2.09 519.14 1.00 519.14 46875.0 90.29 -4.85 -43.80 COTTON2 435.95 1.49 649.43 1.00 649.43 46875.0 72.18 3.18 22.98 CRUDE_W 814.70 1.28 1044.43 1.00 1044.43 46875.0 44.88 5.49 24.63 DAX 160.13 0.79 126.69 1.10 139.08 46875.0 337.04 -2.52 -84.86 DOW 176.68 0.55 97.91 1.00 97.91 46875.0 478.77 1.13 53.89 EUR 1376.19 0.48 656.48 1.00 656.48 46875.0 71.40 -3.02 -21.58 EURIBOR-ICE 2426.25 0.06 142.30 1.10 156.21 46875.0 300.07 -5.88 -176.30 EUROSTX 438.60 0.99 435.46 1.10 478.05 46875.0 98.06 4.06 39.77 FEEDCOW 1268.50 0.60 761.53 1.00 761.53 46875.0 61.55 -3.64 -22.42 GASOIL 903.00 1.51 1366.06 1.00 1366.06 46875.0 34.31 16.89 57.96 GASOLINE 1068.73 1.53 1632.65 1.00 1632.65 46875.0 28.71 20.00 57.42 GAS_US_mini 72.00 3.47 250.16 1.00 250.16 46875.0 187.38 -12.31 -230.68 GBP 793.38 0.55 433.83 1.00 433.83 46875.0 108.05 2.94 31.74 GOLD_micro 192.86 0.60 115.78 1.00 115.78 46875.0 404.87 -19.13 -774.55 HEATOIL 1303.47 1.18 1534.66 1.00 1534.66 46875.0 30.54 16.79 51.27 JGB-SGX-mini 146750.00 0.20 29281.37 0.01 204.59 46875.0 229.12 8.90 203.89 JPY 868.62 0.67 585.23 1.00 585.23 46875.0 80.10 -18.71 -149.84 LEANHOG 321.40 1.64 527.91 1.00 527.91 46875.0 88.79 14.60 129.62 LIVECOW 730.30 0.60 437.95 1.00 437.95 46875.0 107.03 11.00 117.78 LUMBER-new 137.78 1.91 263.70 1.00 263.70 46875.0 177.76 -14.38 -255.61 MILK 357.20 1.72 615.60 1.00 615.60 46875.0 76.15 -17.12 -130.35 MXP 292.65 0.77 224.57 1.00 224.57 46875.0 208.73 19.14 399.45 NASDAQ_micro 304.68 0.83 252.20 1.00 252.20 46875.0 185.87 -5.50 -102.19 NIKKEI 32575.00 0.93 30229.65 0.01 211.21 46875.0 221.93 16.85 374.02 NZD 603.95 0.74 444.54 1.00 444.54 46875.0 105.45 -1.74 -18.36 OAT 1266.50 0.48 605.95 1.10 665.21 46875.0 70.47 7.06 49.76 OATIES 217.75 1.64 357.13 1.00 357.13 46875.0 131.25 -7.44 -97.67 OJ 433.05 1.36 589.00 1.00 589.00 46875.0 79.58 20.00 159.17 PALLAD 1296.50 1.86 2411.26 1.00 2411.26 46875.0 19.44 -4.78 -9.29 PLAT 456.95 1.57 718.03 1.00 718.03 46875.0 65.28 -4.36 -28.49 REDWHEAT 389.25 2.11 820.81 1.00 820.81 46875.0 57.11 -8.16 -46.58 RICE 324.70 0.97 316.37 1.00 316.37 46875.0 148.16 15.89 235.39 ROBUSTA 253.50 1.46 369.12 1.00 369.12 46875.0 126.99 17.76 225.53 RUSSELL 96.63 0.88 84.94 1.00 84.94 46875.0 551.83 0.13 7.23 SHATZ 1050.75 0.08 88.10 1.10 96.72 46875.0 484.65 -8.93 -432.89 SILVER-mini 581.25 1.55 900.79 1.00 900.79 46875.0 52.04 -7.40 -38.52 SMI 1115.00 0.69 767.69 1.14 878.92 46875.0 53.33 2.01 10.71 SOFR 2412.38 0.08 197.33 1.00 197.33 46875.0 237.55 -3.56 -84.55 SOYBEAN 659.75 1.37 902.90 1.00 902.90 46875.0 51.92 13.22 68.64 SOYMEAL 394.20 1.46 574.90 1.00 574.90 46875.0 81.54 8.98 73.21 SOYOIL 363.00 1.61 585.64 1.00 585.64 46875.0 80.04 7.44 59.51 SP400 2674.00 0.72 1921.27 1.00 1921.27 46875.0 24.40 0.66 1.61 SP500_micro 224.76 0.58 130.29 1.00 130.29 46875.0 359.78 -5.00 -179.96 SUGAR11 270.37 1.27 343.94 1.00 343.94 46875.0 136.29 2.36 32.11 US10 1108.59 0.42 460.30 1.00 460.30 46875.0 101.84 -10.78 -109.74 US10U 1157.34 0.55 632.10 1.00 632.10 46875.0 74.16 -6.59 -48.89 US2 2032.34 0.11 215.36 1.00 215.36 46875.0 217.66 -20.00 -435.31 US20 1216.56 0.74 902.64 1.00 902.64 46875.0 51.93 -5.95 -30.90 US30 1274.06 1.05 1338.51 1.00 1338.51 46875.0 35.02 -9.56 -33.48 US5 1067.34 0.27 292.93 1.00 292.93 46875.0 160.02 -13.77 -220.39 VIX 182.50 2.64 481.26 1.00 481.26 46875.0 97.40 -20.00 -194.80 WHEAT 331.88 2.54 842.52 1.00 842.52 46875.0 55.64 -12.89 -71.69 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -59.872 0.013 2.5 -1.946 BITCOIN -67.319 0.048 2.5 -8.095 BOBL -197.089 0.004 2.5 -1.828 BTP 53.686 0.012 2.5 1.675 BUND 42.367 0.004 2.5 0.393 BUXL -4.721 0.004 2.5 -0.044 CAC 34.694 0.013 2.5 1.133 CAD -96.968 0.013 2.5 -3.152 CANOLA 209.703 0.008 2.5 4.393 CHF -76.590 0.013 2.5 -2.489 COCOA -23.389 0.007 2.5 -0.431 COFFEE -43.335 0.004 2.5 -0.436 COPPER -9.521 0.048 2.5 -1.145 CORN -43.800 0.008 2.5 -0.918 COTTON2 22.978 0.007 2.5 0.424 CRUDE_W 24.626 0.049 2.5 3.016 DAX -84.864 0.013 2.5 -2.772 DOW 53.892 0.009 2.5 1.203 EUR -21.576 0.013 2.5 -0.701 EURIBOR-ICE -176.297 0.012 2.5 -5.499 EUROSTX 39.765 0.013 2.5 1.299 FEEDCOW -22.422 0.014 2.5 -0.764 GASOIL 57.958 0.020 2.5 2.841 GASOLINE 57.422 0.020 2.5 2.815 GAS_US_mini -230.677 0.049 2.5 -28.251 GBP 31.743 0.013 2.5 1.032 GOLD_micro -774.547 0.015 2.5 -29.338 HEATOIL 51.271 0.020 2.5 2.514 JGB-SGX-mini 203.886 0.052 2.5 26.642 JPY -149.836 0.013 2.5 -4.870 LEANHOG 129.616 0.025 2.5 8.102 LIVECOW 117.785 0.014 2.5 4.014 LUMBER-new -255.614 0.007 2.5 -4.645 MILK -130.350 0.007 2.5 -2.405 MXP 399.453 0.066 2.5 65.710 NASDAQ_micro -102.189 0.009 2.5 -2.282 NIKKEI 374.016 0.052 2.5 48.874 NZD -18.357 0.013 2.5 -0.597 OAT 49.761 0.012 2.5 1.552 OATIES -97.670 0.008 2.5 -2.046 OJ 159.167 0.007 2.5 2.936 PALLAD -9.291 0.015 2.5 -0.352 PLAT -28.493 0.015 2.5 -1.079 REDWHEAT -46.581 0.005 2.5 -0.532 RICE 235.393 0.008 2.5 4.931 ROBUSTA 225.527 0.004 2.5 2.268 RUSSELL 7.233 0.013 2.5 0.230 SHATZ -432.887 0.004 2.5 -4.014 SILVER-mini -38.520 0.015 2.5 -1.459 SMI 10.708 0.013 2.5 0.350 SOFR -84.553 0.023 2.5 -4.908 SOYBEAN 68.640 0.003 2.5 0.550 SOYMEAL 73.206 0.003 2.5 0.586 SOYOIL 59.515 0.003 2.5 0.477 SP400 1.609 0.013 2.5 0.051 SP500_micro -179.962 0.009 2.5 -4.019 SUGAR11 32.110 0.007 2.5 0.588 US10 -109.740 0.005 2.5 -1.328 US10U -48.887 0.005 2.5 -0.592 US2 -435.312 0.005 2.5 -5.269 US20 -30.900 0.005 2.5 -0.374 US30 -33.482 0.005 2.5 -0.405 US5 -220.388 0.005 2.5 -2.668 VIX -194.803 0.059 2.5 -28.864 WHEAT -71.693 0.005 2.5 -0.819 ===================== Position diags ===================== AUD 3.15 BITCOIN 81.76 BOBL 1.42 BTP 2.06 BUND 0.66 BUXL 0.28 CAC 2.20 CAD 5.01 CANOLA 6.99 CHF 2.25 COCOA 2.03 COFFEE 0.46 COPPER 4.73 CORN 1.89 COTTON2 1.33 CRUDE_W 5.50 DAX 11.01 DOW 10.69 EUR 2.32 EURIBOR-ICE 9.36 EUROSTX 3.20 FEEDCOW 2.10 GASOIL 1.68 GASOLINE 1.41 GAS_US_mini 22.95 GBP 3.51 GOLD_micro 15.34 HEATOIL 1.50 JGB-SGX-mini 29.94 JPY 2.60 LEANHOG 5.55 LIVECOW 3.65 LUMBER-new 3.23 MILK 1.40 MXP 34.34 NASDAQ_micro 4.15 NIKKEI 29.00 NZD 3.43 OAT 2.20 OATIES 2.75 OJ 1.47 PALLAD 0.74 PLAT 2.47 REDWHEAT 0.65 RICE 3.10 ROBUSTA 1.28 RUSSELL 17.57 SHATZ 4.49 SILVER-mini 1.97 SMI 1.74 SOFR 13.79 SOYBEAN 0.42 SOYMEAL 0.65 SOYOIL 0.64 SP400 0.78 SP500_micro 8.03 SUGAR11 2.50 US10 1.23 US10U 0.90 US2 2.63 US20 0.63 US30 0.42 US5 1.94 VIX 14.43 WHEAT 0.64 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.3 -1.6 NaN 0 BITCOIN -8.1 -16.3 0.1 -3.0 -3 BOBL -1.8 -2.0 -1.7 -5.0 -5 BTP 1.7 1.5 1.9 7.0 7 BUND 0.4 0.3 0.5 1.0 1 BUXL -0.0 -0.1 -0.0 -2.0 -2 CAC 1.1 0.9 1.4 NaN 0 CAD -3.2 -3.7 -2.7 -1.0 -1 CANOLA 4.4 3.7 5.1 NaN 0 CHF -2.5 -2.7 -2.3 -4.0 -4 COCOA -0.4 -0.6 -0.2 -1.0 -1 COFFEE -0.4 -0.5 -0.4 NaN 0 COPPER -1.1 -1.6 -0.7 -1.0 -1 CORN -0.9 -1.1 -0.7 0.0 0 COTTON2 0.4 0.3 0.6 1.0 1 CRUDE_W 3.0 2.5 3.6 2.0 2 DAX -2.8 -3.9 -1.7 -17.0 -17 DOW 1.2 0.1 2.3 NaN 0 EUR -0.7 -0.9 -0.5 -1.0 -1 EURIBOR-ICE -5.5 -6.4 -4.6 -4.0 -4 EUROSTX 1.3 1.0 1.6 1.0 1 FEEDCOW -0.8 -1.0 -0.6 0.0 0 GASOIL 2.8 2.7 3.0 4.0 4 GASOLINE 2.8 2.7 3.0 4.0 4 GAS_US_mini -28.3 -30.5 -26.0 -25.0 -25 GBP 1.0 0.7 1.4 2.0 2 GOLD_micro -29.3 -30.9 -27.8 -21.0 -21 HEATOIL 2.5 2.4 2.7 0.0 0 JGB-SGX-mini 26.6 23.6 29.6 16.0 16 JPY -4.9 -5.1 -4.6 -7.0 -7 LEANHOG 8.1 7.5 8.7 8.0 8 LIVECOW 4.0 3.6 4.4 4.0 4 LUMBER-new -4.6 -5.0 -4.3 NaN 0 MILK -2.4 -2.5 -2.3 NaN 0 MXP 65.7 62.3 69.1 60.0 60 NASDAQ_micro -2.3 -2.7 -1.9 -1.0 -1 NIKKEI 48.9 46.0 51.8 36.0 36 NZD -0.6 -0.9 -0.3 1.0 1 OAT 1.6 1.3 1.8 NaN 0 OATIES -2.0 -2.3 -1.8 NaN 0 OJ 2.9 2.8 3.1 NaN 0 PALLAD -0.4 -0.4 -0.3 NaN 0 PLAT -1.1 -1.3 -0.8 -5.0 -5 REDWHEAT -0.5 -0.6 -0.5 -1.0 -1 RICE 4.9 4.6 5.2 NaN 0 ROBUSTA 2.3 2.1 2.4 1.0 1 RUSSELL 0.2 -1.5 2.0 0.0 0 SHATZ -4.0 -4.5 -3.6 NaN 0 SILVER-mini -1.5 -1.7 -1.3 NaN 0 SMI 0.3 0.2 0.5 8.0 8 SOFR -4.9 -6.3 -3.5 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.5 0.7 0.0 0 SOYOIL 0.5 0.4 0.5 0.0 0 SP400 0.1 -0.0 0.1 2.0 2 SP500_micro -4.0 -4.8 -3.2 -16.0 -16 SUGAR11 0.6 0.3 0.8 0.0 0 US10 -1.3 -1.5 -1.2 NaN 0 US10U -0.6 -0.7 -0.5 -4.0 -4 US2 -5.3 -5.5 -5.0 NaN 0 US20 -0.4 -0.4 -0.3 NaN 0 US30 -0.4 -0.4 -0.4 NaN 0 US5 -2.7 -2.9 -2.5 -6.0 -6 VIX -28.9 -30.3 -27.4 -17.0 -17 WHEAT -0.8 -0.9 -0.8 -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 16.9 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 -0.4 -0.1 0.0 0.0 -0.0 0.0 -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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.4 -0.3 -0.0 -0.3 0.0 0.1 BITCOIN -0.2 0.1 0.1 -0.0 -0.2 0.1 -0.1 0.1 -0.1 -0.0 0.4 -0.1 0.0 0.0 0.1 -0.5 -0.2 -0.4 -0.3 0.0 0.1 -0.0 0.2 -0.0 -1.1 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.7 0.1 0.4 -0.0 -0.1 0.3 -0.1 0.3 BOBL 0.2 -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 -0.9 -0.0 -0.0 0.0 -0.2 0.0 0.5 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -2.3 0.2 0.2 0.1 0.1 -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 0.1 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 2.6 0.1 0.2 0.2 0.4 -0.3 -0.3 -0.0 0.1 BUND -0.0 -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 0.4 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 0.0 0.1 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.2 -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 0.0 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.9 -0.2 -0.0 0.1 0.1 -0.3 -0.3 -0.0 0.2 CAC 0.0 -0.1 -0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.3 -0.0 0.5 0.0 0.1 -0.4 0.0 -0.3 -0.1 0.0 0.1 -0.0 0.3 0.0 -0.2 0.0 0.1 0.1 -0.0 0.2 0.0 1.2 0.5 0.1 0.1 -0.1 0.3 -0.0 0.3 0.0 CAD -0.4 -0.1 0.3 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.2 -0.2 -0.1 0.0 -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 -0.1 0.1 -0.1 -0.2 -0.5 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA -0.4 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 0.0 0.1 -0.1 0.9 0.4 0.7 0.1 0.0 -0.1 -0.0 0.0 -1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 1.6 -0.5 -0.2 0.5 0.3 -0.2 0.1 0.0 0.3 CHF -0.3 0.3 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.3 0.0 0.0 -0.8 -0.8 -0.8 -0.8 0.1 0.1 -0.1 0.2 0.0 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -3.0 0.3 0.2 0.2 0.0 -0.2 -0.3 -0.2 -0.3 COCOA -0.1 -0.0 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.4 -0.0 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.0 0.2 0.2 -0.2 0.4 0.1 -0.5 0.1 -0.1 0.2 -0.0 0.2 0.0 -2.3 -0.7 0.1 0.5 0.5 -0.2 -0.2 0.2 -0.1 COFFEE 0.3 -0.4 -0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -1.1 0.2 -0.1 -0.5 -0.1 -0.3 -0.3 -0.1 -0.2 COPPER 0.0 0.1 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -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 0.4 0.2 0.2 0.1 -0.2 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 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 0.4 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.9 -0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.0 0.2 COTTON2 0.2 0.3 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.1 0.0 -0.2 0.1 0.1 0.5 0.4 0.5 0.3 0.1 0.0 0.1 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.5 0.2 0.2 -0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.2 0.2 -0.3 0.2 0.2 0.5 0.5 0.4 0.4 0.2 0.1 0.2 0.1 0.2 -0.4 0.1 0.0 0.1 0.1 0.1 0.1 -1.6 -0.4 -0.5 -0.1 0.1 0.2 0.2 0.2 0.1 DAX -0.1 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.4 -0.0 0.0 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.2 0.3 -0.1 0.8 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.5 -0.2 -0.1 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.2 0.4 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 0.1 0.4 0.1 0.1 -0.7 -0.4 -0.6 -0.5 0.2 0.1 0.0 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 -0.4 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -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 0.