******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230825_204319 produced at 2023-08-25 21:38:58.026533 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.09 0.00 -0.74 0.0 0.00 0.00 0.00 0.00 -8.62 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 -0.19 -0.42 0.0 0.93 -0.93 -0.19 -0.09 -4.55 10.0 -2 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.39 0.0 0.00 0.00 0.00 0.00 -5.36 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.22 0.0 0.38 -0.38 -0.14 -0.12 -31.96 56.0 -21 -18 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -4.60 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 -25.88 17.0 -16 -16 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.16 0.0 0.66 -0.66 -0.10 -0.25 -3.18 13.0 -2 -5 caleb_strategy_v3 JPY False False 0.03 -0.18 -0.15 0.0 0.52 -0.52 -0.18 -0.27 -5.02 17.0 -6 -9 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.14 0.0 0.76 -0.76 -0.03 -0.03 -5.28 29.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 -0.26 -0.12 0.0 0.94 -0.94 -0.26 -0.26 -3.20 25.0 -7 -7 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.12 0.0 0.07 -0.07 -0.07 -0.07 -43.24 26.0 -25 -26 caleb_strategy_v3 EUR False False 0.05 -0.29 -0.09 0.0 0.67 -0.67 -0.29 -0.24 -1.94 14.0 -6 -5 caleb_strategy_v3 BOBL False False 0.04 -0.35 -0.08 0.0 0.84 -0.84 -0.35 -0.35 -1.86 19.0 -8 -8 caleb_strategy_v3 BITCOIN False False 0.00 -0.02 -0.07 0.0 0.05 -0.05 -0.02 -0.04 -80.15 59.0 -25 -43 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.43 -0.43 0.00 -0.02 -2.55 19.0 0 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.66 -0.66 0.00 0.00 -1.53 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.06 0.0 0.20 -0.20 -0.10 -0.07 -1.64 6.0 -3 -2 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.04 0.0 0.38 -0.38 -0.01 -0.01 -4.94 48.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 -0.02 -0.04 0.0 0.40 -0.40 -0.02 -0.04 -6.80 66.0 -3 -6 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.03 0.0 0.23 -0.23 0.00 0.00 -9.55 68.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.08 -0.03 0.0 0.53 -0.53 -0.08 -0.08 -0.75 13.0 -2 -2 caleb_strategy_v3 NZD False False 0.02 0.02 -0.03 0.0 0.44 -0.44 0.02 0.00 -1.55 21.0 1 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.07 -0.07 0.00 0.00 -1.95 5.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.18 -0.18 0.00 -0.09 -0.35 2.0 0 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.36 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.02 0.0 0.25 -0.25 -0.03 -0.01 -2.06 23.0 -3 -1 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.02 0.0 0.38 -0.38 -0.04 -0.04 -0.36 9.0 -1 -1 caleb_strategy_v3 US30 False False 0.05 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.36 6.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.11 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.03 -0.02 0.0 0.35 -0.35 -0.03 -0.03 -3.22 58.0 -5 -5 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.02 0.0 0.36 -0.36 0.00 0.00 -0.34 8.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.68 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.55 12.