******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230811_204348 produced at 2023-08-11 21:38:35.204858 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.47 -0.54 0.0 0.94 -0.94 -0.47 -0.66 -5.77 10.0 -5 -7 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.51 0.0 0.00 0.00 0.00 0.00 -6.00 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 -5.31 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.16 -0.21 0.0 0.38 -0.38 -0.16 -0.14 -31.08 56.0 -23 -20 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.18 0.0 0.11 -0.11 -0.11 -0.11 -28.84 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.28 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.21 -0.15 0.0 0.52 -0.52 -0.21 -0.25 -4.93 17.0 -7 -8 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 0.94 -0.94 -0.23 -0.23 -2.77 25.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.22 -0.09 0.0 0.85 -0.85 -0.22 -0.22 -1.90 19.0 -5 -5 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.09 0.0 0.76 -0.76 -0.03 -0.05 -3.24 29.0 -1 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.07 -0.07 -0.06 -0.06 -29.17 26.0 -25 -25 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 0.20 -0.20 -0.03 -0.03 -1.74 6.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.44 -0.44 0.00 0.00 -2.06 19.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -1.39 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.04 0.0 0.68 -0.68 -0.05 -0.05 -0.86 14.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -0.78 8.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.13 -0.04 0.0 0.38 -0.38 -0.13 -0.10 -4.87 48.0 -16 -13 caleb_strategy_v3 US10U False False 0.04 -0.16 -0.03 0.0 0.53 -0.53 -0.16 -0.16 -0.66 13.0 -4 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.03 0.0 0.25 -0.25 -0.01 -0.01 -2.82 23.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.41 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 -1.60 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 -1.05 10.0 -5 -5 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.10 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.02 0.0 0.44 -0.44 0.02 0.02 -0.83 21.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.00 -0.02 0.0 0.38 -0.38 0.00 0.00 -0.40 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.42 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 -4.76 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 -3.33 58.0 -17 -17 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.88 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 -5.47 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 -0.54 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 -0.47 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.05 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 -0.59 8.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.05 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.32 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.10 -0.00 0.0 0.20 -0.20 -0.10 -0.10 -0.05 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 0.04 2.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.00 0.0 0.23 -0.23 0.00 -0.01 -0.53 68.0 0 -3 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.41 -0.41 0.00 0.00 1.34 66.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.18 -0.18 0.00 0.00 1.08 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 0.49 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.56 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 0.65 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 0.54 7.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.20 -0.20 0.01 0.01 2.37 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 1.09 20.0 1 1 caleb_strategy_v3 SMI False False 0.04 0.36 0.02 0.0 0.40 -0.40 0.36 0.36 0.39 9.0 8 8 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.51 -0.51 0.05 0.05 0.37 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 3.83 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.06 0.03 0.0 0.62 -0.62 0.06 0.08 1.04 22.0 2 3 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.04 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 2.89 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 4.92 4.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.31 0.07 0.0 0.45 -0.45 0.31 0.31 1.47 10.0 7 7 caleb_strategy_v3 OAT False False 0.05 0.00 0.07 0.0 0.49 -0.49 0.00 0.00 1.47 10.