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.2 0.7 0.1 -0.0 -0.2 -0.0 -0.3 0.0 0.1 EURIBOR-ICE 0.3 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.5 -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 -1.8 0.2 0.2 0.1 0.1 -0.3 -0.3 0.3 0.1 EUROSTX -0.1 -0.2 -0.3 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.5 0.0 0.0 -0.3 -0.0 -0.3 -0.2 0.0 0.1 -0.1 0.3 -0.0 0.2 0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 0.2 -0.0 -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 0.0 0.6 0.2 0.2 -0.7 -1.2 -1.2 -1.2 0.2 0.2 0.1 0.4 0.1 0.3 0.1 0.0 0.3 0.0 0.3 0.0 -3.2 0.7 0.0 0.5 0.5 0.0 -0.2 0.2 -0.1 GASOIL 0.5 0.5 0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 -0.1 0.2 0.2 1.0 0.9 0.7 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 0.3 -0.1 0.0 -0.2 -0.1 GASOLINE 0.5 0.5 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.4 0.2 -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 0.1 0.1 0.0 0.1 0.1 3.2 -0.7 -0.3 0.2 0.5 0.2 0.2 0.2 0.0 GAS_US_mini 0.2 0.5 0.5 0.0 0.1 0.0 0.0 0.0 0.1 0.1 -0.3 0.1 -0.5 0.1 0.1 -1.0 -0.8 -0.8 -0.9 0.0 -0.1 0.1 -0.4 0.0 1.1 0.0 0.1 -0.0 0.1 -0.1 0.0 -3.2 -0.6 -0.5 -0.5 -0.1 0.1 0.1 -0.0 0.0 GBP -0.4 -0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.3 -0.0 0.0 0.0 -0.1 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 0.4 0.4 -0.1 -0.1 0.1 0.1 0.1 0.1 0.3 GOLD_micro -0.1 -0.2 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 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 -0.2 0.0 -0.1 0.1 -0.1 -2.6 -0.2 0.1 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.2 -0.2 0.2 0.2 1.2 1.0 0.7 0.8 0.2 0.2 0.3 0.1 0.2 -1.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.7 0.5 0.5 0.5 0.0 0.0 -0.1 -0.0 JGB-SGX-mini -0.4 -0.5 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.6 1.2 0.7 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 -0.5 -0.2 -0.1 0.2 -0.3 -0.1 0.1 0.1 JPY -0.1 0.1 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -3.2 -0.3 -0.2 -0.5 -0.5 -0.2 -0.3 -0.2 -0.3 LEANHOG 0.0 0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.1 -0.1 -0.2 0.0 0.1 1.2 1.0 1.2 1.2 0.0 -0.0 -0.1 -0.3 0.0 0.8 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 3.2 -0.2 -0.2 -0.1 -0.2 -0.1 0.0 0.3 0.3 LIVECOW -0.4 0.3 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.4 0.0 0.6 0.1 0.2 -0.8 0.4 0.2 0.7 0.2 0.2 0.1 0.4 0.1 0.3 0.1 0.0 0.2 0.0 0.3 0.0 0.8 0.7 0.1 0.5 0.5 -0.3 -0.3 -0.2 -0.3 LUMBER-new -0.5 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 -0.2 -0.1 -0.9 -0.8 -0.8 -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 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -3.2 0.2 0.3 -0.3 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.5 -0.4 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 1.0 0.1 0.2 -0.0 0.4 0.0 -1.1 0.0 0.0 0.2 -0.0 0.3 0.0 3.2 0.6 0.4 0.1 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.5 0.1 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 -0.2 0.4 -0.0 -1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.9 -0.0 -0.1 0.3 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.3 -0.3 0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.4 -0.1 0.1 0.9 0.7 0.9 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 0.0 -0.1 0.5 0.0 0.0 -0.0 0.1 NZD -0.4 0.0 -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 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.8 0.1 -0.2 -0.3 -0.2 0.0 -0.2 0.1 0.1 OAT -0.0 -0.1 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 0.0 0.1 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES -0.2 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 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -3.2 -0.0 -0.0 0.3 0.5 0.0 0.3 0.2 0.3 OJ 0.5 0.5 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 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 -0.6 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 -0.1 -0.4 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 -0.4 -0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.7 0.2 -0.3 -0.3 -0.2 -0.0 0.1 0.0 PLAT -0.1 -0.2 -0.4 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.2 -0.1 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.4 -0.0 -0.0 -0.3 -0.2 0.0 -0.2 0.2 -0.2 REDWHEAT -0.2 -0.0 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 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.4 -0.6 -0.1 -0.2 0.0 -0.3 -0.2 -0.1 -0.1 RICE 0.4 