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.53 0.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 -0.01 0.0 0.14 -0.14 0.00 -0.03 -0.26 5.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.75 8.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.11 9.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.29 11.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.04 0.00 0.0 0.40 -0.40 -0.04 0.09 0.03 9.0 -1 2 caleb_strategy_v3 COCOA False False 0.01 0.00 -0.00 0.0 0.32 -0.32 0.00 -0.01 -0.23 26.0 0 -1 caleb_strategy_v3 PLAT False False 0.02 -0.10 -0.00 0.0 0.17 -0.17 -0.10 -0.07 -0.07 10.0 -6 -4 caleb_strategy_v3 BUXL False False 0.05 -0.15 -0.00 0.0 0.20 -0.20 -0.15 -0.15 -0.01 4.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.56 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.18 -0.18 0.00 0.00 1.03 18.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.00 0.76 10.0 1 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 0.69 9.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.16 0.01 0.0 0.33 -0.33 0.16 0.10 0.78 20.0 10 6 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.68 12.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.20 -0.20 0.01 0.01 1.74 23.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.05 0.02 0.0 0.51 -0.51 0.05 0.10 0.41 10.0 1 2 caleb_strategy_v3 GBP False False 0.03 0.14 0.02 0.0 0.62 -0.62 0.14 0.11 0.85 22.0 5 4 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.02 0.0 0.17 -0.17 0.07 0.07 0.63 7.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 2.02 3.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.03 0.0 0.22 -0.22 0.00 0.00 6.19 51.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 3.63 4.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.05 0.05 0.0 0.44 -0.44 0.05 0.05 2.09 17.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.26 0.06 0.0 0.44 -0.44 0.26 0.26 1.46 10.0 6 6 caleb_strategy_v3 LEANHOG False False 0.01 0.06 0.07 0.0 0.13 -0.13 0.06 0.07 6.89 13.0 6 7 caleb_strategy_v3 OAT False False 0.05 0.05 0.08 0.0 0.49 -0.49 0.05 0.05 1.57 10.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.13 0.10 0.0 0.13 -0.13 0.13 0.13 3.16 4.0 4 4 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.10 0.0 0.15 -0.15 0.15 0.15 2.73 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.10 0.0 0.14 -0.14 0.00 0.00 2.18 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.36 0.0 0.28 -0.28 0.28 0.28 46.49 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.63 0.77 0.0 0.63 -0.63 0.63 0.62 72.54 60.0 60 59 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.57 1.25 0.0 0.57 -0.57 0.57 0.57 35.12 16.0 16 16 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.6 Shocked risk 54.1 Sum abs risk 66.7 Leverage 6.89 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2813275.9, 'annual_cash_vol_target': 703318.975, 'daily_cash_vol_target': 43957.4359375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6422 0.6906 11.0500 BITCOIN 731.9711 26130.0000 2.8013 44.8203 BOBL 0.2887 115.5200 0.2499 3.9980 BTP 0.6617 114.8500 0.5762 9.2189 BUND 0.6168 132.0300 0.4672 7.4745 BUXL 1.4278 