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.08 0.0 0.14 -0.14 0.08 0.08 7.87 13.0 8 8 caleb_strategy_v3 GASOIL False False 0.03 0.12 0.09 0.0 0.12 -0.12 0.12 0.12 2.88 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 3.03 5.0 2 2 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.09 0.0 0.44 -0.44 0.10 0.10 3.54 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 2.85 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.11 0.0 0.13 -0.13 0.00 0.00 2.41 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.41 0.0 0.29 -0.29 0.29 0.29 51.13 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.62 0.66 0.0 0.62 -0.62 0.62 0.62 63.50 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.57 1.13 0.0 0.57 -0.57 0.57 0.57 31.53 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.3 Shocked risk 60.0 Sum abs risk 61.8 Leverage 6.07 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 0.6500 0.7309 11.6939 BITCOIN 679.2030 29430.0000 2.3079 36.9257 BOBL 0.2791 115.3600 0.2420 3.8716 BTP 0.6585 114.6000 0.5746 9.1941 BUND 0.6005 131.4000 0.4570 7.3117 BUXL 1.4073 130.4400 1.0789 17.2625 CAC 62.8550 7349.0000 0.8553 13.6846 CAD 0.0030 0.7440 0.4043 6.4686 CANOLA 9.4110 767.5000 1.2262 19.6191 CHF 0.0053 1.1453 0.4635 7.4168 COCOA 41.5718 3357.0000 1.2384 19.8138 COFFEE 2.7133 157.1500 1.7266 27.6250 COPPER 0.0471 3.7160 1.2686 20.2982 CORN 10.2142 487.2500 2.0963 33.5408 COTTON2 1.3450 89.7900 1.4980 23.9674 CRUDE_W 1.0307 81.4300 1.2658 20.2528 DAX 128.2804 15905.0000 0.8065 12.9047 DOW 192.4714 35358.0000 0.5444 8.7096 EUR 0.0052 1.0967 0.4741 7.5857 EURIBOR-ICE 0.0579 96.9700 0.0597 0.9548 EUROSTX 44.8236 4341.0000 1.0326 16.5210 FEEDCOW 1.4989 253.0500 0.5923 9.4772 GASOIL 13.5912 872.0000 1.5586 24.9380 GASOLINE 0.0384 2.5578 1.5005 24.0082 GAS_US_mini 0.0977 2.8800 3.3920 54.2716 GBP 0.0069 1.2697 0.5420 8.6722 GOLD_micro 11.3517 1926.1000 0.5894 9.4298 HEATOIL 0.0385 3.0243 1.2744 20.3908 JGB-SGX-mini 0.2851 146.7500 0.1943 3.1082 JPY 0.0000 0.0069 0.6644 10.6296 LEANHOG 1.3025 74.4750 1.7489 27.9823 LIVECOW 1.1087 181.2500 0.6117 9.7868 LUMBER-new 9.4834 503.5000 1.8835 30.1359 MILK 0.3007 18.1500 1.6566 26.5059 MXP 0.0004 0.0584 0.7635 12.2161 NASDAQ_micro 124.8595 15087.2500 0.8276 13.2413 NIKKEI 296.2406 32445.0000 0.9131 14.6089 NZD 0.0044 0.5981 0.7420 11.8718 OAT 0.6085 126.0000 0.4830 7.7274 OATIES 6.9898 437.7500 1.5968 25.5483 OJ 3.9853 295.8000 1.3473 21.5565 PALLAD 23.0823 1304.5000 1.7694 28.3110 PLAT 13.9764 913.8000 1.5295 24.4717 REDWHEAT 16.0952 767.0000 2.0985 33.5754 RICE 0.1563 16.1550 0.9674 15.4787 ROBUSTA 36.3330 2516.0000 1.4441 23.1052 RUSSELL 16.7054 1931.1000 0.8651 13.8412 SHATZ 0.0882 104.9850 0.0840 1.3435 SILVER-mini 0.3530 23.1125 1.5272 24.4348 SMI 76.8075 11116.0000 0.6910 11.0554 SOFR 0.0803 96.3600 0.0833 1.3334 SOYBEAN 17.7712 1306.2500 1.3605 21.7676 SOYMEAL 5.7189 388.2000 1.4732 23.5711 SOYOIL 0.9531 60.4000 1.5780 25.2474 SP400 18.8561 2668.9000 0.7065 11.3042 SP500_micro 25.5624 4481.0000 0.5705 9.1274 SUGAR11 0.3129 24.6100 1.2715 20.3436 US10 0.4646 110.1875 0.4216 6.7459 US10U 0.6352 114.9062 0.5528 8.8451 US2 0.1068 101.4727 0.1053 1.6845 US20 0.8992 120.7500 0.7447 11.9152 US30 1.3249 126.6875 1.0458 16.7323 US5 0.2956 106.2891 0.2781 4.4504 VIX 0.4816 17.9000 2.6907 43.0519 WHEAT 16.5076 653.2500 2.5270 40.4320 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 650.05 0.73 475.10 1.00 475.10 46875.0 98.66 -6.43 -63.43 BITCOIN 29.43 2.31 67.92 1.00 67.92 46875.0 690.15 -0.66 -45.51 BOBL 1153.60 0.24 279.14 1.10 306.69 46875.0 152.84 -13.37 -204.41 BTP 1146.00 0.57 658.53 1.10 723.53 46875.0 64.79 7.29 47.22 BUND 1314.00 0.46 600.48 1.10 659.74 46875.0 71.05 5.60 39.77 BUXL 1304.40 1.08 1407.33 1.10 1546.23 46875.0 30.32 -1.79 -5.44 CAC 734.90 0.86 628.55 1.10 690.59 46875.0 67.88 4.69 31.82 CAD 743.95 0.40 300.77 1.00 300.77 46875.0 155.85 -6.40 -99.67 CANOLA 153.50 1.23 188.22 0.75 140.40 46875.0 333.87 5.48 183.02 CHF 1431.62 0.46 663.63 1.00 663.63 46875.0 70.63 -10.83 -76.52 COCOA 335.70 1.24 415.72 1.00 415.72 46875.0 112.76 -2.61 -29.46 COFFEE 589.31 1.73 1017.49 1.00 1017.49 46875.0 46.07 -10.12 -46.60 COPPER 929.00 1.27 1178.56 1.00 1178.56 46875.0 39.77 -3.65 -14.51 CORN 243.62 2.10 510.71 1.00 510.71 46875.0 91.78 -5.46 -50.07 COTTON2 448.95 1.50 672.51 1.00 672.51 46875.0 69.70 5.04 35.14 CRUDE_W 814.30 1.27 1030.74 1.00 1030.74 46875.0 45.48 5.44 24.72 DAX 159.05 0.81 128.28 1.10 140.94 46875.0 332.58 -3.07 -102.07 DOW 176.79 0.54 96.24 1.00 96.24 46875.0 487.09 1.23 59.96 EUR 1370.88 0.47 649.94 1.00 649.94 46875.0 72.12 -3.65 -26.31 EURIBOR-ICE 2424.25 0.06 144.67 1.10 158.95 46875.0 294.90 -6.28 -185.12 EUROSTX 434.10 1.03 448.24 1.10 492.48 46875.0 95.18 3.49 33.24 FEEDCOW 1265.25 0.59 749.44 1.00 749.44 46875.0 62.55 -3.67 -22.95 GASOIL 872.00 1.56 1359.12 1.00 1359.12 46875.0 34.49 17.04 58.78 GASOLINE 1074.28 1.50 1611.97 1.00 1611.97 46875.0 29.08 20.00 58.16 GAS_US_mini 72.00 3.39 244.22 1.00 244.22 46875.0 191.94 -12.41 -238.16 GBP 793.56 0.54 430.12 1.00 430.12 46875.0 108.98 2.93 31.92 GOLD_micro 192.61 0.59 113.52 1.00 113.52 46875.0 412.93 -19.87 -820.43 HEATOIL 1270.21 1.27 1618.78 1.00 1618.78 46875.0 28.96 16.96 49.12 