0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.2 0.0 0.1 -0.0 0.1 0.1 -0.4 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 0.7 0.5 0.0 0.5 -0.1 -0.3 0.0 -0.2 ROBUSTA 0.1 -0.5 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.2 0.1 0.3 0.0 0.1 1.2 1.0 1.2 1.2 0.1 0.1 0.1 0.4 0.1 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 3.2 0.4 0.2 -0.3 0.5 -0.1 -0.2 0.1 -0.1 RUSSELL -0.1 0.5 0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.1 -0.0 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.2 0.1 0.5 0.3 -0.1 -0.1 -0.3 -0.1 SHATZ 0.4 -0.1 -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 -1.2 -0.2 -0.9 -0.5 -0.0 -0.1 0.0 -0.3 0.0 0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.4 0.3 0.0 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.3 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 0.0 -0.2 0.0 -0.1 0.3 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.6 -0.3 0.0 0.0 -0.1 -0.2 -0.3 -0.0 -0.3 SMI 0.1 -0.3 -0.1 0.0 -0.1 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 -0.1 -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 0.4 0.4 -0.2 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR -0.1 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -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 -0.3 0.4 0.3 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 0.0 0.0 1.2 1.2 1.1 1.2 0.0 0.0 -0.1 -0.0 -0.0 -0.9 0.0 -0.0 0.0 -0.0 0.0 -0.0 3.2 -0.4 -0.2 0.2 0.2 -0.1 0.2 -0.1 0.3 SOYMEAL -0.1 0.1 -0.4 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 0.6 1.2 1.1 1.2 -0.0 -0.0 -0.1 0.0 -0.0 -1.1 0.0 -0.0 0.0 -0.0 0.1 -0.0 3.2 -0.3 -0.1 0.2 0.1 -0.1 -0.2 -0.1 -0.2 SOYOIL -0.1 0.5 0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 0.1 0.7 0.6 0.6 0.5 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 -0.1 0.2 0.3 0.0 0.1 0.2 0.3 SP400 -0.2 0.5 0.4 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.2 0.1 0.1 -0.4 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.2 0.0 -0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.5 0.3 -0.0 -0.1 -0.2 -0.2 SP500_micro -0.5 0.3 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.1 0.3 0.1 0.1 -0.8 -0.5 -0.7 -0.6 0.2 0.2 -0.2 0.4 0.0 -1.0 0.1 -0.1 0.2 -0.0 0.2 0.0 -1.2 -0.2 0.1 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 -0.0 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.2 -0.1 0.4 -0.0 -0.0 -0.1 0.8 0.1 0.4 0.0 0.1 -0.1 0.4 -0.0 -1.1 0.0 -0.0 0.2 -0.0 0.4 -0.0 1.0 -0.1 -0.2 -0.5 0.5 -0.2 -0.2 0.1 -0.1 US10 -0.1 -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 -1.6 0.1 -0.1 -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 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 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-0.3 0.0 -0.5 -0.0 NaN NaN NaN NaN NaN -0.4 -0.4 NaN NaN WHEAT -0.1 0.1 0.4 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.6 -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 0.0 -0.0 0.0 -0.2 -0.2 -0.2 -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 -16.2 -3.0 1.2 1.6 -2.7 2.4 -2.9 1.4 -0.8 -10.0 -6.0 -10.8 -3.9 -9.2 -4.5 -2.7 -2.6 -2.7 -2.8 -5.0 -2.9 -11.9 -3.6 -9.7 2.1 -1.9 -3.7 -0.9 -5.2 -1.3 -4.1 -0.6 -2.6 -6.6 -16.8 -10.3 -2.9 -20.0 2.8 8.3 BITCOIN -9.9 2.2 5.5 -0.8 -12.8 2.5 -12.9 3.0 -7.0 -1.4 19.8 -15.2 0.4 5.7 9.2 -8.1 -3.8 -6.8 -5.3 4.2 12.2 -2.4 7.5 -2.7 -20.0 1.5 0.4 4.9 -1.1 4.5 -1.7 -1.4 20.0 5.5 16.7 -1.9 -6.2 20.0 -5.1 20.0 BOBL 7.1 -2.4 -4.6 -2.1 -2.0 -2.1 -1.6 -2.8 -1.8 -3.5 -3.2 1.0 -6.6 1.6 -3.6 -20.0 -6.9 -20.0 -14.8 -2.2 -4.6 0.8 -8.8 0.1 9.7 -0.8 -0.6 -1.5 0.5 -3.1 0.2 -14.3 4.9 7.1 2.3 2.2 -20.0 -20.0 -20.0 -14.5 BTP -1.0 -3.6 10.8 -3.2 -3.0 -3.3 -2.4 -4.4 -2.7 4.3 8.5 -0.3 -0.3 1.2 3.4 4.5 8.2 5.5 6.7 1.6 3.0 -0.0 -1.5 -0.3 -6.8 1.0 2.0 2.5 0.1 0.5 -0.3 16.3 2.7 8.3 7.5 14.9 -20.0 -20.0 -3.4 5.8 BUND -0.3 -2.3 2.1 -2.2 -2.1 -2.3 -1.7 -3.1 -1.9 -2.2 -3.9 -3.2 -7.3 -1.9 -3.7 6.0 8.9 6.4 7.1 -2.8 -3.9 -1.9 -8.3 -2.4 5.9 -1.5 -1.1 -1.5 -1.0 -3.3 -1.4 17.0 0.0 3.7 2.4 3.3 -20.0 -20.0 -16.1 -1.8 BUXL -7.4 -0.1 3.7 -2.7 -2.5 -2.7 -2.0 -3.6 -2.2 -2.5 -8.3 -6.1 -9.7 -6.4 -5.9 0.7 1.1 1.3 1.6 -4.6 -5.5 -5.3 -11.1 -5.8 0.4 -2.2 -1.6 -1.7 -2.7 -3.3 -3.1 5.7 -5.3 -1.6 3.4 3.5 -20.0 -20.0 -0.0 11.5 CAC 0.9 -5.6 -14.3 2.9 -6.0 5.0 -6.1 4.7 -1.4 -1.1 15.9 -3.9 17.7 5.4 6.8 -7.0 0.1 -4.6 -2.0 3.4 9.0 -0.7 15.8 0.4 -4.4 2.3 4.8 5.2 -0.5 8.0 0.1 7.7 15.7 3.3 5.6 -4.0 19.7 -1.4 20.0 1.2 CAD -15.9 -2.7 10.5 3.0 -4.9 4.4 -5.4 2.6 -1.5 -18.9 11.0 -19.7 -7.2 -14.6 5.4 -1.9 -1.9 -2.1 -2.2 -0.7 4.7 -20.0 -1.0 -13.6 0.3 -0.3 -8.5 2.7 -10.4 0.5 -6.7 0.6 -1.9 -7.2 -18.5 -6.0 -15.7 -20.0 -20.0 -17.0 CANOLA -17.8 20.0 20.0 1.1 -0.9 -0.6 -0.6 -1.7 0.9 -7.9 3.4 -7.1 -5.6 4.2 6.6 -1.2 14.4 7.6 12.5 11.0 5.9 -6.7 -1.5 3.5 -20.0 1.9 -1.2 0.5 -1.3 -1.1 0.6 10.4 -14.8 -6.2 20.0 11.3 -15.4 11.0 1.7 20.0 CHF -10.7 10.1 3.4 2.2 -3.6 3.2 -3.9 1.9 -1.1 -11.2 9.7 -11.4 11.3 2.6 5.7 -13.6 -13.0 -13.9 -13.6 9.1 11.0 -6.8 9.0 1.4 -6.7 3.4 -2.2 3.8 -1.8 2.8 1.0 -18.7 7.7 9.1 8.9 1.8 -15.3 -20.0 -17.4 -20.0 COCOA -5.6 -1.5 10.9 2.4 -1.9 -1.2 -1.2 -3.6 2.0 -18.2 20.0 -4.6 19.7 9.4 17.8 -2.1 -0.9 -1.0 -0.6 20.0 20.0 -14.6 20.0 7.9 -10.3 6.9 -7.5 8.9 -3.7 7.9 2.1 -14.3 -20.0 4.6 20.0 20.0 -17.7 -18.1 12.9 -5.7 COFFEE 13.6 -15.1 -10.7 2.3 -1.8 -1.1 -1.2 -3.5 1.9 -11.6 -5.4 -0.5 -9.6 -13.2 -16.4 0.9 3.4 2.3 3.2 -13.5 -13.8 -5.4 -11.6 -6.6 -20.0 -2.8 -6.5 -2.2 -2.7 -1.7 -1.5 -7.2 4.8 -3.3 -20.0 -2.8 -20.0 -20.0 -10.3 -14.2 COPPER 1.3 5.1 -6.2 -0.4 -6.1 1.2 -6.2 1.4 -3.4 -10.9 -3.4 -9.1 -2.7 -1.5 -0.7 -4.1 -1.7 -3.2 -2.4 -0.7 -1.7 -8.2 -2.1 -2.4 -3.6 0.5 -6.2 -0.7 -3.8 -1.2 -0.3 2.7 6.7 9.1 3.0 -8.5 2.5 -20.0 8.1 -17.1 CORN -4.3 -11.1 3.4 0.8 -0.6 -0.4 -0.4 -1.2 0.7 -5.9 -4.1 -5.7 -4.7 -5.2 -4.5 -6.2 6.6 -3.4 1.4 -3.8 -3.4 -5.9 -2.7 -5.3 -6.6 -0.3 -1.2 -0.8 -1.7 -1.4 -1.1 -5.5 -8.6 -2.5 -5.3 -0.5 -2.6 9.9 1.0 18.1 COTTON2 7.5 11.5 12.5 1.5 -1.2 -0.7 -0.7 -2.2 1.2 7.4 5.4 1.3 -8.7 6.4 7.2 8.1 7.0 7.6 5.9 7.1 3.5 4.6 -1.9 6.6 -20.0 3.3 2.5 2.0 2.2 0.7 3.1 -2.9 5.5 8.1 -2.8 11.4 -20.0 -16.0 9.8 8.5 CRUDE_W 20.0 20.0 6.0 6.3 5.2 2.5 7.3 0.8 8.3 15.0 10.9 20.0 -9.3 20.0 18.4 8.6 8.3 7.2 7.1 20.0 13.6 20.0 4.4 20.0 -6.9 7.7 3.8 4.5 6.9 2.7 8.7 -10.3 -11.5 -20.0 -3.7 3.1 14.6 11.9 15.2 5.4 DAX -3.0 -9.8 -7.4 2.7 -5.7 4.7 -5.7 4.4 -1.4 -10.3 13.7 -10.3 16.0 -1.1 2.8 -8.3 -6.7 -8.3 -7.9 0.3 7.7 -12.4 13.0 -6.4 15.9 -0.6 -4.5 3.3 -7.1 5.8 -4.1 -3.4 -6.7 -3.3 -11.6 -4.9 20.0 -0.2 20.0 5.2 DOW 8.5 15.7 10.7 2.9 -6.0 5.0 -6.1 4.7 -1.5 -6.9 14.7 7.3 12.6 13.3 17.0 -11.5 -7.3 -10.5 -9.2 19.2 15.8 1.9 9.7 13.7 -10.2 6.2 -1.3 5.5 0.4 3.8 4.0 -4.9 15.2 20.0 20.0 12.7 -6.1 -4.2 -20.0 -3.3 EUR -14.7 4.1 0.1 2.2 -3.7 3.3 -4.0 2.0 -1.2 -0.2 6.9 -11.5 8.6 -3.4 2.2 -6.2 -6.8 -6.5 -6.5 2.6 5.5 -5.6 3.8 -2.8 12.4 1.6 -0.8 2.9 -2.4 1.9 -1.0 -7.3 20.0 2.0 -0.7 -8.2 -3.2 -20.0 0.7 3.9 EURIBOR-ICE 10.8 0.3 0.8 -2.0 -1.9 -2.0 -1.5 -2.7 -1.7 -3.5 -3.5 2.5 -6.5 3.8 -2.1 -8.6 -7.6 -9.6 -9.2 -1.1 -4.1 1.4 -8.6 1.6 16.9 -0.5 -0.6 -1.5 0.6 -3.3 0.6 -11.5 6.2 9.6 2.4 2.3 -20.0 -20.0 20.0 6.4 EUROSTX -3.2 -8.1 -10.2 2.5 -5.3 4.4 -5.3 4.1 -1.3 -5.5 14.8 -7.2 16.2 0.8 4.8 -4.7 -0.4 -4.4 -2.7 2.4 8.2 -4.7 13.1 -2.1 4.5 1.0 0.9 4.7 -3.3 7.6 -1.8 6.8 7.3 -0.4 -3.3 -3.3 20.0 1.9 20.0 7.7 FEEDCOW -3.4 13.4 20.0 2.7 -2.1 -1.3 -1.4 -4.1 2.2 -3.0 20.0 5.1 20.0 19.3 20.0 -12.4 -20.0 -20.0 -20.0 20.0 20.0 8.3 20.0 17.0 5.1 8.7 1.1 12.2 2.4 12.4 5.0 -20.0 20.0 1.2 19.0 20.0 2.9 -15.8 15.8 -8.5 GASOIL 20.0 20.0 10.8 5.3 4.4 2.2 6.2 0.6 7.0 15.7 3.9 18.9 -3.8 20.0 18.3 16.7 15.3 11.4 11.7 20.0 15.4 20.0 5.5 20.0 12.5 6.4 5.1 2.7 7.1 0.6 8.2 0.0 20.0 19.9 20.0 10.4 -9.6 3.0 -13.2 -4.6 GASOLINE 20.0 20.0 11.9 6.1 5.0 2.5 7.1 0.7 8.0 13.4 18.2 19.4 -2.