131.7400 1.0838 17.3406 CAC 56.7687 7279.5000 0.7798 12.4775 CAD 0.0027 0.7358 0.3667 5.8677 CANOLA 8.4584 816.0000 1.0366 16.5851 CHF 0.0050 1.1342 0.4447 7.1156 COCOA 37.0790 3469.0000 1.0689 17.1019 COFFEE 2.5779 151.9500 1.6965 27.1444 COPPER 0.0432 3.7930 1.1379 18.2070 CORN 8.8537 487.0000 1.8180 29.0882 COTTON2 1.2237 87.6800 1.3956 22.3294 CRUDE_W 1.0000 79.2900 1.2611 20.1782 DAX 115.1111 15719.0000 0.7323 11.7169 DOW 210.1227 34426.0000 0.6104 9.7658 EUR 0.0048 1.0818 0.4411 7.0582 EURIBOR-ICE 0.0602 97.0100 0.0620 0.9923 EUROSTX 40.5695 4266.0000 0.9510 15.2160 FEEDCOW 1.3769 254.4750 0.5411 8.6575 GASOIL 13.1910 905.2500 1.4572 23.3147 GASOLINE 0.0364 2.5276 1.4418 23.0684 GAS_US_mini 0.0917 3.1450 2.9154 46.6462 GBP 0.0066 1.2597 0.5216 8.3457 GOLD_micro 10.4183 1921.8000 0.5421 8.6738 HEATOIL 0.0431 3.1794 1.3542 21.6670 JGB-SGX-mini 0.2539 146.6000 0.1732 2.7710 JPY 0.0000 0.0069 0.6352 10.1639 LEANHOG 1.2645 71.9000 1.7586 28.1382 LIVECOW 1.0847 181.0500 0.5991 9.5860 LUMBER-new 9.5585 516.0000 1.8524 29.6387 MILK 0.2944 18.6500 1.5788 25.2601 MXP 0.0004 0.0595 0.6702 10.7232 NASDAQ_micro 164.1274 14996.7500 1.0944 17.5107 NIKKEI 287.2310 31855.0000 0.9017 14.4269 NZD 0.0040 0.5916 0.6831 10.9293 OAT 0.6215 126.6900 0.4906 7.8488 OATIES 6.7980 501.7500 1.3549 21.6778 OJ 5.3628 316.4000 1.6950 27.1193 PALLAD 23.3012 1232.5000 1.8906 30.2491 PLAT 13.1593 952.1000 1.3821 22.1142 REDWHEAT 14.0773 762.2500 1.8468 29.5489 RICE 0.1474 16.3600 0.9011 14.4175 ROBUSTA 34.2803 2440.0000 1.4049 22.4789 RUSSELL 16.9469 1863.1000 0.9096 14.5537 SHATZ 0.0907 104.9900 0.0864 1.3829 SILVER-mini 0.3622 24.7000 1.4664 23.4624 SMI 73.3619 10996.0000 0.6672 10.6747 SOFR 0.0730 96.2250 0.0758 1.2133 SOYBEAN 16.2325 1386.7500 1.1705 18.7287 SOYMEAL 5.6770 413.7000 1.3723 21.9561 SOYOIL 0.9193 63.4400 1.4491 23.1862 SP400 19.7957 2592.2000 0.7637 12.2186 SP500_micro 33.3990 4422.2500 0.7552 12.0840 SUGAR11 0.3208 25.2200 1.2720 20.3521 US10 0.4306 109.8750 0.3919 6.2711 US10U 0.5980 114.0312 0.5244 8.3902 US2 0.0993 101.1602 0.0982 1.5710 US20 0.8751 119.6875 0.7311 11.6980 US30 1.2978 127.3750 1.0189 16.3023 US5 0.2699 105.6328 0.2555 4.0877 VIX 0.5033 18.5000 2.7204 43.5263 WHEAT 14.4837 620.0000 2.3361 37.3772 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 642.25 0.69 443.55 1.00 443.55 43957.44 99.10 -7.91 -78.37 BITCOIN 26.13 2.80 73.20 1.00 73.20 43957.44 600.54 -11.10 -666.55 BOBL 1155.20 0.25 288.66 1.09 313.83 43957.44 140.07 -14.28 -200.08 BTP 1148.50 0.58 661.74 1.09 719.45 43957.44 61.10 7.67 46.85 BUND 1320.30 0.47 616.78 1.09 670.57 43957.44 65.55 6.79 44.48 BUXL 1317.40 1.08 1427.78 1.09 1552.28 43957.44 28.32 -0.35 -0.99 CAC 727.95 0.78 567.69 1.09 617.19 43957.44 71.22 2.94 20.90 CAD 735.75 0.37 269.82 1.00 269.82 43957.44 162.91 -9.97 -162.44 CANOLA 163.20 1.04 169.17 0.74 125.16 43957.44 351.21 8.41 295.45 CHF 1417.69 0.44 630.48 1.00 630.48 43957.44 69.72 -14.03 -97.82 COCOA 346.90 1.07 370.79 1.00 370.79 43957.44 118.55 -1.07 -12.70 COFFEE 569.81 1.70 966.70 1.00 966.70 43957.44 45.47 -14.76 -67.12 COPPER 948.25 1.14 1079.05 1.00 1079.05 