JGB-SGX-mini 146750.00 0.19 28508.43 0.01 197.95 46875.0 236.80 10.19 241.32 JPY 867.06 0.66 576.04 1.00 576.04 46875.0 81.38 -18.65 -151.72 LEANHOG 297.90 1.75 521.00 1.00 521.00 46875.0 89.97 14.00 125.92 LIVECOW 725.00 0.61 443.46 1.00 443.46 46875.0 105.70 9.83 103.85 LUMBER-new 138.46 1.88 260.79 1.00 260.79 46875.0 179.74 -14.57 -261.79 MILK 363.00 1.66 601.35 1.00 601.35 46875.0 77.95 -16.79 -130.90 MXP 292.15 0.76 223.06 1.00 223.06 46875.0 210.15 18.37 386.02 NASDAQ_micro 301.74 0.83 249.72 1.00 249.72 46875.0 187.71 -6.74 -126.50 NIKKEI 32445.00 0.91 29624.06 0.01 205.70 46875.0 227.88 17.17 391.26 NZD 598.10 0.74 443.78 1.00 443.78 46875.0 105.63 -2.43 -25.65 OAT 1260.00 0.48 608.53 1.10 668.59 46875.0 70.11 6.70 46.97 OATIES 218.88 1.60 349.49 1.00 349.49 46875.0 134.12 -7.49 -100.45 OJ 443.70 1.35 597.79 1.00 597.79 46875.0 78.41 20.00 156.83 PALLAD 1304.50 1.77 2308.23 1.00 2308.23 46875.0 20.31 -4.12 -8.36 PLAT 456.90 1.53 698.82 1.00 698.82 46875.0 67.08 -4.13 -27.70 REDWHEAT 383.50 2.10 804.76 1.00 804.76 46875.0 58.25 -8.82 -51.38 RICE 323.10 0.97 312.57 1.00 312.57 46875.0 149.96 15.66 234.80 ROBUSTA 251.60 1.44 363.33 1.00 363.33 46875.0 129.01 18.23 235.26 RUSSELL 96.56 0.87 83.53 1.00 83.53 46875.0 561.20 -0.30 -16.65 SHATZ 1049.85 0.08 88.15 1.10 96.85 46875.0 483.99 -9.53 -461.35 SILVER-mini 577.81 1.53 882.42 1.00 882.42 46875.0 53.12 -7.93 -42.14 SMI 1111.60 0.69 768.08 1.14 876.37 46875.0 53.49 2.22 11.89 SOFR 2409.00 0.08 200.76 1.00 200.76 46875.0 233.49 -4.43 -103.32 SOYBEAN 653.12 1.36 888.56 1.00 888.56 46875.0 52.75 12.84 67.72 SOYMEAL 388.20 1.47 571.89 1.00 571.89 46875.0 81.96 8.51 69.74 SOYOIL 362.40 1.58 571.85 1.00 571.85 46875.0 81.97 7.40 60.69 SP400 2668.90 0.71 1885.61 1.00 1885.61 46875.0 24.86 0.44 1.10 SP500_micro 224.05 0.57 127.81 1.00 127.81 46875.0 366.75 -5.95 -218.15 SUGAR11 275.63 1.27 350.46 1.00 350.46 46875.0 133.75 4.42 59.08 US10 1101.88 0.42 464.57 1.00 464.57 46875.0 100.90 -11.41 -115.16 US10U 1149.06 0.55 635.22 1.00 635.22 46875.0 73.79 -7.36 -54.32 US2 2029.45 0.11 213.67 1.00 213.67 46875.0 219.38 -20.00 -438.76 US20 1207.50 0.74 899.23 1.00 899.23 46875.0 52.13 -6.34 -33.07 US30 1266.88 1.05 1324.86 1.00 1324.86 46875.0 35.38 -9.79 -34.65 US5 1062.89 0.28 295.64 1.00 295.64 46875.0 158.55 -14.45 -229.16 VIX 179.00 2.69 481.64 1.00 481.64 46875.0 97.32 -20.00 -194.65 WHEAT 326.62 2.53 825.38 1.00 825.38 46875.0 56.79 -13.52 -76.80 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -63.432 0.013 2.5 -2.062 BITCOIN -45.506 0.048 2.5 -5.472 BOBL -204.409 0.004 2.5 -1.896 BTP 47.219 0.012 2.5 1.473 BUND 39.773 0.004 2.5 0.369 BUXL -5.441 0.004 2.5 -0.050 CAC 31.819 0.013 2.5 1.039 CAD -99.670 0.013 2.5 -3.240 CANOLA 183.024 0.008 2.5 3.834 CHF -76.524 0.013 2.5 -2.487 COCOA -29.461 0.007 2.5 -0.543 COFFEE -46.601 0.004 2.5 -0.469 COPPER -14.507 0.048 2.5 -1.745 CORN -50.074 0.008 2.5 -1.049 COTTON2 35.141 0.007 2.5 0.648 CRUDE_W 24.722 0.049 2.5 3.028 DAX -102.073 0.013 2.5 -3.335 DOW 59.961 0.009 2.5 1.339 EUR -26.310 0.013 2.5 -0.855 EURIBOR-ICE -185.116 0.012 2.5 -5.774 EUROSTX 33.244 0.013 2.5 1.086 FEEDCOW -22.946 0.014 2.5 -0.782 GASOIL 58.777 0.020 2.5 2.882 GASOLINE 58.159 0.020 2.5 2.851 GAS_US_mini -238.155 0.049 2.5 -29.167 GBP 31.925 0.013 2.5 1.038 GOLD_micro -820.430 0.015 2.5 -31.076 HEATOIL 49.116 0.020 2.5 2.408 JGB-SGX-mini 241.321 0.052 2.5 31.534 JPY -151.725 0.013 2.5 -4.931 LEANHOG 125.922 0.025 2.5 7.871 LIVECOW 103.854 0.014 2.5 3.540 LUMBER-new -261.791 0.007 2.5 -4.759 MILK -130.897 0.007 2.5 -2.415 MXP 386.025 0.066 2.5 63.501 NASDAQ_micro -126.503 0.009 2.5 -2.825 NIKKEI 391.257 0.052 2.5 51.126 NZD -25.651 0.013 2.5 -0.834 OAT 46.967 0.012 2.5 1.465 OATIES -100.454 0.008 2.5 -2.104 OJ 156.828 0.007 2.5 2.893 PALLAD -8.365 0.015 2.5 -0.317 PLAT -27.700 0.015 2.5 -1.049 REDWHEAT -51.376 0.005 2.5 -0.587 RICE 234.800 0.008 2.5 4.919 ROBUSTA 235.256 0.004 2.5 2.366 RUSSELL -16.650 0.013 2.5 -0.530 SHATZ -461.354 0.004 2.5 -4.278 SILVER-mini -42.143 0.015 2.5 -1.596 SMI 11.894 0.013 2.5 0.389 SOFR -103.324 0.023 2.5 -5.998 SOYBEAN 67.719 0.003 2.5 0.542 SOYMEAL 69.740 0.003 2.5 0.559 SOYOIL 60.692 0.003 2.5 0.486 SP400 1.101 0.013 2.5 0.035 SP500_micro -218.147 0.009 2.5 -4.871 SUGAR11 59.078 0.007 2.5 1.082 US10 -115.157 0.005 2.5 -1.394 US10U -54.317 0.005 2.5 -0.657 US2 -438.762 0.005 2.5 -5.311 US20 -33.070 0.005 2.5 -0.400 US30 -34.646 0.005 2.5 -0.419 US5 -229.155 0.005 2.5 -2.774 VIX -194.646 0.059 2.5 -28.840 WHEAT -76.802 0.005 2.5 -0.877 ===================== Position diags ===================== AUD 3.21 BITCOIN 82.99 BOBL 1.42 BTP 2.02 BUND 0.66 BUXL 0.28 CAC 2.22 CAD 5.07 CANOLA 6.99 CHF 2.30 COCOA 2.08 COFFEE 0.46 COPPER 4.78 CORN 1.92 COTTON2 1.29 CRUDE_W 5.57 DAX 10.86 DOW 10.88 EUR 2.34 EURIBOR-ICE 9.20 