******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230815_204335 produced at 2023-08-15 21:38:39.288762 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.65 -0.62 0.0 0.93 -0.93 -0.65 -0.84 -6.64 10.0 -7 -9 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.59 0.0 0.00 0.00 0.00 0.00 -6.98 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.36 0.0 0.00 0.00 0.00 0.00 -5.09 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.21 0.0 0.38 -0.38 -0.11 -0.16 -30.64 56.0 -17 -23 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -4.73 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.17 0.0 0.11 -0.11 -0.11 -0.11 -27.29 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.21 -0.15 0.0 0.52 -0.52 -0.21 -0.21 -4.86 17.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.20 -0.13 0.0 0.65 -0.65 -0.20 -0.20 -2.56 13.0 -4 -4 caleb_strategy_v3 US5 False False 0.04 -0.22 -0.11 0.0 0.93 -0.93 -0.22 -0.22 -2.83 25.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.10 0.0 0.76 -0.76 -0.03 -0.03 -3.74 29.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 -0.22 -0.09 0.0 0.84 -0.84 -0.22 -0.22 -2.02 19.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.06 -0.06 -0.06 -0.06 -26.72 26.0 -25 -25 caleb_strategy_v3 COPPER False False 0.03 -0.06 -0.07 0.0 0.19 -0.19 -0.06 -0.10 -2.06 6.0 -2 -3 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.66 -0.66 0.00 0.00 -1.44 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.05 0.0 0.67 -0.67 -0.05 -0.10 -1.14 14.0 -1 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.43 -0.43 0.00 0.00 -2.25 19.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -1.00 8.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.09 -0.04 0.0 0.38 -0.38 -0.09 -0.02 -4.86 48.0 -12 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.03 0.0 0.00 -0.00 0.00 0.00 -1.68 0.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.03 0.0 0.25 -0.25 -0.01 0.00 -2.69 23.0 -1 0 caleb_strategy_v3 US10U False False 0.04 -0.16 -0.03 0.0 0.52 -0.52 -0.16 -0.16 -0.70 13.0 -4 -4 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.36 5.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.09 -0.02 0.0 0.16 -0.16 -0.09 -0.09 -1.15 10.0 -6 -6 caleb_strategy_v3 NZD False False 0.02 0.02 -0.02 0.0 0.44 -0.44 0.02 0.00 -1.12 21.0 1 0 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.02 0.0 0.38 -0.38 -0.04 -0.04 -0.41 9.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.02 0.0 0.27 -0.27 -0.04 -0.04 -0.42 6.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.23 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.10 -0.02 0.0 0.35 -0.35 -0.10 -0.11 -3.27 58.0 -17 -18 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.90 9.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.23 -0.23 -0.01 -0.00 -3.69 68.0 -4 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.59 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.62 8.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.31 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.90 2.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 -0.01 -1.20 12.0 0 -1 caleb_strategy_v3 COCOA False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 -0.01 -0.43 26.0 -1 -1 caleb_strategy_v3 SP400 False False 0.09 0.19 -0.00 0.0 0.19 -0.19 0.19 0.09 -0.05 2.0 2 1 caleb_strategy_v3 BUXL False False 0.05 -0.10 -0.00 0.0 0.20 -0.20 -0.10 -0.10 -0.06 4.0 -2 -2 caleb_strategy_v3 BITCOIN False False 0.00 -0.00 -0.00 0.0 0.06 -0.06 -0.00 -0.00 -4.57 59.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.41 -0.41 0.00 -0.11 -0.50 66.0 0 -17 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.63 18.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.02 0.01 0.0 0.33 -0.33 0.02 0.05 0.89 20.0 1 3 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.58 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 0.48 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.01 0.0 0.16 -0.16 0.07 0.07 0.52 7.0 3 3 caleb_strategy_v3 COTTON2 False False 0.02 0.03 0.01 0.0 0.17 -0.17 0.03 0.02 0.47 11.0 2 1 caleb_strategy_v3 SMI False False 0.04 0.35 0.01 0.0 0.40 -0.40 0.35 0.35 0.22 9.0 8 8 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.02 0.0 0.21 -0.21 0.00 0.00 4.24 51.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.82 12.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.50 -0.50 0.05 0.05 0.31 10.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.20 -0.20 0.01 0.01 1.85 23.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.11 0.03 0.0 0.62 -0.62 0.11 0.11 1.16 22.0 4 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 3.52 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.71 3.