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.2 20.0 -20.0 7.8 4.1 5.8 5.5 4.7 7.6 20.0 -20.0 -11.6 9.4 19.2 12.7 13.8 15.1 1.0 GAS_US_mini 6.6 20.0 20.0 4.9 4.0 2.0 5.7 0.6 6.4 7.5 -16.2 8.3 -18.3 6.2 6.1 -16.2 -13.2 -13.7 -14.5 0.6 -15.3 11.2 -20.0 6.0 20.0 3.2 8.5 -0.4 7.2 -3.4 4.4 -20.0 -18.0 -20.0 -20.0 -5.9 5.3 11.2 -2.5 0.8 GBP -17.6 -0.5 9.7 2.4 -4.0 3.5 -4.3 2.1 -1.2 -14.2 11.7 -15.1 9.8 -5.7 4.2 0.2 -0.9 -0.0 -0.5 5.4 11.2 -9.8 8.1 -4.2 -0.8 2.8 -4.3 4.8 -4.2 2.5 -1.5 2.8 12.3 -3.5 -3.4 3.0 5.4 11.4 10.5 20.0 GOLD_micro -5.6 -7.8 -11.9 -0.7 -10.7 2.1 -10.8 2.5 -5.9 -19.2 -1.3 -19.1 7.3 -12.5 -15.9 -16.7 -12.4 -15.7 -14.2 -10.8 -3.0 -20.0 5.7 -15.6 -11.0 -2.5 -12.7 0.7 -11.3 3.6 -6.2 -16.6 -6.8 2.1 -4.5 -12.6 -20.0 -20.0 -9.2 -20.0 HEATOIL 20.0 20.0 10.7 6.5 7.2 2.5 8.2 0.7 8.8 20.0 2.7 20.0 -6.4 20.0 20.0 20.0 17.4 12.6 12.7 20.0 20.0 20.0 7.0 20.0 -20.0 8.0 7.9 4.1 9.3 2.2 10.0 2.5 20.0 20.0 20.0 20.0 1.4 1.1 -3.9 -0.6 JGB-SGX-mini -14.7 -20.0 0.9 -2.0 -1.9 -2.0 -1.5 -2.7 -1.7 -0.2 5.0 -4.6 5.2 -5.6 -3.0 10.3 19.9 11.1 14.6 -3.6 1.4 -5.5 3.2 -7.0 0.5 -1.5 -0.5 0.2 -2.0 0.4 -2.6 20.0 -16.0 -7.1 -2.8 7.3 -20.0 -7.3 4.2 7.3 JPY -5.3 5.4 -16.2 1.4 -2.4 2.1 -2.6 1.3 -0.7 -9.1 -8.4 -9.2 -8.1 -6.6 -8.3 -15.3 -13.5 -15.8 -15.0 -8.9 -10.4 -10.9 -11.3 -8.5 20.0 -2.8 -4.5 -3.1 -3.8 -3.4 -2.9 -20.0 -7.5 -6.4 -18.3 -20.0 -11.5 -20.0 -12.3 -20.0 LEANHOG 1.1 20.0 9.4 1.8 -1.5 -0.9 -0.9 -2.8 1.5 -12.7 -4.3 -6.9 -8.0 6.0 12.5 20.0 17.1 20.0 20.0 5.4 -4.4 -8.2 -13.1 2.7 14.9 -1.1 -10.5 -7.2 -4.7 -10.8 -0.2 20.0 -4.8 -7.1 -3.3 -9.1 -4.9 2.4 20.0 20.0 LIVECOW -14.4 11.0 20.0 2.8 -2.2 -1.4 -1.4 -4.2 2.3 11.5 20.0 4.2 20.0 15.8 20.0 -14.3 6.8 3.5 12.3 20.0 20.0 10.7 20.0 16.8 6.1 8.5 3.0 10.4 2.7 9.2 4.6 5.3 20.0 3.6 20.0 20.0 -20.0 -20.0 -17.9 -19.3 LUMBER-new -20.0 -1.6 1.2 2.4 -1.9 -0.8 -1.2 -2.6 1.9 -18.0 -16.1 -20.0 -18.2 -18.6 -13.0 -13.7 -12.4 -12.1 -12.3 -13.2 -8.1 -20.0 -7.7 -20.0 NaN -4.0 -4.7 -1.9 -7.5 -1.4 -7.3 -20.0 -8.4 -20.0 -20.0 0.4 -20.0 -20.0 -19.8 -20.0 MILK 20.0 20.0 4.6 1.0 -0.8 -0.5 -0.5 -1.5 0.8 -0.5 -6.0 3.6 -8.4 3.8 -3.2 -20.0 -20.0 -20.0 -20.0 -2.5 -8.9 3.4 -11.0 3.6 -3.0 -1.3 -0.1 -3.4 0.9 -3.7 0.8 -20.0 7.0 13.9 -13.5 -20.0 -20.0 -20.0 -14.8 -20.0 MXP -20.0 -14.0 0.7 2.4 -4.0 3.6 -4.4 2.1 -1.3 1.7 16.9 -0.3 17.7 3.0 13.6 16.4 17.8 17.8 17.7 13.2 20.0 -1.2 20.0 3.1 -20.0 5.1 1.0 8.2 -1.0 9.3 1.0 20.0 19.0 14.2 2.0 20.0 20.0 5.8 20.0 20.0 NASDAQ_micro -20.0 2.1 20.0 2.0 -4.3 3.5 -4.3 3.3 -1.0 -11.6 13.3 -10.3 8.8 1.2 10.9 -10.7 -7.8 -10.5 -9.5 15.7 20.0 -12.0 19.4 -0.1 -20.0 4.0 -3.6 6.5 -2.9 5.8 -0.0 -5.6 -1.4 -4.4 11.3 20.0 -6.9 -11.1 -16.8 -13.6 NIKKEI -12.7 -11.8 19.7 2.7 -5.6 4.7 -5.7 4.4 -1.4 -4.9 15.5 -7.0 15.6 -6.2 12.1 15.8 12.2 14.6 13.2 11.7 20.0 -5.2 20.0 -1.4 -5.7 4.4 0.2 8.3 -1.6 7.7 -0.3 20.0 11.6 0.3 -2.8 20.0 3.4 2.8 -2.3 8.6 NZD -15.3 0.7 -1.8 1.6 -2.6 2.3 -2.8 1.4 -0.8 -9.9 -4.2 -10.7 0.4 -8.4 -4.4 0.4 0.5 0.5 0.5 -3.5 -1.8 -10.5 -2.4 -7.6 0.3 -1.5 -4.9 -0.5 -5.4 -0.8 -3.7 5.0 1.7 -6.2 -10.5 -9.8 0.2 -12.6 5.6 7.3 OAT -1.3 -2.8 4.4 -2.4 -2.3 -2.5 -1.8 -3.3 -2.0 -1.9 -4.3 -3.5 -7.5 -2.1 -2.9 5.6 9.0 6.7 7.8 -2.6 -3.5 -1.9 -7.7 -2.5 7.9 -1.5 -1.0 -1.3 -1.1 -3.4 -1.6 17.9 0.2 3.8 2.7 4.9 -20.0 -20.0 -2.2 2.7 OATIES -6.0 18.6 20.0 1.4 -1.1 -0.7 -0.7 -2.2 1.2 -4.8 8.7 -3.3 -6.3 3.8 9.4 -17.0 -1.6 -13.6 -9.0 15.1 14.0 -4.3 5.8 5.2 -20.0 3.2 -1.2 3.0 -1.2 1.1 0.9 -20.0 -0.3 -0.9 12.6 20.0 2.1 20.0 13.9 20.0 OJ 20.0 20.0 12.5 2.5 -2.0 -1.3 -1.3 -3.8 2.1 -11.7 20.0 10.3 20.0 15.9 19.1 20.0 19.8 20.0 20.0 20.0 20.0 9.1 20.0 20.0 -20.0 7.3 -0.8 8.9 1.1 11.0 5.0 20.0 -18.2 20.0 20.0 20.0 18.9 5.4 20.0 16.4 PALLAD 8.3 -3.6 -14.4 -0.4 -6.0 1.2 -6.1 1.4 -3.3 4.6 -11.9 -4.1 -12.1 -8.4 -10.9 -3.1 -2.6 -3.2 -3.0 -10.5 -16.5 0.8 -20.0 -4.6 -3.9 -3.5 5.0 -4.4 0.6 -4.7 -1.8 1.4 20.0 9.4 -12.8 -12.6 -16.9 -0.9 4.1 1.9 PLAT -3.5 -9.0 -14.8 -0.4 -6.3 1.2 -6.3 1.5 -3.4 -6.5 -8.2 -9.5 -0.8 -8.0 -9.8 -3.4 -2.0 -3.0 -2.5 -9.6 -7.3 -12.1 -2.9 -10.4 12.3 -2.8 -3.7 -1.7 -5.0 -0.5 -3.9 2.4 -1.4 -0.4 -12.3 -8.6 2.2 -15.9 12.0 -11.7 REDWHEAT -9.2 -0.2 4.1 1.0 -0.8 -0.5 -0.5 -1.5 0.8 -6.5 -0.2 -7.5 -6.8 -5.7 -0.7 -4.2 2.7 -0.8 1.8 -2.3 -1.1 -10.3 -1.6 -6.9 -8.7 -0.6 -2.4 -0.2 -3.4 -0.2 -2.2 -8.7 -17.0 -5.2 -6.6 0.9 -20.0 -17.9 -7.0 -6.5 RICE 17.1 11.7 5.7 2.0 -1.6 -1.0 -1.0 -3.0 1.6 13.9 1.1 14.6 -0.6 14.1 13.7 -7.1 20.0 20.0 20.0 12.4 4.9 12.7 0.7 15.3 -20.0 4.6 3.6 2.1 4.5 0.3 5.3 20.0 20.0 20.0 0.1 20.0 -7.8 -20.0 3.5 -15.4 ROBUSTA 5.3 -20.0 9.0 1.6 -1.3 -0.8 -0.8 -2.4 1.3 8.0 11.3 11.0 11.0 2.4 7.2 20.0 16.9 20.0 