EUROSTX 3.11 FEEDCOW 2.13 GASOIL 1.69 GASOLINE 1.43 GAS_US_mini 23.51 GBP 3.54 GOLD_micro 15.64 HEATOIL 1.42 JGB-SGX-mini 30.94 JPY 2.64 LEANHOG 5.62 LIVECOW 3.60 LUMBER-new 3.27 MILK 1.44 MXP 34.57 NASDAQ_micro 4.19 NIKKEI 29.78 NZD 3.43 OAT 2.19 OATIES 2.81 OJ 1.45 PALLAD 0.77 PLAT 2.54 REDWHEAT 0.67 RICE 3.14 ROBUSTA 1.30 RUSSELL 17.87 SHATZ 4.49 SILVER-mini 2.01 SMI 1.75 SOFR 13.55 SOYBEAN 0.42 SOYMEAL 0.66 SOYOIL 0.66 SP400 0.79 SP500_micro 8.19 SUGAR11 2.45 US10 1.22 US10U 0.89 US2 2.66 US20 0.63 US30 0.43 US5 1.92 VIX 14.42 WHEAT 0.65 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.4 -1.7 NaN 0 BITCOIN -5.5 -13.8 2.8 -3.0 -3 BOBL -1.9 -2.0 -1.8 -5.0 -5 BTP 1.5 1.3 1.7 7.0 7 BUND 0.4 0.3 0.4 1.0 1 BUXL -0.1 -0.1 -0.0 -2.0 -2 CAC 1.0 0.8 1.3 NaN 0 CAD -3.2 -3.7 -2.7 -1.0 -1 CANOLA 3.8 3.1 4.5 NaN 0 CHF -2.5 -2.7 -2.3 -4.0 -4 COCOA -0.5 -0.8 -0.3 -1.0 -1 COFFEE -0.5 -0.5 -0.4 NaN 0 COPPER -1.7 -2.2 -1.3 -1.0 -1 CORN -1.0 -1.2 -0.9 0.0 0 COTTON2 0.6 0.5 0.8 1.0 1 CRUDE_W 3.0 2.5 3.6 2.0 2 DAX -3.3 -4.4 -2.2 -17.0 -17 DOW 1.3 0.3 2.4 NaN 0 EUR -0.9 -1.1 -0.6 -1.0 -1 EURIBOR-ICE -5.8 -6.7 -4.9 -5.0 -5 EUROSTX 1.1 0.8 1.4 1.0 1 FEEDCOW -0.8 -1.0 -0.6 0.0 0 GASOIL 2.9 2.7 3.1 4.0 4 GASOLINE 2.9 2.7 3.0 4.0 4 GAS_US_mini -29.2 -31.5 -26.8 -25.0 -25 GBP 1.0 0.7 1.4 2.0 2 GOLD_micro -31.1 -32.6 -29.5 -23.0 -23 HEATOIL 2.4 2.3 2.5 0.0 0 JGB-SGX-mini 31.5 28.4 34.6 16.0 16 JPY -4.9 -5.2 -4.7 -7.0 -7 LEANHOG 7.9 7.3 8.4 8.0 8 LIVECOW 3.5 3.2 3.9 4.0 4 LUMBER-new -4.8 -5.1 -4.4 NaN 0 MILK -2.4 -2.6 -2.3 NaN 0 MXP 63.5 60.0 67.0 60.0 60 NASDAQ_micro -2.8 -3.2 -2.4 -1.0 -1 NIKKEI 51.1 48.1 54.1 36.0 36 NZD -0.8 -1.2 -0.5 1.0 1 OAT 1.5 1.2 1.7 NaN 0 OATIES -2.1 -2.4 -1.8 NaN 0 OJ 2.9 2.7 3.0 NaN 0 PALLAD -0.3 -0.4 -0.2 NaN 0 PLAT -1.0 -1.3 -0.8 -5.0 -5 REDWHEAT -0.6 -0.7 -0.5 -1.0 -1 RICE 4.9 4.6 5.2 NaN 0 ROBUSTA 2.4 2.2 2.5 1.0 1 RUSSELL -0.5 -2.3 1.3 0.0 0 SHATZ -4.3 -4.7 -3.8 NaN 0 SILVER-mini -1.6 -1.8 -1.4 NaN 0 SMI 0.4 0.2 0.6 8.0 8 SOFR -6.0 -7.4 -4.6 NaN 0 SOYBEAN 0.5 0.5 0.6 2.0 2 SOYMEAL 0.6 0.5 0.6 0.0 0 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 0.0 -0.0 0.1 2.0 2 SP500_micro -4.9 -5.7 -4.1 -16.0 -16 SUGAR11 1.1 0.8 1.3 0.0 0 US10 -1.4 -1.5 -1.3 NaN 0 US10U -0.7 -0.7 -0.6 -4.0 -4 US2 -5.3 -5.6 -5.0 NaN 0 US20 -0.4 -0.5 -0.3 NaN 0 US30 -0.4 -0.5 -0.4 NaN 0 US5 -2.8 -3.0 -2.6 -6.0 -6 VIX -28.8 -30.3 -27.4 -17.0 -17 WHEAT -0.9 -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 -0.5 -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 -0.2 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.4 -0.3 -0.0 -0.3 0.0 0.1 BITCOIN -0.2 0.0 0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 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 0.3 0.5 -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 -0.1 -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 -0.1 -0.1 0.3 -0.0 -0.1 -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 0.0 -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 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.1 -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 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 -0.1 -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 -0.1 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 0.0 0.1 -0.0 0.2 -0.0 1.2 0.5 0.1 0.2 -0.1 0.3 -0.0 0.3 0.0 CAD -0.5 -0.1 0.2 0.0 -0.1 0.1 -0.1 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 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.0 -0.5 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA -0.5 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 0.8 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 -0.1 0.1 -0.0 0.1 -0.0 -0.2 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 0.4 0.2 0.3 0.0 -0.2 -0.3 -0.2 -0.3 COCOA -0.2 0.0 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.4 -0.1 0.5 0.1 0.1 -0.2 -0.1 -0.1 -0.0 0.2 0.2 -0.2 0.4 0.0 -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 -0.2 -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 -1.2 0.3 -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 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.3 -0.1 -0.2 -0.2 -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 -0.1 0.2 0.1 -0.2 0.0 -0.3 0.1 -0.2 CORN -0.2 -0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.4 0.4 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.9 -0.3 -0.1 -0.2 -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 0.1 0.0 0.0 0.0 0.0 -0.5 0.7 0.3 0.0 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.2 0.1 0.0 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 -1.7 -0.3 -0.5 -0.1 0.1 0.2 0.2 0.2 0.1 DAX -0.1 -0.3 -0.2 0.0 -0.1 0.1 -0.1 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 -0.1 0.3 -0.1 0.8 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.5 -0.3 -0.1 -0.3 -0.1 0.3 -0.0 0.3 0.1 DOW 0.1 0.4 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 0.0 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 0.7 0.5 0.5 0.3 -0.1 -0.1 -0.3 -0.0 EUR -0.4 0.1 0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 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 0.6 0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.0 EURIBOR-ICE 0.2 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 -1.8 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 0.4 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 0.1 -0.0 -0.1 -0.1 0.3 0.0 0.3 0.1 FEEDCOW -0.1 0.3 0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 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 0.4 0.0 -3.2 0.7 0.1 0.5 0.5 0.0 -0.2 0.2 -0.1 GASOIL 0.5 0.5 0.3 0.0 0.0 0.0 0.0 0.0 0.1 0.2 0.1 0.2 -0.1 0.2 0.2 1.1 0.9 0.7 0.7 0.2 0.1 0.2 0.1 0.2 0.6 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.6 0.5 0.5 0.3 -0.1 0.0 -0.2 -0.1 GASOLINE 0.5 0.5 0.3 0.1 0.0 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 0.4 0.2 -1.1 0.1 0.0 0.1 0.0 0.1 0.1 3.2 -0.5 -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 0.0 0.0 0.0 0.0 0.1 0.1 -0.3 0.1 -0.5 0.0 0.1 -1.0 -0.8 -0.8 -0.9 0.0 -0.1 0.1 -0.4 0.1 1.0 0.0 0.1 -0.0 0.1 -0.1 0.0 -3.2 -0.4 -0.5 -0.5 -0.2 0.1 0.1 -0.0 0.0 GBP -0.4 0.0 0.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.3 -0.1 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 0.2 0.1 0.3 GOLD_micro -0.2 -0.2 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -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 -0.2 -0.6 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -2.6 -0.4 0.1 -0.1 -0.3 -0.3 -0.3 -0.1 -0.3 HEATOIL 0.5 0.5 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.1 0.2 -0.2 0.2 0.2 1.2 1.0 0.8 0.8 0.2 0.2 0.3 0.2 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 0.5 0.7 0.5 0.5 0.5 0.0 0.0 -0.0 -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 0.7 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 -0.0 -0.1 -0.1 0.2 -0.3 -0.1 0.1 0.1 JPY -0.2 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 -0.2 -0.2 -0.1 1.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -3.2 -0.1 -0.1 -0.4 -0.5 -0.1 -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 -0.1 -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 0.7 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 3.2 -0.4 -0.2 -0.1 -0.2 -0.1 0.0 0.3 0.3 LIVECOW -0.4 0.2 0.5 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 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 -0.1 0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 -0.4 -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 -0.0 -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 0.3 0.4 -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 0.3 -0.0 0.5 0.0 0.1 1.0 1.1 1.0 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 0.3 0.4 0.1 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 -0.2 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 -0.1 0.1 -0.0 0.2 -0.0 -0.9 -0.3 -0.2 0.2 0.5 -0.1 -0.1 -0.2 -0.2 NIKKEI -0.3 -0.3 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.4 -0.1 0.1 0.9 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 0.1 -0.1 0.5 0.0 0.0 -0.0 0.1 NZD -0.4 -0.0 -0.1 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 -0.2 -0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 0.3 0.5 0.4 0.5 -0.0 -0.0 -0.1 -0.2 -0.0 0.4 -0.0 -0.1 -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 0.4 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.2 -0.0 -0.2 0.0 0.1 -1.0 -0.1 -0.8 -0.5 0.1 0.1 -0.0 0.1 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -3.2 0.0 0.1 0.3 0.5 0.0 0.3 0.2 0.3 OJ 0.4 0.5 0.4 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 0.4 0.1 0.6 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.0 0.2 0.0 0.3 0.0 3.2 -0.3 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 -0.0 0.0 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.4 -0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.7 0.4 -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 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.4 0.1 -0.0 -0.3 -0.2 0.0 -0.2 0.2 -0.2 REDWHEAT -0.3 -0.0 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.2 0.2 -0.1 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 -0.2 -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 0.1 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 0.7 0.5 0.0 0.5 -0.1 -0.3 0.0 -0.2 ROBUSTA 0.2 -0.3 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 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 0.6 0.2 -0.3 0.5 -0.1 -0.2 0.1 -0.1 RUSSELL -0.1 0.4 0.5 0.0 -0.1 0.1 -0.1 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 -0.2 0.1 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 