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.31 0.05 0.0 0.44 -0.44 0.31 0.31 1.23 10.0 7 7 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.06 0.0 0.14 -0.14 0.06 0.03 2.13 5.0 2 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.06 0.0 0.48 -0.48 0.00 0.05 1.25 10.0 0 1 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.06 0.0 0.43 -0.43 0.10 0.08 2.51 17.0 4 3 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.07 0.0 0.13 -0.13 0.07 0.06 6.61 13.0 7 6 caleb_strategy_v3 GASOIL False False 0.03 0.12 0.08 0.0 0.12 -0.12 0.12 0.12 2.57 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.09 0.0 0.13 -0.13 0.00 0.00 2.08 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.67 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.33 0.0 0.28 -0.28 0.28 0.28 43.13 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.62 0.64 0.0 0.62 -0.62 0.62 0.62 62.25 60.0 60 60 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.57 1.12 0.0 0.57 -0.57 0.57 0.57 31.61 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.0 Shocked risk 54.6 Sum abs risk 60.9 Leverage 6.36 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2834620.22, 'annual_cash_vol_target': 708655.055, 'daily_cash_vol_target': 44290.9409375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6470 0.7101 11.3608 BITCOIN 659.5806 29375.0000 2.2454 35.9261 BOBL 0.2702 115.0100 0.2350 3.7595 BTP 0.6447 113.7500 0.5668 9.0682 BUND 0.5802 130.7000 0.4439 7.1022 BUXL 1.3589 129.0200 1.0533 16.8524 CAC 62.6512 7287.0000 0.8598 13.7563 CAD 0.0029 0.7415 0.3948 6.3163 CANOLA 9.1737 783.6000 1.1707 18.7313 CHF 0.0051 1.1420 0.4501 7.2019 COCOA 41.1257 3436.0000 1.1969 19.1505 COFFEE 2.7494 151.9000 1.8100 28.9603 COPPER 0.0463 3.6675 1.2613 20.1812 CORN 9.9219 473.7500 2.0943 33.5093 COTTON2 1.3481 86.1300 1.5652 25.0437 CRUDE_W 1.0390 79.6200 1.3049 20.8788 DAX 126.9640 15809.0000 0.8031 12.8498 DOW 194.4723 35076.0000 0.5544 8.8709 EUR 0.0051 1.0922 0.4665 7.4636 EURIBOR-ICE 0.0553 96.9050 0.0571 0.9135 EUROSTX 44.1095 4294.0000 1.0272 16.4358 FEEDCOW 1.4490 252.0250 0.5749 9.1991 GASOIL 13.9153 851.5000 1.6342 26.1474 GASOLINE 0.0387 2.4938 1.5513 24.8202 GAS_US_mini 0.0994 2.7750 3.5823 57.3162 GBP 0.0067 1.2708 0.5269 8.4306 GOLD_micro 10.9507 1915.7000 0.5716 9.1461 HEATOIL 0.0391 2.9588 1.3222 21.1554 JGB-SGX-mini 0.2741 146.5900 0.1870 2.9914 JPY 0.0000 0.0069 0.6475 10.3598 LEANHOG 1.3063 71.2500 1.8334 29.3340 LIVECOW 1.0779 180.0750 0.5986 9.5772 LUMBER-new 9.5462 515.5000 1.8518 29.6294 MILK 0.2879 18.0600 1.5943 25.5092 MXP 0.0004 0.0581 0.7436 11.8977 NASDAQ_micro 125.0689 15149.5000 0.8256 13.2090 NIKKEI 295.5646 31970.0000 0.9245 14.7921 NZD 0.0043 0.5962 0.7191 11.5063 OAT 0.5893 125.2400 0.4705 7.5286 OATIES 6.7536 446.2500 1.5134 24.2146 OJ 4.0185 304.1000 1.3214 21.1429 PALLAD 23.5335 1238.5000 1.9002 30.4025 PLAT 13.7619 892.1000 1.5426 24.6822 REDWHEAT 15.4565 745.0000 2.0747 33.1952 RICE 0.1628 15.7700 1.0323 16.5166 ROBUSTA 37.6664 2435.0000 1.5469 24.7500 RUSSELL 16.6430 1907.0000 0.8727 13.9637 SHATZ 0.0857 104.8650 0.0818 1.3080 SILVER-mini 0.3391 22.9500 1.4776 23.6415 SMI 78.2283 11003.0000 0.7110 11.3756 SOFR 0.0772 96.2750 0.0802 1.2835 SOYBEAN 17.6403 1304.5000 1.3523 21.6362 SOYMEAL 5.8604 380.2000 1.5414 24.6624 SOYOIL 0.9213 61.8300 1.4901 23.8419 SP400 19.2324 2642.7000 0.7278 11.6441 SP500_micro 26.1917 4463.5000 0.5868 9.3887 SUGAR11 0.3072 23.9900 1.2804 20.4863 US10 0.4464 109.7812 0.4066 6.5056 US10U 0.6093 114.4219 0.5325 8.5202 US2 0.1053 101.3672 0.1039 1.6623 US20 0.8629 120.0625 0.7187 11.4990 US30 1.2787 125.7188 1.0171 16.2733 US5 0.2860 106.0000 0.2698 4.3175 VIX 0.4810 17.6000 2.7331 43.7291 WHEAT 16.0038 623.0000 2.5688 41.1012 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 647.05 0.71 459.44 1.00 459.44 44290.94 96.40 -7.17 -69.09 BITCOIN 29.38 2.25 65.96 1.00 65.96 44290.94 671.50 -0.57 -38.04 BOBL 1150.10 0.23 270.23 1.09 295.35 44290.94 149.96 -14.56 -218.30 BTP 1137.50 0.57 644.70 1.09 704.62 44290.94 62.86 6.28 39.46 BUND 1307.00 0.44 580.16 1.09 634.09 44290.94 69.85 4.85 33.84 BUXL 1290.20 1.05 1358.94 1.09 1485.25 44290.94 29.82 -2.34 -6.97 CAC 728.70 0.86 626.51 1.09 684.75 44290.94 64.68 3.87 25.05 CAD 741.45 0.39 292.70 1.00 292.70 44290.94 151.32 -7.60 -115.07 CANOLA 156.72 1.17 183.47 0.74 136.30 44290.94 324.95 6.23 202.36 CHF 1427.56 0.45 642.57 1.00 642.57 44290.94 68.93 -11.44 -78.89 COCOA 343.60 1.20 411.26 1.00 411.26 44290.94 107.70 -2.17 -23.35 COFFEE 569.62 1.81 1031.03 1.00 1031.03 44290.94 42.96 -13.70 -58.84 COPPER 916.88 1.26 1156.48 1.00 1156.48 44290.94 38.30 -4.47 -17.14 CORN 236.88 2.09 496.10 1.00 496.10 44290.94 89.28 -6.42 -57.29 COTTON2 430.65 1.57 674.07 1.00 674.07 44290.94 65.71 3.91 25.68 CRUDE_W 796.20 1.30 1038.98 1.00 1038.98 44290.94 42.63 4.08 17.40 DAX 158.09 0.80 126.96 1.09 138.77 44290.94 319.18 -3.13 -99.97 DOW 175.38 0.55 97.24 1.00 97.24 