20.0 9.2 15.4 7.5 17.1 7.2 -11.1 4.0 1.6 6.9 2.9 7.6 2.8 20.0 11.2 8.4 -11.8 20.0 -5.7 -18.7 8.3 -10.5 RUSSELL -2.6 18.0 18.9 2.6 -5.5 4.6 -5.6 4.3 -1.3 -16.1 6.4 -10.6 -0.7 8.3 13.4 -7.6 -5.2 -6.9 -6.2 15.5 12.6 -10.2 2.8 5.4 -2.0 4.9 -5.8 4.5 -3.1 2.4 1.6 -0.7 5.0 4.3 19.6 12.8 -4.1 -7.7 -20.0 -10.9 SHATZ 16.8 -2.9 -16.5 -2.1 -1.9 -2.1 -1.6 -2.8 -1.7 -0.2 -5.4 5.0 -7.1 2.4 -4.4 -20.0 -3.4 -14.5 -9.1 -3.2 -7.9 4.0 -12.7 2.3 11.1 -0.8 0.2 -2.3 1.7 -4.1 1.1 -7.0 10.9 10.7 1.6 -1.2 -20.0 -20.0 -20.0 -20.0 SILVER-mini -11.0 -0.1 -7.4 -0.4 -6.7 1.3 -6.7 1.6 -3.7 -10.9 2.3 -10.9 4.2 -3.7 -4.3 -6.6 -5.5 -6.6 -6.2 -2.8 0.7 -17.2 2.4 -9.2 6.0 -0.1 -6.3 1.1 -6.7 1.1 -3.2 -3.8 -9.6 1.8 1.0 -2.8 -14.8 -20.0 -1.2 -20.0 SMI 4.6 -10.6 -3.5 2.5 -5.3 4.4 -5.3 4.2 -1.3 -9.2 6.0 -6.1 4.5 -2.8 -3.7 -3.3 1.5 -2.8 -1.0 -3.5 0.7 -5.5 3.3 -4.7 3.7 -0.2 1.6 -0.1 1.1 -0.7 1.0 9.8 13.2 14.6 -8.0 -6.7 -7.4 -10.4 -16.3 -15.6 SOFR -2.5 -10.1 -7.6 -2.1 -2.0 -2.2 -1.6 -2.9 -1.8 1.6 -2.2 -2.1 -1.9 -1.1 -4.1 -2.3 -0.7 -1.9 -1.3 -4.2 -3.2 -1.4 -2.9 -3.0 -1.4 -2.0 -0.7 -1.5 -0.5 -1.1 -1.3 1.4 4.4 -0.4 -0.8 -1.6 -20.0 -20.0 -4.6 -2.1 SOYBEAN -12.4 15.5 11.0 1.0 -0.8 -0.5 -0.5 -1.4 0.8 -5.3 3.0 -6.9 -1.4 0.0 4.2 20.0 20.0 18.3 19.6 2.6 2.0 -7.1 -0.1 -2.7 -17.6 1.1 -0.9 0.7 -1.7 0.1 -0.5 20.0 -12.9 -9.6 9.0 6.1 -9.4 13.0 -6.0 20.0 SOYMEAL -3.6 4.3 -16.3 1.1 -0.8 -0.5 -0.5 -1.6 0.9 -6.3 -2.4 -6.9 2.1 -2.0 -0.7 9.7 20.0 18.0 20.0 -0.3 -0.4 -5.0 1.7 -2.2 -20.0 1.3 -1.1 1.3 -1.6 1.9 -0.1 20.0 -9.1 -5.8 9.6 2.6 -10.7 -17.7 -7.1 -16.0 SOYOIL -3.7 20.0 20.0 1.0 -0.8 -0.5 -0.5 -1.5 0.8 -3.7 3.6 -5.5 -2.0 3.7 6.3 12.3 10.3 10.5 9.1 8.7 5.7 -2.0 0.9 3.6 -20.0 2.1 -0.3 1.4 -0.5 0.2 0.7 2.9 -2.9 -3.9 9.7 14.0 0.9 6.4 13.6 20.0 SP400 -6.5 20.0 16.2 2.7 -5.6 4.7 -5.7 4.4 -1.4 -16.2 9.0 -12.1 7.2 10.7 14.8 -6.0 -4.6 -5.6 -5.2 17.6 16.0 -9.1 8.3 5.9 -12.3 4.8 -4.3 4.5 -2.8 2.8 1.4 0.7 3.8 -1.0 20.0 11.9 -0.0 -8.9 -11.9 -12.6 SP500_micro -18.4 10.8 20.0 3.0 -6.3 5.3 -6.4 5.0 -1.5 -17.5 19.6 -13.1 11.1 7.0 16.9 -13.6 -8.7 -12.6 -10.8 20.0 20.0 -13.7 20.0 4.2 -19.8 6.1 -4.6 7.7 -3.6 5.7 1.0 -7.4 -4.8 3.3 20.0 20.0 -4.4 -10.0 -14.1 -14.5 SUGAR11 -0.3 -13.4 -0.2 2.2 -1.7 -1.1 -1.1 -3.3 1.8 -3.8 11.6 -11.0 14.1 -1.9 -0.4 -2.1 13.5 1.1 7.2 0.0 14.1 -7.3 20.0 -5.7 -20.0 0.3 -0.6 8.0 -3.4 14.6 -2.8 6.0 -4.3 -9.4 -20.0 20.0 -17.0 -17.9 10.9 -5.3 US10 -2.6 -8.7 -11.8 -2.1 -1.9 -2.1 -1.6 -2.8 -1.7 1.5 -5.1 -3.3 -6.4 -4.2 -6.2 -8.5 -6.7 -8.9 -8.5 -6.6 -6.5 -3.0 -7.1 -5.0 0.7 -2.4 -0.8 -2.2 -1.1 -2.0 -1.8 -10.2 1.6 -3.3 -2.6 -4.9 -20.0 -20.0 14.9 1.9 US10U -5.8 -8.5 -8.7 -2.7 -2.6 -2.8 -2.1 -3.7 -2.3 -0.7 -6.6 -5.3 -8.1 -6.2 -8.2 -5.0 -1.2 -3.1 -2.4 -8.7 -7.7 -6.1 -8.6 -8.2 -3.6 -3.4 -1.4 -2.7 -2.4 -2.3 -3.1 0.0 -3.0 -7.6 -3.7 -6.1 -20.0 -20.0 20.0 19.4 US2 2.1 -15.1 -20.0 -2.1 -1.9 -2.1 -1.6 -2.8 -1.7 2.2 -7.0 -2.7 -7.3 -5.0 -7.5 -20.0 -20.0 -20.0 -20.0 -11.4 -13.9 -0.0 -14.9 -4.8 7.6 -2.4 0.1 -2.9 0.1 -3.3 -1.0 -20.0 9.1 -1.7 -5.6 -11.1 -20.0 -20.0 -20.0 -17.9 US20 -9.9 -9.1 -7.8 -2.1 -2.0 -2.2 -1.6 -2.9 -1.8 -2.4 -4.9 -5.0 -5.1 -5.4 -6.5 -1.8 -1.4 -1.7 -1.8 -7.4 -5.9 -7.3 -6.4 -8.4 -3.5 -2.6 -1.5 -1.9 -2.7 -1.6 -3.0 0.3 -8.2 -9.6 -4.2 -4.7 -20.0 -20.0 20.0 20.0 US30 -11.4 -7.9 -4.9 -2.5 -2.3 -2.6 -1.9 -3.4 -2.1 -4.7 -7.1 -7.0 -6.8 -7.3 -8.3 -9.2 -2.6 -6.1 -4.1 -8.8 -7.0 -10.1 -8.5 -10.7 -3.2 -3.1 -2.2 -2.1 -3.7 -1.8 -3.8 -2.4 -12.5 -13.1 -5.8 -4.7 -20.0 -20.0 20.0 20.0 US5 0.3 -8.2 -15.7 -2.1 -1.9 -2.1 -1.6 -2.8 -1.7 1.3 -5.3 -2.8 -6.5 -2.9 -6.1 -13.3 -8.9 -13.0 -11.7 -6.5 -7.2 -1.0 -8.2 -3.5 3.0 -2.2 -0.4 -2.3 -0.3 -2.4 -1.1 -14.7 5.6 -0.8 -1.9 -5.1 -20.0 -20.0 5.6 -15.7 VIX 20.0 -1.4 -20.0 -6.4 1.4 -9.1 1.6 -9.3 -1.6 10.2 -20.0 9.9 -20.0 -10.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 4.7 -20.0 -7.2 NaN -7.4 1.6 -10.9 1.9 -11.5 -1.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -2.1 5.3 17.0 0.8 -0.6 -0.4 -0.4 -1.2 0.7 -4.8 -3.0 -5.4 -6.5 -4.1 -1.3 -9.4 -8.9 -9.8 -9.9 -0.9 -1.8 -5.0 -3.7 -2.9 -3.3 0.2 -1.4 -0.5 -1.4 -1.2 -0.5 -20.0 -8.6 1.4 -1.8 0.5 -18.5 -15.6 -11.5 -8.0 End of report for caleb_strategy_v3