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 -0.1 -0.1 0.0 -0.2 0.0 -0.0 -1.2 -0.2 -0.9 -0.6 -0.0 -0.1 0.0 -0.3 0.0 0.6 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.2 0.3 0.3 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.4 -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 1.5 0.6 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 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -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 -0.4 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 -0.3 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 1.0 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 -0.2 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 0.4 0.0 0.1 0.2 0.3 SP400 -0.2 0.5 0.4 0.0 -0.1 0.1 -0.1 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 -0.7 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 0.2 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.1 0.3 0.0 0.1 -0.8 -0.5 -0.7 -0.6 0.2 0.2 -0.2 0.4 0.0 -1.0 0.0 -0.1 0.2 -0.0 0.2 0.0 -1.2 -0.3 0.0 0.5 0.5 -0.1 -0.1 -0.2 -0.2 SUGAR11 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=================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -18.4 -3.6 0.5 1.3 -3.4 2.3 -3.5 1.4 -1.3 -10.5 -6.5 -11.3 -4.1 -9.9 -5.5 -2.7 -2.6 -2.7 -2.8 -6.0 -3.4 -13.5 -3.9 -11.1 2.1 -2.2 -4.7 -1.0 -5.6 -1.3 -4.5 -0.6 0.5 -6.2 -17.3 -10.4 -3.0 -20.0 2.5 8.1 BITCOIN -9.6 1.5 5.6 -1.5 -10.5 2.1 -12.3 2.8 -7.6 -5.1 19.7 -13.8 0.8 4.3 9.0 -8.0 -3.9 -6.8 -5.3 3.9 12.1 -3.1 7.6 -2.9 -20.0 1.3 -1.1 4.8 -1.6 4.5 -1.8 -1.4 20.0 12.9 18.3 -0.3 -6.5 20.0 -5.3 20.0 BOBL 6.1 -2.4 -4.4 -2.2 -3.8 -2.2 -2.5 -2.8 -2.1 -5.1 -3.2 -1.2 -6.7 1.3 -3.7 -20.0 -7.1 -20.0 -15.1 -2.4 -4.6 -1.3 -8.8 -0.6 9.7 -0.9 -2.9 -1.5 -0.6 -3.1 -0.2 -14.6 4.6 7.1 2.9 2.3 -20.0 -20.0 -20.0 -14.5 BTP -2.5 -4.7 10.8 -3.4 -5.9 -3.3 -3.9 -4.4 -3.3 -5.8 8.3 -4.4 -0.2 0.2 2.9 4.6 8.2 5.4 6.7 1.1 2.7 -3.1 -1.5 -1.5 -6.8 0.7 -3.4 2.4 -1.9 0.5 -1.0 16.3 3.1 8.1 6.4 15.1 -20.0 -20.0 -3.0 6.0 BUND -1.3 -2.8 2.5 -2.4 -4.1 -2.3 -2.7 -3.0 -2.3 -5.0 -4.0 -4.5 -7.3 -2.5 -3.9 6.1 8.9 6.4 7.1 -3.0 -4.0 -3.8 -8.3 -3.0 5.9 -1.7 -4.3 -1.5 -2.3 -3.3 -1.9 17.1 0.7 3.5 2.6 3.4 -20.0 -20.0 -16.4 -1.8 BUXL -8.6 -1.2 3.8 -2.8 -4.8 -2.7 -3.1 -3.6 -2.7 -6.1 -8.3 -7.0 -9.6 -6.9 -6.2 0.7 1.1 1.2 1.6 -4.9 -5.6 -7.0 -11.1 -6.4 0.4 -2.3 -4.1 -1.7 -3.5 -3.2 -3.3 5.8 -2.2 -1.5 2.9 3.6 -20.0 -20.0 -0.4 11.6 CAC -0.4 -5.4 -15.0 2.4 -6.6 4.9 -6.5 4.7 -2.2 -5.0 15.9 -5.4 17.8 5.0 6.4 -7.1 0.0 -4.7 -2.2 3.1 8.9 -1.5 15.9 0.0 -4.4 2.1 1.0 5.1 -0.9 8.0 -0.1 7.6 14.4 4.1 6.2 -3.9 20.0 -1.3 20.0 1.3 CAD -18.1 -3.6 9.9 2.4 -6.2 4.2 -6.4 2.6 -2.4 -19.0 10.5 -20.0 -7.4 -16.1 3.9 -1.9 -1.9 -2.1 -2.2 -2.3 4.1 -20.0 -1.2 -15.9 0.3 -1.1 -9.0 2.3 -10.8 0.3 -7.4 0.6 -0.0 -1.6 -18.8 -5.7 -15.8 -20.0 -20.0 -17.0 CANOLA -20.0 20.0 20.0 1.0 -1.9 -0.6 -1.1 -1.7 0.6 -8.5 3.4 -8.1 -5.5 3.2 6.3 -1.7 14.2 7.1 12.2 9.7 5.6 -9.1 -1.4 1.4 -20.0 1.7 -1.8 0.5 -1.7 -1.1 0.2 10.0 -13.7 -9.5 18.6 11.2 -15.6 10.7 1.7 20.0 CHF -10.4 10.0 3.5 1.8 -4.6 3.1 -4.8 1.9 -1.8 -12.9 9.8 -13.2 11.7 1.8 5.4 -13.7 -13.0 -13.9 -13.6 8.8 11.3 -7.5 9.4 0.5 -6.9 3.4 -2.1 4.0 -2.1 3.0 0.7 -18.7 12.0 9.6 10.5 1.8 -15.6 -20.0 -17.7 -20.0 COCOA -6.3 0.2 11.1 2.1 -4.0 -1.2 -2.3 -3.6 1.3 -18.5 20.0 -9.3 19.4 7.4 16.9 -2.9 -1.0 -1.3 -0.7 20.0 20.0 -15.5 20.0 5.4 -10.3 6.6 -6.0 9.0 -3.9 8.0 1.5 -14.5 -20.0 2.4 20.0 20.0 -16.9 -17.8 13.1 -5.5 COFFEE 12.4 -14.2 -11.5 2.1 -3.9 -1.2 -2.2 -3.5 1.3 -15.7 -5.6 -5.0 -9.7 -14.1 -16.8 0.9 3.4 2.2 3.1 -14.0 -14.1 -9.0 -11.8 -8.3 -20.0 -3.1 -9.7 -2.4 -5.0 -1.8 -2.7 -7.4 8.1 -5.9 -20.0 -3.6 -20.0 -20.0 -10.5 -14.0 COPPER -0.5 4.8 -6.1 -0.7 -5.0 1.0 -5.9 1.3 -3.6 -11.0 -3.7 -10.2 -2.7 -3.4 -1.2 -4.6 -1.8 -3.4 -2.6 -1.6 -2.0 -10.8 -2.2 -4.3 -3.6 0.1 -7.7 -0.8 -5.1 -1.2 -1.3 2.6 -3.3 7.1 2.0 -8.1 2.6 -20.0 8.5 -17.1 CORN -7.1 -11.5 3.2 0.7 -1.4 -0.4 -0.8 -1.2 0.4 -6.3 -4.3 -6.2 -4.8 -5.6 -4.8 -6.4 6.5 -3.5 1.2 -4.2 -3.6 -6.7 -2.8 -5.8 -6.7 -0.4 -1.9 -0.9 -2.0 -1.5 -1.3 -5.8 -8.1 -3.6 -7.0 -0.3 -2.7 9.7 1.0 17.7 COTTON2 6.9 12.6 12.8 1.3 -2.5 -0.8 -1.4 -2.3 0.8 10.3 5.9 5.1 -8.8 7.8 8.0 8.1 7.0 7.6 5.8 7.8 3.9 9.8 -1.7 8.6 -20.0 3.5 7.0 2.1 4.4 0.8 3.9 -3.0 20.0 12.9 0.3 12.5 -20.0 -15.9 10.2 8.5 CRUDE_W 20.0 20.0 6.9 6.4 3.5 2.7 6.5 0.9 8.0 12.4 11.5 20.0 -9.1 20.0 18.9 8.7 8.3 7.3 7.2 20.0 14.6 20.0 5.0 20.0 -7.0 7.7 2.5 4.6 6.1 2.8 8.4 -10.8 -10.0 -20.0 -3.6 2.0 14.7 11.9 15.6 5.5 DAX -4.9 -10.0 -8.5 2.2 -6.1 4.5 -6.1 4.4 -2.0 -11.8 13.3 -11.3 15.9 -2.0 1.9 -8.3 -6.7 -8.3 -7.9 -0.4 7.2 -12.0 12.6 -6.9 15.8 -1.0 -5.6 3.1 -6.9 5.7 -4.4 -3.4 -9.9 -2.9 -11.5 -4.7 20.0 -0.1 20.0 5.3 DOW 5.4 15.8 11.1 2.4 -6.6 4.9 -6.5 4.8 -2.2 -6.7 14.8 5.8 12.8 12.8 16.7 -11.5 -7.3 -10.5 -9.2 18.8 16.0 1.2 10.0 12.5 -10.3 6.1 -0.7 5.7 0.3 3.9 3.7 -5.0 20.0 20.0 20.0 13.4 -6.3 -4.3 -20.0 -3.4 EUR -15.1 3.6 