44290.94 455.50 -0.50 -22.56 EUR 1365.25 0.47 636.86 1.00 636.86 44290.94 69.55 -5.02 -34.92 EURIBOR-ICE 2422.62 0.06 138.31 1.09 151.17 44290.94 292.99 -7.26 -212.72 EUROSTX 429.40 1.03 441.10 1.09 482.10 44290.94 91.87 2.97 27.27 FEEDCOW 1260.12 0.57 724.50 1.00 724.50 44290.94 61.13 -4.79 -29.26 GASOIL 851.50 1.63 1391.53 1.00 1391.53 44290.94 31.83 16.46 52.39 GASOLINE 1047.40 1.55 1624.79 1.00 1624.79 44290.94 27.26 20.00 54.52 GAS_US_mini 69.38 3.58 248.52 1.00 248.52 44290.94 178.22 -12.24 -218.15 GBP 794.25 0.53 418.50 1.00 418.50 44290.94 105.83 3.37 35.68 GOLD_micro 191.57 0.57 109.51 1.00 109.51 44290.94 404.46 -20.00 -808.92 HEATOIL 1242.70 1.32 1643.11 1.00 1643.11 44290.94 26.96 15.71 42.35 JGB-SGX-mini 146590.00 0.19 27406.52 0.01 189.33 44290.94 233.93 10.34 241.92 JPY 862.81 0.65 558.66 1.00 558.66 44290.94 79.28 -18.86 -149.54 LEANHOG 285.00 1.83 522.51 1.00 522.51 44290.94 84.77 12.48 105.76 LIVECOW 720.30 0.60 431.15 1.00 431.15 44290.94 102.73 7.16 73.60 LUMBER-new 141.76 1.85 262.52 1.00 262.52 44290.94 168.71 -13.77 -232.34 MILK 361.20 1.59 575.87 1.00 575.87 44290.94 76.91 -16.62 -127.79 MXP 290.55 0.74 216.06 1.00 216.06 44290.94 205.00 18.46 378.44 NASDAQ_micro 302.99 0.83 250.14 1.00 250.14 44290.94 177.07 -6.79 -120.27 NIKKEI 31970.00 0.92 29556.46 0.01 204.19 44290.94 216.91 15.22 330.10 NZD 596.15 0.72 428.72 1.00 428.72 44290.94 103.31 -3.34 -34.54 OAT 1252.40 0.47 589.30 1.09 644.08 44290.94 68.77 5.84 40.17 OATIES 223.12 1.51 337.68 1.00 337.68 44290.94 131.16 -6.93 -90.86 OJ 456.15 1.32 602.77 1.00 602.77 44290.94 73.48 20.00 146.96 PALLAD 1238.50 1.90 2353.35 1.00 2353.35 44290.94 18.82 -4.32 -8.13 PLAT 446.05 1.54 688.09 1.00 688.09 44290.94 64.37 -4.72 -30.38 REDWHEAT 372.50 2.07 772.83 1.00 772.83 44290.94 57.31 -9.51 -54.51 RICE 315.40 1.03 325.58 1.00 325.58 44290.94 136.04 12.34 167.85 ROBUSTA 243.50 1.55 376.66 1.00 376.66 44290.94 117.59 15.64 183.89 RUSSELL 95.35 0.87 83.21 1.00 83.21 44290.94 532.25 -2.18 -115.80 SHATZ 1048.65 0.08 85.73 1.09 93.70 44290.94 472.70 -10.78 -509.58 SILVER-mini 573.75 1.48 847.77 1.00 847.77 44290.94 52.24 -8.49 -44.37 SMI 1100.30 0.71 782.28 1.14 891.65 44290.94 49.67 1.34 6.64 SOFR 2406.88 0.08 193.07 1.00 193.07 44290.94 229.40 -5.24 -120.25 SOYBEAN 652.25 1.35 882.01 1.00 882.01 44290.94 50.22 12.89 64.73 SOYMEAL 380.20 1.54 586.04 1.00 586.04 44290.94 75.58 7.87 59.48 SOYOIL 370.98 1.49 552.80 1.00 552.80 44290.94 80.12 8.99 72.03 SP400 2642.70 0.73 1923.24 1.00 1923.24 44290.94 23.03 -0.69 -1.59 SP500_micro 223.18 0.59 130.96 1.00 130.96 44290.94 338.21 -6.43 -217.46 SUGAR11 268.69 1.28 344.03 1.00 344.03 44290.94 128.74 2.66 34.30 US10 1097.81 0.41 446.37 1.00 446.37 44290.94 99.23 -11.96 -118.69 US10U 1144.22 0.53 609.31 1.00 609.31 44290.94 72.69 -7.95 -57.82 US2 2027.34 0.10 210.63 1.00 210.63 44290.94 210.27 -20.00 -420.55 US20 1200.62 0.72 862.87 1.00 862.87 44290.94 51.33 -6.62 -33.97 US30 1257.19 1.02 1278.66 1.00 1278.66 44290.94 34.64 -10.03 -34.74 US5 1060.00 0.27 286.03 1.00 286.03 44290.94 154.85 -15.11 -233.95 VIX 176.00 2.73 481.02 1.00 481.02 44290.94 92.08 -20.00 -184.15 WHEAT 311.50 2.57 800.19 1.00 800.19 44290.94 55.35 -14.31 -79.21 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -69.088 0.013 2.5 -2.246 BITCOIN -38.042 0.048 2.5 -4.575 BOBL -218.295 0.004 2.5 -2.024 BTP 39.462 0.012 2.5 1.231 BUND 33.844 0.004 2.5 0.314 BUXL -6.968 0.004 2.5 -0.065 CAC 25.046 0.013 2.5 0.818 CAD -115.072 0.013 2.5 -3.740 CANOLA 202.362 0.008 2.5 4.239 CHF -78.888 0.013 2.5 -2.564 COCOA -23.348 0.007 2.5 -0.431 COFFEE -58.839 0.004 2.5 -0.592 COPPER -17.136 0.048 2.5 -2.061 CORN -57.293 0.008 2.5 -1.200 COTTON2 25.680 0.007 2.5 0.474 CRUDE_W 17.396 0.049 2.5 2.131 DAX -99.972 0.013 2.5 -3.266 DOW -22.556 0.009 2.5 -0.504 EUR -34.921 0.013 2.5 -1.135 EURIBOR-ICE -212.725 0.012 2.5 -6.635 EUROSTX 27.271 0.013 2.5 0.891 FEEDCOW -29.258 0.014 2.5 -0.997 GASOIL 52.389 0.020 2.5 2.568 GASOLINE 54.519 0.020 2.5 2.673 GAS_US_mini -218.150 0.049 2.5 -26.717 GBP 35.676 0.013 2.5 1.160 GOLD_micro -808.915 0.015 2.5 -30.640 HEATOIL 42.350 0.020 2.5 2.076 JGB-SGX-mini 241.924 0.052 2.5 31.613 JPY -149.537 0.013 2.5 -4.860 LEANHOG 105.761 0.025 2.5 6.611 LIVECOW 73.603 0.014 2.5 2.509 LUMBER-new -232.340 0.007 2.5 -4.225 MILK -127.789 0.007 2.5 -2.357 MXP 378.441 0.066 2.5 62.253 NASDAQ_micro -120.268 0.009 2.5 -2.686 NIKKEI 330.098 0.052 2.5 43.134 NZD -34.538 0.013 2.5 -1.123 OAT 40.168 0.012 2.5 1.253 OATIES -90.859 0.008 2.5 -1.903 OJ 146.958 0.007 2.5 2.711 PALLAD -8.133 0.015 2.5 -0.308 PLAT -30.378 0.015 2.5 -1.151 REDWHEAT -54.508 0.005 2.5 -0.623 RICE 167.850 0.008 2.5 3.516 ROBUSTA 183.892 0.004 2.5 1.850 RUSSELL -115.798 0.013 2.5 -3.687 SHATZ -509.579 0.004 2.5 -4.726 SILVER-mini -44.372 0.015 2.5 -1.681 SMI 6.635 