0.1 1.8 -4.7 3.2 -4.9 2.0 -1.8 -9.6 6.7 -13.3 8.8 -4.8 1.7 -6.2 -6.8 -6.4 -6.5 2.0 5.4 -7.3 3.9 -3.9 12.6 1.4 -2.9 2.9 -3.3 1.9 -1.5 -7.3 17.7 1.9 -0.1 -8.3 -3.1 -20.0 0.9 3.7 EURIBOR-ICE 9.1 0.9 1.4 -2.1 -3.7 -2.1 -2.4 -2.7 -2.0 -5.3 -3.6 -0.6 -6.5 3.4 -2.2 -8.5 -7.7 -9.5 -9.2 -1.3 -4.1 -1.2 -8.4 0.5 16.9 -0.6 -3.0 -1.5 -0.6 -3.3 0.1 -11.4 4.5 8.8 3.1 2.3 -20.0 -20.0 20.0 6.5 EUROSTX -4.1 -8.6 -11.5 2.1 -5.7 4.2 -5.6 4.1 -1.9 -7.6 14.4 -7.7 16.0 0.2 4.1 -4.6 -0.4 -4.4 -2.7 2.0 7.6 -4.5 12.4 -2.2 4.5 0.9 -1.7 4.5 -3.2 7.4 -1.9 6.7 3.8 -0.0 -2.6 -3.0 20.0 2.0 20.0 7.8 FEEDCOW -3.3 12.9 20.0 2.5 -4.6 -1.4 -2.6 -4.2 1.5 -5.5 20.0 4.0 20.0 19.2 20.0 -11.8 -20.0 -20.0 -20.0 20.0 20.0 7.0 20.0 16.3 5.0 8.8 0.3 12.5 2.0 12.8 4.8 -20.0 20.0 3.1 20.0 20.0 3.2 -15.5 16.1 -8.1 GASOIL 20.0 20.0 12.1 5.3 2.9 2.2 5.4 0.7 6.6 12.8 4.6 18.1 -3.4 19.5 18.1 18.7 15.5 12.2 12.2 20.0 16.2 20.0 6.0 20.0 12.2 6.3 3.5 2.8 6.3 0.7 7.8 0.0 17.4 20.0 20.0 10.8 -9.9 2.9 -13.5 -4.6 GASOLINE 20.0 20.0 12.9 6.2 3.4 2.6 6.3 0.8 7.8 14.9 18.5 19.9 -2.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.9 20.0 -20.0 7.9 3.7 6.0 5.4 4.8 7.5 20.0 -14.4 -10.8 9.2 19.2 12.9 13.9 15.3 1.3 GAS_US_mini 6.2 19.1 20.0 4.8 2.7 2.1 4.9 0.6 6.1 5.0 -15.7 6.9 -18.0 5.8 6.3 -17.0 -13.3 -14.1 -14.7 1.1 -15.0 9.7 -20.0 6.3 19.9 3.4 5.1 -0.3 6.2 -3.3 4.6 -20.0 -11.9 -20.0 -20.0 -6.8 5.3 11.0 -2.7 0.7 GBP -17.5 0.1 9.5 2.0 -5.1 3.4 -5.2 2.1 -2.0 -12.7 11.6 -15.5 10.0 -7.2 3.6 0.2 -0.9 -0.0 -0.5 4.7 11.0 -10.4 8.2 -5.2 -0.8 2.5 -4.0 4.8 -4.5 2.6 -2.0 2.8 11.9 -2.0 -3.3 3.2 5.2 11.5 10.4 20.0 GOLD_micro -8.6 -7.7 -12.8 -1.2 -8.9 1.8 -10.4 2.4 -6.4 -19.3 -1.9 -20.0 7.2 -14.4 -16.7 -16.7 -12.4 -15.8 -14.3 -12.4 -3.8 -20.0 5.5 -18.0 -11.0 -3.1 -11.2 0.4 -11.4 3.3 -7.0 -16.6 -11.8 2.1 -4.6 -12.7 -20.0 -20.0 -9.5 -20.0 HEATOIL 20.0 20.0 12.9 6.6 3.6 2.8 6.7 0.9 8.2 7.6 4.6 20.0 -5.7 20.0 20.0 20.0 17.7 14.2 13.5 20.0 20.0 20.0 8.2 20.0 -20.0 8.0 3.2 4.3 7.2 2.4 9.3 2.9 20.0 20.0 20.0 20.0 1.6 1.0 -3.7 -0.7 JGB-SGX-mini -14.7 -20.0 0.6 -2.1 -3.6 -2.1 -2.4 -2.7 -2.0 1.7 5.0 -4.2 5.2 -5.4 -3.2 11.3 19.9 11.5 14.7 -3.7 1.3 -4.6 3.3 -6.6 0.5 -1.5 -0.5 0.1 -1.7 0.4 -2.4 20.0 -0.8 -3.7 -3.0 7.2 -20.0 -7.4 4.3 7.3 JPY -7.6 5.8 -16.5 1.2 -3.0 2.0 -3.1 1.3 -1.2 -9.2 -8.6 -9.6 -8.2 -7.4 -8.6 -15.3 -13.5 -15.8 -15.0 -9.7 -10.8 -12.3 -11.6 -9.7 20.0 -3.0 -4.5 -3.1 -4.1 -3.4 -3.2 -20.0 -4.3 -5.8 -16.3 -20.0 -11.1 -20.0 -11.8 -20.0 LEANHOG -1.3 20.0 8.1 1.5 -2.9 -0.9 -1.6 -2.6 0.9 -10.5 -4.0 -7.9 -7.3 3.7 11.3 20.0 17.2 20.0 20.0 4.2 -4.2 -8.9 -12.2 0.9 13.8 -1.3 -7.8 -6.7 -5.0 -10.1 -1.0 20.0 -10.8 -7.9 -3.6 -8.2 -5.1 2.3 20.0 20.0 LIVECOW -15.4 9.2 20.0 2.5 -4.7 -1.4 -2.7 -4.3 1.5 2.5 20.0 1.7 20.0 15.5 20.0 -13.9 6.6 3.1 11.9 20.0 20.0 6.7 20.0 15.0 5.9 8.4 0.3 10.5 1.8 9.5 4.3 4.8 20.0 -2.0 20.0 20.0 -20.0 -20.0 -18.0 -19.3 LUMBER-new -20.0 -2.9 1.0 2.2 -4.0 -0.9 -2.3 -2.7 1.3 -15.8 -16.8 -20.0 -18.7 -19.4 -14.1 -14.4 -12.5 -12.4 -12.4 -14.3 -8.9 -20.0 -8.1 -20.0 NaN -4.3 -3.4 -2.1 -6.9 -1.5 -7.3 -20.0 -7.4 -20.0 -20.0 0.0 -20.0 -20.0 -19.1 -20.0 MILK 20.0 20.0 4.8 0.9 -1.7 -0.5 -1.0 -1.6 0.6 2.5 -6.0 3.9 -8.5 4.2 -3.0 -20.0 -20.0 -20.0 -20.0 -2.2 -9.0 4.1 -11.4 4.0 -3.0 -1.2 0.5 -3.4 1.1 -3.9 0.9 -20.0 7.7 15.9 -11.4 -20.0 -20.0 -20.0 -14.9 -20.0 MXP -20.0 -15.2 0.9 1.9 -5.0 3.4 -5.1 2.1 -2.0 1.4 16.6 -1.2 17.5 1.8 13.1 16.3 17.8 17.7 17.7 12.4 20.0 -1.8 20.0 2.3 -20.0 4.9 0.7 8.2 -1.2 9.4 0.7 20.0 8.8 15.7 3.2 20.0 20.0 5.8 20.0 20.0 NASDAQ_micro -20.0 -0.3 20.0 1.7 -4.6 3.4 -4.6 3.3 -1.5 -12.4 13.2 -11.7 8.8 -0.7 10.5 -10.7 -7.8 -10.5 -9.5 14.2 20.0 -15.1 19.4 -2.7 -20.0 3.7 -4.6 6.5 -3.7 5.9 -0.6 -5.6 -10.4 -7.9 9.8 20.0 -7.0 -11.3 -17.0 -13.8 NIKKEI -10.8 -11.0 19.5 2.3 -6.2 4.6 -6.1 4.5 -2.0 -5.3 15.6 -6.7 15.7 -6.6 12.0 15.8 12.3 14.7 13.3 11.5 20.0 -4.3 20.0 -1.4 -5.8 4.3 0.0 8.5 -1.4 8.0 -0.3 20.0 12.3 4.3 -3.6 20.0 3.5 2.8 -2.4 8.6 NZD -17.3 -0.2 -2.2 1.3 -3.3 2.2 -3.4 1.4 -1.3 -10.1 -4.7 -11.0 0.4 -9.1 -5.2 0.3 0.5 0.4 0.5 -4.5 -2.2 -13.4 -2.5 -9.4 0.3 -1.9 -7.0 -0.7 -6.3 -0.8 -4.2 5.0 -0.2 -7.4 -10.7 -9.7 -0.0 -12.6 5.2 7.4 OAT -2.2 -3.4 4.6 -2.6 -4.4 -2.5 -2.9 -3.3 -2.4 -5.4 -4.4 -5.0 -7.6 -2.9 -3.2 5.8 9.0 6.7 7.8 -2.9 -3.6 -4.0 -7.7 -3.2 7.9 -1.7 -4.6 -1.4 -2.5 -3.4 -2.1 17.9 1.4 3.7 2.6 4.9 -20.0 -20.0 -2.1 2.8 OATIES -9.0 17.8 20.0 1.3 -2.5 -0.8 -1.4 -2.3 0.8 -3.9 8.9 -3.9 -6.3 3.3 9.5 -17.0 -1.8 -13.7 -9.2 15.2 14.5 -3.7 6.2 4.9 -20.0 3.3 -0.7 3.1 -1.0 1.2 0.8 -20.0 1.0 2.8 11.1 20.0 2.0 20.0 13.8 20.0 OJ 17.1 20.0 14.0 2.3 -4.3 -1.3 -2.4 -3.9 1.4 2.7 20.0 12.6 20.0 16.7 19.4 20.0 19.8 20.0 20.0 20.0 20.0 15.6 20.0 20.0 -20.0 7.4 2.9 9.0 2.5 11.1 5.3 20.0 -7.6 20.0 20.0 20.0 18.9 5.4 20.0 16.4 PALLAD 8.4 -3.4 -15.9 -0.7 -5.0 1.0 -5.9 1.3 -3.6 8.9 -11.9 -0.3 -12.3 -7.1 -10.8 -3.0 -2.6 -3.2 -3.0 -10.2 -17.1 4.6 -20.0 -2.9 -3.9 -3.2 7.0 -4.4 2.4 -4.9 -0.9 1.4 20.0 14.8 -11.6 -12.7 -17.1 -1.0 4.4 1.9 PLAT -5.4 -8.4 -15.5 -0.7 -5.1 1.0 -6.0 1.4 -3.7 -5.2 -8.3 -8.9 -0.9 -8.0 -9.9 -3.4 -2.0 -3.0 -2.6 -10.1 -7.6 -10.7 -3.1 -10.6 12.3 -2.9 -2.2 -1.8 -4.3 -0.6 -3.8 2.4 2.4 -0.5 -11.1 -9.6 2.2 -15.9 12.4 -11.7 REDWHEAT -13.3 -1.0 3.2 0.9 -1.7 -0.5 -1.0 -1.5 0.5 -7.4 -0.5 -8.0 -6.8 -6.3 -1.2 -4.2 2.7 -1.0 1.7 -2.9 -1.4 -10.6 -1.8 -7.6 -8.8 -0.8 -2.9 -0.3 -3.5 -0.2 -2.4 -8.9 -17.4 -6.1 -7.4 0.8 -20.0 -18.0 -7.3 -6.5 RICE 15.0 11.5 6.0 1.8 -3.4 -1.0 -1.9 -3.1 1.1 11.7 1.5 14.4 -0.4 14.5 14.2 -7.6 20.0 20.0 20.0 12.9 5.3 11.0 0.9 15.0 -20.0 4.7 1.7 2.2 3.9 0.4 5.2 20.0 20.0 20.0 1.6 20.0 -7.7 -20.0 3.7 -15.1 ROBUSTA 6.4 -13.9 9.5 1.5 -2.7 -0.8 -1.5 -2.5 0.9 1.8 11.5 9.7 11.2 2.4 7.2 20.0 17.1 20.0 20.0 9.3 15.7 5.3 17.6 6.6 -11.4 4.0 -0.2 7.1 2.0 7.8 2.6 20.0 16.5 9.3 -11.9 20.0 -5.6 -18.6 8.5 -10.3 RUSSELL -5.1 17.4 18.9 2.2 -6.1 4.5 -6.0 4.4 -2.0 -16.1 6.4 -13.1 -0.6 7.1 12.9 -7.6 -5.2 -7.0 -6.3 14.5 12.6 -12.4 2.9 3.0 -2.1 4.7 -5.6 4.6 -3.8 2.5 0.9 -0.7 3.5 4.4 20.0 13.4 -4.1 -7.8 -20.0 -11.0 SHATZ 15.9 -2.2 -16.0 -2.2 -3.7 -2.1 -2.5 -2.8 -2.1 -4.5 -5.4 2.7 -7.1 2.4 -4.4 -20.0 -3.7 -14.9 -9.4 -3.2 -7.9 1.5 -12.7 1.5 11.1 -0.8 -2.0 -2.4 0.6 -4.2 0.8 -7.4 9.2 11.1 2.6 -1.1 -20.0 -20.0 -20.0 -20.0 SILVER-mini -14.1 -0.3 -7.8 -0.8 -5.5 1.1 -6.5 1.5 -4.0 -11.6 2.0 -11.8 4.2 -5.0 -5.1 -6.8 -5.5 -6.7 -6.2 -3.7 0.3 -17.3 2.3 -10.5 6.0 -0.5 -5.6 1.0 -6.5 1.0 -3.6 -3.9 -9.8 -1.3 0.6 -3.1 -15.0 -20.0 -1.3 -20.0 SMI 3.2 -10.3 -4.3 2.1 -5.8 4.3 -5.8 4.2 -1.9 -9.8 5.9 -6.4 4.6 -2.6 -4.0 -3.2 1.5 -2.8 -1.1 -3.6 0.5 -4.9 3.3 -4.6 3.8 -0.1 0.3 -0.0 1.0 -0.7 1.0 9.8 17.1 16.1 -6.8 -6.8 -7.3 -10.4 -16.4 -15.6 SOFR -4.4 -10.4 -8.0 -2.2 -3.8 -2.2 -2.5 -2.9 -2.1 -5.0 -2.5 -4.5 -2.0 -2.2 -4.5 -2.3 -0.8 -1.9 -1.3 -4.6 -3.4 -4.8 -2.9 -4.3 -1.4 -2.1 -3.6 -1.5 -2.0 -1.1 -1.8 1.5 1.8 -1.7 -1.1 -1.9 -20.0 -20.0 -4.7 -2.3 SOYBEAN -15.3 14.7 11.4 0.9 -1.6 -0.5 -0.9 -1.5 0.5 -6.3 3.0 -7.4 -1.4 -0.8 4.0 20.0 20.0 18.2 19.6 2.2 1.9 -7.2 -0.1 -3.2 -17.8 1.0 -1.2 0.7 -1.8 0.1 -0.6 20.0 -11.6 -10.3 6.4 6.3 -9.5 12.7 -6.2 20.0 SOYMEAL -5.7 4.3 -16.5 1.0 -1.8 -0.6 -1.0 -1.7 0.6 -7.8 -2.6 -7.9 2.0 -2.8 -1.0 9.6 20.0 17.7 20.0 -0.7 -0.6 -6.1 1.7 -3.0 -20.0 1.2 -2.2 1.3 -2.0 2.0 -0.4 20.0 -8.3 -6.8 7.7 2.7 -10.9 -17.7 -7.4 -15.9 SOYOIL -5.9 20.0 20.0 0.9 -1.7 -0.5 -1.0 -1.6 0.6 -2.5 3.8 -5.9 -2.0 3.6 6.4 12.5 10.3 10.7 9.2 8.7 6.0 -1.9 1.1 3.4 -20.0 2.1 -0.3 1.5 -0.5 0.3 0.7 3.0 -2.6 -3.6 8.3 14.6 0.7 6.4 13.7 20.0 SP400 -9.0 20.0 16.7 2.3 -6.2 4.6 -6.1 4.5 -2.0 -16.6 9.0 -14.3 7.4 9.7 14.4 -6.0 -4.6 -5.6 -5.2 16.7 16.1 -11.2 8.6 3.8 -12.4 4.6 -4.5 4.6 -3.4 2.9 0.8 0.7 4.4 -0.0 20.0 12.5 0.1 -9.0 -12.0 -12.7 SP500_micro -19.2 9.5 20.0 2.5 -6.9 5.1 -6.8 5.0 -2.3 -18.4 19.3 -15.8 11.2 5.0 16.2 -13.6 -8.8 -12.6 -10.9 20.0 20.0 -16.6 20.0 1.3 -19.9 5.7 -5.1 7.7 -4.3 5.9 0.3 -7.4 -10.4 0.9 20.0 20.0 -4.4 -10.1 -14.4 -14.7 SUGAR11 -0.8 -12.3 -2.3 2.0 -3.7 -1.1 -2.1 -3.4 1.2 10.6 11.8 -6.0 14.2 -0.9 -0.2 -2.1 13.4 1.0 7.0 0.7 13.9 0.5 20.0 -2.9 -20.0 0.6 6.5 8.2 0.3 15.0 -1.5 5.7 15.5 -6.4 -20.0 20.0 -17.0 -17.9 10.9 -5.1 US10 -4.4 -9.0 -11.9 -2.2 -3.7 -2.1 -2.4 -2.8 -2.1 -4.8 -5.3 -5.1 -6.4 -5.1 -6.4 -8.4 -6.7 -8.8 -8.5 -6.9 -6.6 -5.6 -7.1 -6.0 0.7 -2.5 -2.9 -2.2 -2.1 -2.0 -2.1 -10.1 0.1 -4.1 -2.8 -5.1 -20.0 -20.0 14.9 1.8 US10U -7.8 -9.2 -8.8 -2.9 -4.9 -2.8 -3.2 -3.7 -2.7 -7.1 -6.8 -7.3 -8.2 -7.2 -8.5 -5.2 -1.2 -3.2 -2.5 -9.2 -7.9 -9.0 -8.7 -9.3 -3.6 -3.4 -3.7 -2.7 -3.4 -2.2 -3.4 0.0 -3.9 -8.3 -4.1 -6.3 -20.0 -20.0 20.0 19.4 US2 1.5 -14.6 -20.0 -2.2 -3.8 -2.1 -2.5 -2.8 -2.1 -4.1 -7.2 -4.4 -7.4 -5.7 -7.7 -20.0 -20.0 -20.0 -20.0 -11.6 -14.2 -2.6 -15.2 -5.6 7.7 -2.5 -1.4 -3.0 -0.6 -3.3 -1.2 -20.0 8.0 -1.5 -5.2 -11.3 -20.0 -20.0 -20.0 -18.3 US20 -12.2 -10.2 -8.1 -2.2 -3.8 -2.2 -2.5 -2.9 -2.1 -5.5 -5.1 -6.1 -5.1 -6.0 -6.7 -1.8 -1.4 -1.7 -1.8 -7.9 -6.1 -8.8 -6.5 -9.1 -3.5 -2.6 -2.6 -1.9 -3.0 -1.6 -3.0 0.4 -7.3 -9.8 -4.7 -4.8 -20.0 -20.0 20.0 20.0 US30 -13.4 -9.1 -5.3 -2.6 -4.5 -2.6 -3.0 -3.4 -2.5 -6.9 -7.2 -7.8 -6.9 -7.8 -8.4 -9.2 -2.7 -6.2 -4.2 -9.3 -7.3 -10.8 -8.7 -11.2 -3.2 -3.1 -2.7 -2.1 -3.7 -1.8 -3.8 -2.4 -9.9 -12.4 -6.4 -4.9 -20.0 -20.0 20.0 20.0 US5 -1.3 -8.2 -15.7 -2.2 -3.7 -2.1 -2.4 -2.8 -2.1 -4.9 -5.5 -4.9 -6.5 -3.9 -6.4 -13.2 -9.0 -13.0 -11.7 -6.8 -7.3 -4.0 -8.2 -4.5 3.0 -2.3 -2.7 -2.4 -1.4 -2.4 -1.5 -14.6 3.6 -1.6 -1.8 -5.3 -20.0 -20.0 5.3 -15.7 VIX 20.0 0.5 -20.0 -6.4 -0.8 -9.2 0.7 -9.5 -1.7 3.7 -20.0 7.0 -20.0 -10.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 1.4 -20.0 -7.4 NaN -7.3 -0.9 -11.1 0.8 -11.7 -1.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -6.1 4.1 14.4 0.7 -1.4 -0.4 -0.8 -1.2 0.4 -5.9 -3.1 -6.0 -6.5 -4.7 -1.7 -9.6 -8.9 -9.9 -9.9 -1.2 -2.0 -5.6 -3.8 -3.5 -3.3 0.0 -1.9 -0.5 -1.7 -1.2 -0.7 -20.0 -8.6 0.6 -3.0 0.6 -18.5 -15.5 -11.6 -8.0 End of report for caleb_strategy_v3