0.013 2.5 0.217 SOFR -120.254 0.023 2.5 -6.981 SOYBEAN 64.726 0.003 2.5 0.518 SOYMEAL 59.480 0.003 2.5 0.476 SOYOIL 72.030 0.003 2.5 0.577 SP400 -1.586 0.013 2.5 -0.051 SP500_micro -217.463 0.009 2.5 -4.856 SUGAR11 34.298 0.007 2.5 0.628 US10 -118.690 0.005 2.5 -1.437 US10U -57.820 0.005 2.5 -0.700 US2 -420.549 0.005 2.5 -5.090 US20 -33.972 0.005 2.5 -0.411 US30 -34.745 0.005 2.5 -0.421 US5 -233.954 0.005 2.5 -2.832 VIX -184.154 0.059 2.5 -27.286 WHEAT -79.209 0.005 2.5 -0.905 ===================== Position diags ===================== AUD 3.13 BITCOIN 80.75 BOBL 1.39 BTP 1.96 BUND 0.65 BUXL 0.28 CAC 2.11 CAD 4.92 CANOLA 6.81 CHF 2.24 COCOA 1.99 COFFEE 0.43 COPPER 4.61 CORN 1.87 COTTON2 1.21 CRUDE_W 5.22 DAX 10.43 DOW 10.17 EUR 2.26 EURIBOR-ICE 9.14 EUROSTX 3.00 FEEDCOW 2.08 GASOIL 1.56 GASOLINE 1.34 GAS_US_mini 21.83 GBP 3.44 GOLD_micro 15.32 HEATOIL 1.32 JGB-SGX-mini 30.57 JPY 2.58 LEANHOG 5.30 LIVECOW 3.50 LUMBER-new 3.07 MILK 1.42 MXP 33.72 NASDAQ_micro 3.95 NIKKEI 28.34 NZD 3.36 OAT 2.15 OATIES 2.75 OJ 1.36 PALLAD 0.71 PLAT 2.44 REDWHEAT 0.65 RICE 2.85 ROBUSTA 1.18 RUSSELL 16.95 SHATZ 4.38 SILVER-mini 1.98 SMI 1.62 SOFR 13.32 SOYBEAN 0.40 SOYMEAL 0.61 SOYOIL 0.64 SP400 0.73 SP500_micro 7.55 SUGAR11 2.36 US10 1.20 US10U 0.88 US2 2.55 US20 0.62 US30 0.42 US5 1.87 VIX 13.64 WHEAT 0.63 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.2 -2.6 -1.9 NaN 0 BITCOIN -4.6 -12.6 3.5 -3.0 -3 BOBL -2.0 -2.2 -1.9 -5.0 -5 BTP 1.2 1.0 1.4 7.0 7 BUND 0.3 0.2 0.4 1.0 1 BUXL -0.1 -0.1 -0.0 -2.0 -2 CAC 0.8 0.6 1.0 NaN 0 CAD -3.7 -4.2 -3.2 -1.0 -1 CANOLA 4.2 3.6 4.9 NaN 0 CHF -2.6 -2.8 -2.3 -4.0 -4 COCOA -0.4 -0.6 -0.2 -1.0 -1 COFFEE -0.6 -0.6 -0.5 NaN 0 COPPER -2.1 -2.5 -1.6 -2.0 -2 CORN -1.2 -1.4 -1.0 0.0 0 COTTON2 0.5 0.4 0.6 2.0 2 CRUDE_W 2.1 1.6 2.7 2.0 2 DAX -3.3 -4.3 -2.2 -17.0 -17 DOW -0.5 -1.5 0.5 NaN 0 EUR -1.1 -1.4 -0.9 -1.0 -1 EURIBOR-ICE -6.6 -7.5 -5.7 -7.0 -7 EUROSTX 0.9 0.6 1.2 1.0 1 FEEDCOW -1.0 -1.2 -0.8 0.0 0 GASOIL 2.6 2.4 2.7 4.0 4 GASOLINE 2.7 2.5 2.8 4.0 4 GAS_US_mini -26.7 -28.9 -24.5 -25.0 -25 GBP 1.2 0.8 1.5 4.0 4 GOLD_micro -30.6 -32.2 -29.1 -17.0 -17 HEATOIL 2.1 1.9 2.2 0.0 0 JGB-SGX-mini 31.6 28.6 34.7 16.0 16 JPY -4.9 -5.1 -4.6 -7.0 -7 LEANHOG 6.6 6.1 7.1 7.0 7 LIVECOW 2.5 2.2 2.9 4.0 4 LUMBER-new -4.2 -4.5 -3.9 NaN 0 MILK -2.4 -2.5 -2.2 NaN 0 MXP 62.3 58.9 65.6 60.0 60 NASDAQ_micro -2.7 -3.1 -2.3 -1.0 -1 NIKKEI 43.1 40.3 46.0 36.0 36 NZD -1.1 -1.5 -0.8 1.0 1 OAT 1.3 1.0 1.5 NaN 0 OATIES -1.9 -2.2 -1.6 NaN 0 OJ 2.7 2.6 2.8 NaN 0 PALLAD -0.3 -0.4 -0.2 NaN 0 PLAT -1.2 -1.4 -0.9 -6.0 -6 REDWHEAT -0.6 -0.7 -0.6 -1.0 -1 RICE 3.5 3.2 3.8 NaN 0 ROBUSTA 1.8 1.7 2.0 1.0 1 RUSSELL -3.7 -5.4 -2.0 -4.0 -4 SHATZ -4.7 -5.2 -4.3 NaN 0 SILVER-mini -1.7 -1.9 -1.5 NaN 0 SMI 0.2 0.1 0.4 8.0 8 SOFR -7.0 -8.3 -5.6 NaN 0 SOYBEAN 0.5 0.5 0.6 3.0 3 SOYMEAL 0.5 0.4 0.5 0.0 0 SOYOIL 0.6 0.5 0.6 0.0 0 SP400 -0.1 -0.1 0.0 2.0 2 SP500_micro -4.9 -5.6 -4.1 -12.0 -12 SUGAR11 0.6 0.4 0.9 0.0 0 US10 -1.4 -1.6 -1.3 NaN 0 US10U -0.7 -0.8 -0.6 -4.0 -4 US2 -5.1 -5.3 -4.8 NaN 0 US20 -0.4 -0.5 -0.3 -1.0 -1 US30 -0.4 -0.5 -0.4 -1.0 -1 US5 -2.8 -3.0 -2.6 -6.0 -6 VIX -27.3 -28.7 -25.9 -17.0 -17 WHEAT -0.9 -1.0 -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 1.9 0.9 0.9 6.3 6.3 6.3 6.3 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 1.2 2.1 0.8 2.8 0.8 1.2 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 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 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.2 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 0.5 0.5 0.1 -0.1 0.3 -0.1 0.3 BOBL 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 -1.2 -0.4 -1.2 -0.9 -0.0 -0.0 -0.1 -0.2 -0.0 0.5 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -2.4 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.2 BTP -0.2 -0.1 0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.0 -0.0 0.0 0.3 0.5 0.3 0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.1 0.0 -0.0 0.0 -0.0 2.6 0.1 0.2 0.1 0.4 -0.3 -0.3 -0.0 0.1 BUND -0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 0.4 0.5 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.0 0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 2.7 0.1 0.0 0.1 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.3 -0.1 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 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 0.1 -0.1 0.1 0.1 -0.3 -0.3 -0.0 0.2 CAC -0.1 -0.2 -0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.3 -0.1 0.5 0.0 0.0 -0.4 -0.0 -0.3 -0.1 0.0 0.1 -0.1 0.3 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.2 -0.0 1.2 0.6 0.3 0.1 -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 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.0 -0.2 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.4 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 -0.0 0.1 -0.1 -0.1 0.0 0.0 -0.2 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 1.4 0.2 -0.3 0.4 0.3 -0.2 0.1 0.0 0.3 CHF -0.3 0.2 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 0.1 0.3 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.1 0.5 0.1 0.1 -0.3 -0.1 -0.1 -0.1 0.2 0.2 -0.1 0.4 0.0 -0.5 0.1 0.0 0.2 -0.0 0.2 0.0 -2.4 -0.5 0.2 0.5 0.5 -0.2 -0.2 0.2 -0.1 COFFEE 0.2 -0.3 -0.3 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 -0.1 0.0 0.2 0.1 0.2 -0.1 -0.1 -0.2 -0.2 -0.1 -1.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -1.2 -0.7 -0.1 -0.5 -0.1 -0.3 -0.3 -0.1 -0.2 COPPER -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.2 -0.2 -0.0 -0.0 -0.2 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.4 -0.3 0.3 0.1 -0.2 0.0 -0.3 0.1 -0.2 CORN -0.3 -0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 0.4 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.0 -0.1 -0.1 -0.2 -0.0 -0.0 0.1 0.0 0.2 COTTON2 0.1 0.3 0.3 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 0.0 -0.2 0.1 0.1 0.5 0.4 0.5 0.4 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 0.4 0.3 0.1 0.3 -0.3 -0.2 0.1 0.1 CRUDE_W 0.5 0.5 0.2 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.3 0.1 -0.2 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 0.0 0.1 0.1 -1.8 -0.4 -0.5 -0.1 0.0 0.2 0.2 0.2 0.1 DAX -0.2 -0.3 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 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 0.1 -0.0 -0.5 -0.0 0.0 -0.3 -0.1 0.3 0.0 0.3 0.1 DOW -0.0 0.4 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.3 -0.0 0.4 0.1 0.1 -0.7 -0.4 -0.6 -0.6 0.1 0.1 -0.0 0.2 0.1 -0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 0.4 0.5 0.5 0.4 -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 -0.2 0.1 -0.1 0.3 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.1 0.1 -0.1 0.7 0.0 -0.1 0.1 -0.0 0.1 -0.0 -1.2 0.3 -0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.0 EURIBOR-ICE 0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.5 -0.5 -0.6 -0.5 -0.0 -0.0 -0.1 -0.2 -0.0 0.9 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -1.8 0.0 0.2 0.1 0.1 -0.3 -0.3 0.3 0.1 EUROSTX -0.2 -0.2 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 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 -0.1 0.1 -0.0 0.2 -0.0 1.1 0.3 0.1 -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 -0.1 -0.1 -0.0 -0.2 0.4 -0.0 0.6 0.2 0.2 -0.7 -1.2 -1.2 -1.2 0.2 0.2 0.0 0.4 0.1 0.3 0.1 -0.0 0.3 0.0 0.4 0.0 -3.2 0.4 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 0.0 0.0 0.1 0.1 -0.1 0.2 0.1 1.2 0.9 0.8 0.8 0.2 0.1 0.2 0.1 0.2 0.6 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.3 0.5 0.5 0.3 -0.1 0.0 -0.2 -0.1 GASOLINE 0.4 0.5 0.3 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.4 0.1 -0.0 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 -0.4 -0.3 0.2 0.5 0.2 0.2 0.2 0.0 GAS_US_mini 0.1 0.5 0.5 0.0 -0.0 0.0 0.0 0.0 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0.2 -0.0 0.3 0.0 3.2 0.2 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 -0.2 -0.2 0.2 0.5 -0.1 -0.2 -0.2 -0.2 NIKKEI -0.3 -0.4 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 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 -0.1 0.2 -0.0 0.2 -0.0 3.2 -0.0 0.2 -0.2 0.5 0.0 0.0 -0.0 0.1 NZD -0.5 -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 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.8 -0.2 -0.1 -0.3 -0.2 -0.0 -0.2 0.1 0.1 OAT -0.2 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -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 0.1 0.0 0.1 0.1 -0.3 -0.3 -0.0 0.0 OATIES -0.3 0.4 0.5 0.0 -0.1 -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 -0.6 0.1 0.1 0.0 0.1 0.1 -1.1 0.0 0.0 0.1 0.0 0.0 0.0 -3.2 0.2 0.2 0.3 0.5 0.0 0.3 0.2 0.3 OJ 0.3 0.5 0.3 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.2 0.4 0.1 0.6 0.2 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.2 0.4 0.2 -1.1 0.1 0.1 0.2 0.0 0.3 0.0 3.2 0.7 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 0.0 -0.4 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -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 -0.0 -0.1 0.0 -0.1 -0.0 0.2 0.7 0.4 -0.2 -0.3 -0.2 -0.0 0.1 0.0 PLAT -0.2 -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 -0.1 -0.0 -0.0 -0.0 -0.0 0.4 0.1 -0.1 -0.2 -0.3 0.0 -0.2 0.2 -0.2 REDWHEAT -0.5 -0.1 0.0 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 -0.2 -0.0 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.5 -0.4 -0.2 -0.2 0.0 -0.3 -0.2 -0.1 -0.1 RICE 0.2 0.3 0.2 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.0 0.1 0.1 -0.5 1.2 1.1 1.2 0.1 0.0 -0.0 0.0 0.1 -1.1 0.0 -0.1 0.0 -0.0 0.0 0.0 3.2 0.2 0.5 0.1 0.5 -0.1 -0.3 0.1 -0.2 ROBUSTA 0.0 -0.3 0.2 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.0 0.3 -0.0 0.0 1.2 1.0 1.2 1.2 0.1 0.1 -0.1 0.3 0.0 -0.6 0.0 -0.1 0.1 -0.0 0.2 0.0 3.2 0.1 0.2 -0.3 0.5 -0.1 -0.2 0.1 -0.1 RUSSELL -0.3 0.4 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.1 -0.1 -0.0 0.0 0.1 -0.5 -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 -0.2 0.0 0.5 0.4 -0.1 -0.1 -0.3 -0.1 SHATZ 0.3 -0.0 -0.4 -0.0 -0.1 -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 -0.1 -0.1 -0.0 -0.1 -0.0 -1.3 0.2 0.3 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.5 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.1 -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 -0.1 0.0 -0.1 -0.2 -0.3 -0.0 -0.3 SMI 0.0 -0.3 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 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 -0.1 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 1.5 0.5 0.5 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR -0.2 -0.3 -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 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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 -20.0 -4.9 -0.1 0.9 -3.5 2.2 -4.0 1.5 -2.1 -11.0 -7.4 -12.1 -4.5 -11.1 -7.1 -2.8 -2.7 -2.7 -2.8 -7.7 -4.4 -14.8 -4.5 -13.1 2.3 -2.6 -4.6 -1.3 -5.6 -1.4 -4.8 -0.6 -3.2 -5.0 -17.9 -10.6 -3.5 -20.0 1.8 7.7 BITCOIN -8.3 -0.1 5.6 -2.7 -11.9 1.3 -12.6 2.3 -8.7 -8.4 19.7 -12.7 1.6 -3.5 8.5 -8.1 -3.9 -6.9 -5.4 3.4 12.0 -3.7 7.7 -3.2 -20.0 1.0 -2.0 4.6 -2.1 4.4 -1.9 -1.5 20.0 20.0 20.0 2.6 -7.1 20.0 -5.8 20.0 BOBL 1.7 -2.8 -4.9 -2.3 -4.6 -2.0 -3.6 -2.5 -2.7 -7.2 -3.4 -5.1 -6.7 -0.5 -4.2 -20.0 -7.5 -20.0 -15.6 -3.2 -5.0 -5.7 -9.2 -2.8 9.7 -1.3 -5.4 -1.6 -3.0 -3.2 -1.4 -15.3 3.2 5.6 3.5 2.5 -20.0 -20.0 -20.0 -14.6 BTP -6.8 -5.8 10.5 -3.6 -7.2 -3.2 -5.6 -3.9 -4.1 -10.9 7.8 -9.1 -0.2 -2.3 1.6 4.7 8.1 5.4 6.6 -0.2 2.2 -8.5 -1.6 -4.3 -6.8 -0.1 -8.4 2.0 -5.4 0.4 -2.8 16.5 3.8 6.7 5.6 15.6 -20.0 -20.0 -2.2 6.3 BUND -5.8 -4.3 2.0 -2.5 -4.9 -2.2 -3.9 -2.7 -2.8 -7.6 -4.3 -6.9 -7.4 -4.5 -4.8 6.1 8.9 6.4 7.1 -4.1 -4.5 -8.0 -8.7 -5.3 5.9 -2.0 -6.4 -1.6 -4.4 -3.0 -2.9 17.3 1.6 1.5 2.6 3.4 -20.0 -20.0 -16.8 -1.7 BUXL -12.7 -4.0 3.2 -2.9 -5.7 -2.5 -4.5 -3.1 -3.3 -8.8 -8.5 -8.7 -9.6 -8.1 -7.0 0.7 1.1 1.2 1.5 -6.1 -6.2 -10.5 -11.4 -8.4 0.5 -2.5 -5.6 -1.8 -4.7 -2.9 -3.8 6.0 1.8 -3.1 2.2 3.5 -20.0 -20.0 -1.1 11.8 CAC -4.2 -6.4 -16.7 1.3 -9.5 4.4 -8.0 4.6 -3.7 -12.3 15.6 -10.7 17.9 2.9 5.1 -7.0 -0.1 -4.8 -2.2 2.1 8.4 -6.4 15.8 -2.1 -4.5 1.5 -6.9 4.9 -3.9 7.9 -1.3 7.5 17.4 11.5 4.5 -3.9 20.0 -1.2 20.0 1.5 CAD -20.0 -5.9 9.4 1.5 -6.3 4.0 -7.1 2.6 -3.7 -19.7 9.5 -20.0 -7.9 -18.7 1.3 -2.0 -1.9 -2.1 -2.2 -5.2 2.9 -20.0 -1.7 -19.3 0.5 -2.2 -9.2 1.6 -10.8 0.2 -8.3 0.6 -11.2 1.7 -19.9 -4.9 -15.9 -20.0 -20.0 -17.0 CANOLA -20.0 20.0 20.0 0.6 -3.7 -0.7 -2.5 -1.8 -0.3 -1.9 3.5 -7.1 -5.3 2.6 6.0 -2.6 13.8 6.2 11.5 8.8 5.6 -5.9 -1.3 0.8 -20.0 1.6 -0.0 0.5 -1.0 -1.1 0.2 8.9 6.6 -10.4 17.3 11.9 -15.9 10.1 2.0 20.0 CHF -13.1 9.9 3.4 1.2 -4.8 3.1 -5.5 2.0 -2.8 -15.1 10.0 -15.8 12.3 0.2 4.7 -14.0 -13.0 -14.0 -13.6 7.8 11.7 -9.7 10.3 -1.8 -7.4 3.2 -3.0 4.3 -2.9 3.3 -0.1 -18.8 11.3 6.9 12.8 1.4 -16.2 -20.0 -18.3 -20.0 COCOA -9.6 4.4 10.1 1.3 -7.8 -1.4 -5.2 -3.7 -0.6 -6.8 19.7 -8.2 19.3 6.7 16.3 -4.8 -1.2 -2.1 -1.2 20.0 20.0 -6.2 20.0 5.2 -10.4 6.4 0.1 9.2 -1.8 8.5 1.4 -15.3 -15.0 6.5 20.0 20.0 -15.2 -17.2 13.6 -5.0 COFFEE 6.6 -12.6 -12.1 1.3 -7.5 -1.4 -5.0 -3.6 -0.6 -17.7 -6.3 -13.0 -9.9 -16.1 -17.3 0.1 3.3 1.9 2.9 -15.8 -14.6 -20.0 -12.0 -14.3 -20.0 -4.2 -16.2 -2.6 -10.8 -1.8 -5.9 -7.9 -20.0 -5.1 -20.0 -5.9 -20.0 -20.0 -11.2 -13.6 COPPER -4.1 4.1 -5.7 -1.3 -5.7 0.6 -6.0 1.1 -4.1 -10.9 -4.3 -11.3 -2.8 -6.2 -2.2 -5.0 -1.9 -3.6 -2.7 -3.2 -2.6 -13.8 -2.5 -7.2 -3.6 -0.7 -8.3 -1.1 -6.5 -1.3 -2.7 2.5 -7.7 10.1 2.0 -7.0 2.9 -20.0 9.3 -17.1 CORN -14.0 -11.7 3.5 0.5 -2.7 -0.5 -1.8 -1.3 -0.2 -6.5 -4.7 -6.9 -5.0 -6.3 -5.4 -6.7 6.2 -3.9 0.9 -5.1 -4.1 -8.4 -3.1 -7.1 -6.7 -0.7 -2.9 -1.0 -2.6 -1.5 -1.7 -6.6 -4.3 -5.3 -9.4 -0.2 -2.8 9.1 1.0 16.9 COTTON2 4.2 12.7 11.7 0.8 -4.9 -0.9 -3.3 -2.4 -0.4 -2.2 6.2 0.2 -8.7 7.6 7.9 8.6 7.0 7.9 6.1 7.5 4.0 4.4 -1.5 7.1 -20.0 3.6 -0.5 2.2 2.1 0.9 3.4 -3.0 12.2 13.4 4.1 13.6 -20.0 -15.7 10.6 8.6 CRUDE_W 19.3 20.0 7.9 6.4 -0.7 3.0 3.9 1.0 7.1 -3.7 12.4 14.9 -8.8 20.0 18.9 8.9 8.4 7.5 7.3 20.0 15.3 12.8 5.6 20.0 -7.0 7.6 -2.8 4.9 2.7 3.0 7.1 -11.4 -13.2 -20.0 -5.9 0.2 15.0 11.9 16.3 5.8 DAX -8.4 -10.2 -10.1 1.2 -8.8 4.1 -7.4 4.2 -3.4 -14.3 12.5 -14.0 15.7 -4.3 -0.1 -8.3 -6.7 -8.3 -7.9 -1.9 6.4 -13.3 12.3 -8.8 15.8 -1.7 -7.3 2.5 -7.4 5.3 -5.3 -3.4 -0.7 0.7 -11.0 -4.7 20.0 0.1 20.0 5.7 DOW -1.6 14.4 11.6 1.3 -9.5 4.4 -8.0 4.6 -3.7 -13.7 14.8 -5.0 13.1 11.3 16.0 -11.6 -7.4 -10.7 -9.3 17.0 15.7 -3.5 10.1 8.9 -10.4 5.9 -3.8 5.9 -1.2 4.2 2.8 -5.1 12.5 20.0 20.0 14.7 -6.8 -4.5 -20.0 -3.7 EUR -16.8 2.7 -0.1 1.2 -4.8 3.0 -5.4 2.0 -2.8 -14.5 6.0 -15.5 9.1 -8.3 0.3 -6.2 -6.8 -6.4 -6.5 0.4 4.9 -11.6 3.8 -6.7 13.1 0.6 -5.8 2.7 -5.4 1.9 -2.9 -7.3 9.4 -0.3 -0.3 -9.0 -3.1 -20.0 1.3 3.4 EURIBOR-ICE 4.0 1.1 -0.3 -2.2 -4.4 -2.0 -3.5 -2.4 -2.6 -6.9 -3.7 -4.7 -6.6 2.2 -2.6 -8.5 -7.7 -9.5 -9.1 -2.2 -4.4 -5.5 -8.9 -1.7 17.0 -0.9 -4.7 -1.6 -2.5 -3.3 -0.9 -11.2 0.7 6.3 4.0 2.4 -20.0 -20.0 20.0 6.8 EUROSTX -6.9 -9.7 -12.9 1.1 -8.0 3.7 -6.8 3.9 -3.1 -12.3 13.5 -11.4 15.6 -2.3 1.9 -4.6 -0.5 -4.4 -2.8 0.8 7.0 -8.0 12.2 -4.1 4.5 0.1 -7.3 4.0 -5.5 7.2 -3.1 6.7 8.6 4.9 -2.3 -2.7 20.0 2.2 20.0 8.1 FEEDCOW -3.2 12.9 20.0 1.6 -9.1 -1.7 -6.1 -4.4 -0.7 -18.9 20.0 -1.0 20.0 18.3 20.0 -11.1 -20.0 -20.0 -20.0 20.0 20.0 0.9 20.0 13.0 4.8 8.7 -2.3 13.0 0.2 13.6 3.9 -20.0 13.1 4.9 20.0 20.0 3.5 -14.9 16.7 -7.5 GASOIL 20.0 20.0 14.0 5.1 -0.6 2.4 3.2 0.8 5.7 0.7 5.8 15.2 -2.9 18.0 17.6 20.0 15.8 13.6 12.9 20.0 16.8 20.0 6.6 20.0 11.9 6.1 0.1 3.0 4.1 0.9 6.8 0.0 8.5 20.0 20.0 11.6 -10.4 2.8 -14.1 -4.7 GASOLINE 14.3 20.0 14.0 6.2 -0.7 2.9 3.8 1.0 6.8 0.7 18.7 15.5 -1.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.7 17.4 20.0 -20.0 7.8 -0.6 6.2 3.2 5.0 6.6 20.0 -12.1 -12.2 6.3 18.7 13.3 14.1 15.7 1.7 GAS_US_mini 5.2 19.4 20.0 4.7 -0.5 2.2 2.9 0.7 5.2 -0.5 -14.7 3.3 -17.4 4.2 6.3 -18.2 -13.5 -14.7 -15.0 1.3 -13.5 4.1 -20.0 5.1 19.3 3.4 -1.8 -0.1 3.1 -3.1 4.0 -20.0 6.6 -20.0 -20.0 -8.1 6.0 10.5 -2.6 0.6 GBP -17.2 -0.2 9.3 1.3 -5.2 3.3 -5.9 2.2 -3.1 -9.3 11.6 -15.7 10.6 -9.3 2.7 0.3 -0.9 0.0 -0.5 3.8 11.1 -9.3 8.7 -6.1 -0.8 2.2 -2.1 5.0 -4.1 2.8 -2.4 2.9 12.9 2.6 -2.8 3.8 4.6 11.7 9.8 20.0 GOLD_micro -12.8 -7.9 -13.0 -2.4 -10.2 1.1 -10.8 2.0 -7.4 -19.9 -3.2 -20.0 7.1 -17.5 -18.4 -16.9 -12.5 -15.9 -14.4 -15.7 -5.5 -20.0 5.0 -20.0 -11.2 -4.1 -10.7 -0.3 -11.6 2.9 -8.2 -16.8 -5.6 -1.4 -2.2 -13.2 -20.0 -20.0 -9.8 -20.0 HEATOIL 20.0 20.0 14.7 6.5 -0.8 3.0 4.0 1.0 7.1 -11.7 6.0 16.1 -5.1 20.0 20.0 20.0 18.0 15.3 14.1 20.0 20.0 20.0 9.2 20.0 -20.0 7.8 -0.8 4.6 4.3 2.5 8.0 2.7 6.9 20.0 20.0 20.0 2.0 0.8 -3.3 -1.0 JGB-SGX-mini -18.8 -20.0 -0.8 -2.2 -4.4 -2.0 -3.5 -2.4 -2.6 -1.5 4.8 -5.1 5.1 -5.8 -3.8 11.4 19.8 11.6 14.6 -4.3 0.9 -5.6 3.2 -7.1 0.4 -1.6 -1.3 -0.0 -1.9 0.3 -2.5 20.0 6.4 1.0 -3.7 7.3 -20.0 -7.5 4.3 7.4 JPY -11.0 5.8 -17.6 0.7 -3.0 1.9 -3.4 1.3 -1.8 -9.5 -9.0 -10.2 -8.6 -8.7 -9.3 -15.4 -13.5 -15.8 -15.0 -11.4 -11.9 -14.4 -12.5 -12.1 20.0 -3.3 -4.1 -3.2 -4.5 -3.3 -3.7 -20.0 -1.1 -6.3 -14.6 -20.0 -10.3 -20.0 -10.9 -20.0 LEANHOG -7.1 20.0 7.4 0.9 -5.1 -0.9 -3.4 -2.4 -0.4 -11.9 -3.7 -10.7 -6.6 -2.0 9.1 20.0 17.8 20.0 20.0 1.3 -4.4 -15.6 -11.0 -4.5 12.6 -2.1 -10.5 -5.8 -7.5 -8.4 -3.1 20.0 -20.0 -7.7 -4.7 -8.1 -5.6 2.1 20.0 20.0 LIVECOW -14.1 7.1 20.0 1.6 -9.2 -1.7 -6.2 -4.4 -0.7 -19.4 20.0 -7.5 20.0 13.6 20.0 -13.1 6.3 2.2 11.2 20.0 20.0 -3.3 20.0 10.2 5.6 8.1 -3.4 10.9 -0.6 10.0 3.1 3.8 11.9 -8.3 20.0 20.0 -20.0 -20.0 -18.3 -19.3 LUMBER-new -20.0 -4.2 1.2 1.4 -8.2 -1.1 -5.5 -2.9 -0.6 9.7 -17.8 -17.6 -19.6 -19.6 -15.5 -15.1 -12.6 -12.8 -12.6 -14.7 -9.7 -12.2 -8.6 -20.0 NaN -4.5 2.5 -2.4 -3.7 -1.7 -6.4 -20.0 12.9 -20.0 -20.0 -0.2 -20.0 -20.0 -17.8 -20.0 MILK 19.8 20.0 5.7 0.6 -3.5 -0.6 -2.4 -1.7 -0.3 3.4 -5.9 3.6 -8.8 4.6 -2.6 -20.0 -20.0 -20.0 -20.0 -1.9 -9.3 3.3 -12.1 3.9 -2.9 -1.2 0.2 -3.6 0.9 -4.2 0.9 -20.0 9.2 16.8 -7.6 -20.0 -20.0 -20.0 -15.2 -20.0 MXP -18.5 -16.4 1.5 1.2 -4.9 3.1 -5.6 2.1 -2.9 6.9 16.4 -1.5 17.5 0.7 12.8 16.1 17.7 17.6 17.6 11.8 20.0 -1.9 20.0 1.9 -20.0 4.8 -0.7 8.4 -1.2 9.9 0.5 20.0 6.7 17.6 5.5 20.0 20.0 5.8 20.0 20.0 NASDAQ_micro -20.0 -3.7 20.0 0.9 -6.7 3.1 -5.6 3.2 -2.6 -9.1 13.0 -11.2 8.9 -2.2 9.9 -10.7 -7.9 -10.5 -9.5 12.2 20.0 -12.3 19.3 -3.9 -20.0 3.4 -2.6 6.6 -3.1 6.2 -1.0 -5.6 -5.0 -9.6 7.7 20.0 -7.2 -11.7 -17.5 -14.2 NIKKEI -13.1 -15.1 17.6 1.3 -8.9 4.1 -7.5 4.3 -3.5 -13.7 15.3 -12.0 15.6 -9.9 11.3 15.8 12.3 14.8 13.4 9.5 20.0 -9.9 20.0 -4.3 -5.9 3.8 -4.4 8.5 -3.2 8.3 -1.3 20.0 -0.5 9.2 -6.6 20.0 3.5 2.8 -2.4 8.6 NZD -19.1 -1.9 -3.1 0.8 -3.3 2.1 -3.8 1.4 -2.0 -10.5 -5.6 -11.6 0.3 -10.4 -6.7 0.2 0.5 0.4 0.5 -6.5 -3.2 -15.4 -3.0 -12.0 0.4 -2.4 -5.8 -0.9 -6.4 -0.9 -4.8 5.0 -7.4 -5.3 -10.7 -9.8 -0.4 -12.7 4.6 7.4 OAT -6.5 -5.0 4.1 -2.7 -5.3 -2.4 -4.2 -2.9 -3.1 -8.2 -4.8 -7.5 -7.7 -4.9 -4.4 5.7 8.9 6.6 7.7 -4.0 -4.1 -8.5 -8.0 -5.6 8.0 -2.1 -7.1 -1.5 -4.8 -3.1 -3.2 18.0 2.1 1.8 2.3 5.0 -20.0 -20.0 -1.9 3.0 OATIES -12.3 17.0 20.0 0.9 -5.2 -1.0 -3.5 -2.5 -0.4 3.2 9.6 -3.7 -6.6 3.5 10.2 -17.1 -2.1 -14.0 -9.5 16.3 16.0 1.2 7.2 6.3 -20.0 3.6 1.6 3.5 0.2 1.4 1.2 -20.0 5.5 6.4 11.4 20.0 1.8 20.0 13.8 20.0 OJ 10.8 20.0 13.5 1.5 -8.6 -1.6 -5.7 -4.1 -0.7 14.9 20.0 15.9 20.0 18.2 20.0 20.0 19.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.6 7.3 9.2 4.9 11.4 6.0 20.0 20.0 20.0 20.0 20.0 18.9 5.3 20.0 16.4 PALLAD 8.6 0.8 -14.0 -1.3 -5.5 0.6 -5.8 1.1 -4.0 -3.0 -11.7 -2.8 -12.0 -7.1 -10.6 -2.8 -2.6 -3.1 -3.0 -9.4 -16.1 -0.2 -20.0 -3.2 -3.6 -3.1 -1.5 -4.4 0.2 -5.0 -1.1 1.5 20.0 14.2 -9.2 -11.8 -18.1 -1.2 4.4 1.8 PLAT -8.5 -6.6 -16.8 -1.3 -5.7 0.6 -6.1 1.1 -4.2 -9.2 -8.7 -10.2 -1.2 -9.1 -10.4 -3.4 -2.0 -3.0 -2.6 -10.9 -8.2 -12.0 -3.5 -11.6 12.3 -3.2 -4.3 -2.0 -4.7 -0.7 -4.1 2.4 1.5 -2.5 -8.3 -10.6 2.3 -16.1 13.1 -11.9 REDWHEAT -20.0 -2.3 1.7 0.6 -3.3 -0.6 -2.2 -1.6 -0.3 -7.9 -1.2 -8.5 -7.0 -7.4 -2.5 -4.2 2.6 -1.2 1.5 -4.4 -2.1 -12.7 -2.1 -9.7 -8.8 -1.2 -4.0 -0.5 -4.0 -0.3 -2.9 -9.4 -10.5 -6.5 -8.4 0.9 -20.0 -18.3 -7.9 -6.6 RICE 6.1 11.7 6.1 1.1 -6.6 -1.2 -4.4 -3.2 -0.5 -12.8 1.6 0.7 -0.3 11.3 13.0 -8.5 20.0 18.8 20.0 10.2 4.8 -2.9 0.9 8.1 -20.0 4.1 -7.2 2.2 -1.5 0.4 2.9 20.0 7.4 18.4 2.5 19.4 -7.5 -20.0 4.2 -14.7 ROBUSTA 1.4 -12.5 7.2 0.9 -5.2 -0.9 -3.5 -2.5 -0.4 -10.9 11.1 0.3 10.9 -0.2 5.9 20.0 17.7 20.0 20.0 6.9 14.0 -5.3 16.3 1.5 -11.4 3.2 -7.0 6.8 -2.7 7.9 0.5 20.0 2.8 7.6 -13.3 20.0 -5.2 -18.4 9.1 -9.8 RUSSELL -10.8 14.8 18.5 1.2 -8.9 4.1 -7.5 4.3 -3.4 -16.6 6.3 -16.3 -0.4 4.3 11.8 -7.7 -5.3 -7.1 -6.3 11.7 12.0 -17.3 2.9 -1.9 -2.2 4.0 -7.5 4.5 -5.6 2.6 -0.7 -0.7 -6.1 1.0 18.9 14.9 -4.3 -8.1 -20.0 -11.4 SHATZ 11.7 -1.0 -16.4 -2.3 -4.5 -2.0 -3.6 -2.5 -2.6 -7.0 -5.5 -2.6 -7.1 1.2 -4.7 -20.0 -4.1 -15.7 -10.0 -3.8 -8.1 -3.4 -13.0 -0.7 11.1 -1.1 -4.4 -2.5 -1.7 -4.3 -0.3 -8.0 5.8 10.1 4.0 -0.8 -20.0 -20.0 -20.0 -20.0 SILVER-mini -18.5 -0.7 -8.4 -1.5 -6.4 0.7 -6.8 1.3 -4.6 -12.4 1.4 -13.1 4.1 -7.7 -6.8 -6.7 -5.5 -6.6 -6.2 -5.8 -0.6 -17.9 2.0 -13.1 6.3 -1.2 -4.8 0.6 -6.3 0.9 -4.3 -3.8 -8.3 -3.5 1.5 -3.6 -15.4 -20.0 -1.1 -20.0 SMI 0.1 -10.3 -5.4 1.2 -8.5 3.9 -7.1 4.1 -3.3 -13.0 5.5 -11.8 4.7 -4.3 -5.5 -3.2 1.4 -2.8 -1.1 -4.6 -0.1 -9.0 2.9 -6.6 4.0 -0.6 -7.1 -0.2 -2.6 -0.8 -0.5 9.8 16.4 20.0 -5.4 -7.8 -7.5 -10.4 -16.9 -15.7 SOFR -7.4 -10.7 -9.4 -2.4 -4.7 -2.1 -3.7 -2.6 -2.7 -7.3 -3.1 -6.7 -2.2 -4.3 -5.3 -2.3 -0.8 -1.9 -1.3 -5.8 -4.0 -8.9 -3.3 -6.7 -1.4 -2.3 -4.6 -1.6 -3.4 -1.2 -2.5 1.6 0.6 -2.7 -1.3 -2.5 -20.0 -20.0 -4.8 -2.5 SOYBEAN -20.0 11.5 12.1 0.6 -3.3 -0.6 -2.2 -1.6 -0.3 -5.6 2.9 -7.5 -1.4 -1.7 3.7 19.6 20.0 17.9 19.4 1.6 1.7 -5.9 -0.1 -3.4 -18.1 0.9 -1.0 0.7 -1.5 0.1 -0.7 20.0 -0.7 -9.9 3.6 7.0 -9.8 11.9 -6.4 20.0 SOYMEAL -9.7 3.2 -16.5 0.6 -3.6 -0.7 -2.4 -1.7 -0.3 -7.3 -3.1 -8.4 1.9 -4.3 -1.8 9.3 20.0 17.0 20.0 -1.6 -1.0 -8.1 1.5 -4.5 -20.0 0.8 -3.9 1.2 -3.0 2.0 -1.1 20.0 -3.9 -9.7 5.3 3.1 -11.4 -17.6 -7.9 -15.9 SOYOIL -9.5 20.0 20.0 0.6 -3.6 -0.7 -2.4 -1.7 -0.3 6.8 4.4 -4.2 -2.0 4.2 7.0 13.1 10.4 11.0 9.4 9.6 6.8 1.8 1.4 4.6 -20.0 2.3 1.4 1.7 0.4 0.3 1.0 3.0 10.6 2.0 8.0 17.0 0.5 6.4 13.7 20.0 SP400 -14.6 17.0 16.7 1.3 -9.0 4.2 -7.6 4.3 -3.5 -16.2 9.0 -16.4 7.7 7.6 13.6 -6.0 -4.7 -5.6 -5.3 13.8 15.1 -14.7 8.5 -0.4 -12.7 4.0 -6.6 4.6 -4.8 3.0 -0.4 0.7 1.2 -0.6 20.0 14.0 0.3 -9.3 -12.0 -13.1 SP500_micro -20.0 5.5 20.0 1.4 -9.9 4.6 -8.3 4.8 -3.8 -16.9 18.7 -16.9 11.4 2.6 15.1 -13.5 -8.8 -12.7 -11.0 18.3 20.0 -16.0 20.0 -1.8 -20.0 5.2 -5.0 7.7 -4.5 6.2 -0.5 -7.5 -7.3 -0.6 20.0 20.0 -4.7 -10.5 -15.2 -15.2 SUGAR11 -5.0 -7.8 -4.0 1.3 -7.4 -1.3 -4.9 -3.5 -0.6 -1.5 11.8 -8.1 14.3 -1.1 -0.7 -2.3 13.1 0.7 6.7 0.3 13.7 -2.7 20.0 -3.5 -20.0 0.4 -1.7 8.4 -1.3 15.8 -1.9 4.9 5.6 -0.4 -20.0 16.0 -17.2 -18.1 10.8 -4.9 US10 -7.4 -10.2 -13.3 -2.3 -4.5 -2.0 -3.5 -2.5 -2.6 -7.0 -5.7 -6.8 -6.6 -6.2 -6.9 -8.3 -6.7 -8.8 -8.5 -8.0 -7.2 -8.7 -7.6 -7.8 0.7 -2.6 -3.5 -2.2 -3.0 -2.0 -2.6 -9.9 0.3 -4.1 -2.8 -5.5 -20.0 -20.0 14.8 1.5 US10U -10.8 -10.7 -10.1 -3.0 -6.0 -2.7 -4.7 -3.3 -3.5 -9.3 -7.3 -9.2 -8.4 -8.5 -9.1 -5.4 -1.4 -3.4 -2.6 -10.5 -8.8 -12.0 -9.3 -11.4 -3.6 -3.5 -4.2 -2.7 -4.0 -2.2 -3.8 0.0 -1.6 -7.8 -4.2 -6.8 -20.0 -20.0 20.0 19.2 US2 1.1 -13.8 -20.0 -2.3 -4.6 -2.1 -3.6 -2.5 -2.7 -6.2 -7.5 -6.2 -7.5 -6.6 -8.0 -20.0 -20.0 -20.0 -20.0 -12.2 -14.7 -6.4 -15.8 -7.3 7.8 -2.7 -2.4 -3.1 -1.7 -3.4 -1.7 -20.0 7.0 -0.4 -4.4 -11.7 -20.0 -20.0 -20.0 -19.1 US20 -15.6 -12.5 -9.3 -2.3 -4.6 -2.1 -3.6 -2.5 -2.7 -7.2 -5.5 -7.3 -5.3 -6.8 -7.1 -1.8 -1.4 -1.7 -1.8 -8.9 -6.8 -10.3 -7.0 -10.3 -3.5 -2.7 -2.8 -1.9 -3.2 -1.6 -3.1 0.6 -3.9 -9.0 -5.0 -5.3 -20.0 -20.0 20.0 20.0 US30 -16.5 -11.6 -6.1 -2.7 -5.4 -2.4 -4.3 -3.0 -3.1 -8.5 -7.5 -8.8 -7.0 -8.5 -8.8 -9.1 -2.8 -6.4 -4.4 -10.3 -8.0 -11.6 -9.2 -12.2 -3.1 -3.2 -2.8 -2.2 -3.6 -1.8 -3.8 -2.5 -5.5 -10.3 -6.8 -5.2 -20.0 -20.0 20.0 20.0 US5 -3.7 -8.8 -17.1 -2.3 -4.5 -2.0 -3.6 -2.5 -2.6 -7.1 -5.9 -6.7 -6.7 -5.4 -6.9 -13.1 -9.0 -13.0 -11.7 -7.7 -7.9 -7.7 -8.7 -6.6 3.0 -2.5 -3.6 -2.4 -2.7 -2.4 -2.2 -14.5 2.8 -1.7 -1.6 -5.7 -20.0 -20.0 4.8 -15.8 VIX 20.0 0.8 -20.0 -6.4 -3.1 -9.2 -0.9 -9.5 -2.2 -12.3 -20.0 0.1 -20.0 -12.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -3.8 -20.0 -8.9 NaN -7.4 -3.6 -11.1 -0.9 -11.8 -2.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -13.3 2.9 13.1 0.5 -2.7 -0.5 -1.8 -1.3 -0.2 -6.3 -3.5 -6.6 -6.6 -5.6 -2.7 -9.9 -9.0 -10.0 -9.9 -2.3 -2.5 -8.5 -4.0 -5.4 -3.3 -0.3 -3.6 -0.6 -2.8 -1.2 -1.4 -20.0 -5.0 -0.9 -4.7 0.8 -18.7 -15.2 -12.0 -8.0 End of report for caleb_strategy_v3