43957.44 40.74 -3.36 -13.67 CORN 243.50 1.82 442.69 1.00 442.69 43957.44 99.30 -7.47 -74.22 COTTON2 438.40 1.40 611.83 1.00 611.83 43957.44 71.85 2.22 15.92 CRUDE_W 792.90 1.26 999.96 1.00 999.96 43957.44 43.96 -0.47 -2.08 DAX 157.19 0.73 115.11 1.09 125.15 43957.44 351.24 -2.81 -98.53 DOW 172.13 0.61 105.06 1.00 105.06 43957.44 418.40 -7.28 -304.44 EUR 1352.31 0.44 596.55 1.00 596.55 43957.44 73.69 -8.08 -59.56 EURIBOR-ICE 2425.25 0.06 150.41 1.09 163.53 43957.44 268.81 -5.43 -146.01 EUROSTX 426.60 0.95 405.70 1.09 441.07 43957.44 99.66 2.40 23.96 FEEDCOW 1272.38 0.54 688.47 1.00 688.47 43957.44 63.85 -1.54 -9.86 GASOIL 905.25 1.46 1319.10 1.00 1319.10 43957.44 33.32 19.37 64.54 GASOLINE 1061.59 1.44 1530.57 1.00 1530.57 43957.44 28.72 19.41 55.74 GAS_US_mini 78.62 2.92 229.22 1.00 229.22 43957.44 191.77 -18.41 -353.04 GBP 787.31 0.52 410.67 1.00 410.67 43957.44 107.04 2.43 26.03 GOLD_micro 192.18 0.54 104.18 1.00 104.18 43957.44 421.92 -20.00 -843.85 HEATOIL 1335.35 1.35 1808.31 1.00 1808.31 43957.44 24.31 18.32 44.53 JGB-SGX-mini 146600.00 0.17 25389.67 0.01 174.97 43957.44 251.23 10.70 268.78 JPY 857.12 0.64 544.48 1.00 544.48 43957.44 80.73 -19.14 -154.55 LEANHOG 287.60 1.76 505.78 1.00 505.78 43957.44 86.91 12.68 110.24 LIVECOW 724.20 0.60 433.88 1.00 433.88 43957.44 101.31 6.04 61.19 LUMBER-new 141.90 1.85 262.86 1.00 262.86 43957.44 167.23 -13.49 -225.60 MILK 373.00 1.58 588.88 1.00 588.88 43957.44 74.65 -14.15 -105.60 MXP 297.45 0.67 199.35 1.00 199.35 43957.44 220.50 20.00 441.00 NASDAQ_micro 299.94 1.09 328.25 1.00 328.25 43957.44 133.91 -6.88 -92.09 NIKKEI 31855.00 0.90 28723.10 0.01 197.94 43957.44 222.08 16.02 355.77 NZD 591.55 0.68 404.08 1.00 404.08 43957.44 108.78 -4.39 -47.80 OAT 1266.90 0.49 621.48 1.09 675.67 43957.44 65.06 7.76 50.49 OATIES 250.88 1.35 339.90 1.00 339.90 43957.44 129.32 -2.06 -26.65 OJ 474.60 1.69 804.43 1.00 804.43 43957.44 54.64 20.00 109.29 PALLAD 1232.50 1.89 2330.12 1.00 2330.12 43957.44 18.86 -5.06 -9.55 PLAT 476.05 1.38 657.97 1.00 657.97 43957.44 66.81 -0.29 -1.91 REDWHEAT 381.12 1.85 703.86 1.00 703.86 43957.44 62.45 -10.56 -65.95 RICE 327.20 0.90 294.84 1.00 294.84 43957.44 149.09 11.63 173.41 ROBUSTA 244.00 1.40 342.80 1.00 342.80 43957.44 128.23 13.47 172.74 RUSSELL 93.16 0.91 84.73 1.00 84.73 43957.44 518.77 -5.78 -299.78 SHATZ 1049.90 0.09 90.74 1.09 98.66 43957.44 445.56 -11.13 -495.78 SILVER-mini 617.50 1.47 905.50 1.00 905.50 43957.44 48.54 -2.87 -13.91 SMI 1099.60 0.67 733.62 1.14 837.39 43957.44 52.49 0.19 0.98 SOFR 2405.62 0.08 182.42 1.00 182.42 43957.44 240.97 -6.17 -148.56 SOYBEAN 693.38 1.17 811.62 1.00 811.62 43957.44 54.16 14.61 79.10 SOYMEAL 413.70 1.37 567.70 1.00 567.70 43957.44 77.43 11.18 86.58 SOYOIL 380.64 1.45 551.60 1.00 551.60 43957.44 79.69 11.88 94.64 SP400 2592.20 0.76 1979.57 1.00 1979.57 43957.44 22.21 -5.00 -11.10 SP500_micro 221.11 0.76 166.99 1.00 166.99 43957.44 263.23 -8.40 -221.20 SUGAR11 282.46 1.27 359.30 1.00 359.30 43957.44 122.34 4.61 56.37 US10 1098.75 0.39 430.65 1.00 430.65 43957.44 102.07 -12.37 -126.22 US10U 1140.31 0.52 597.97 1.00 597.97 43957.44 73.51 -8.39 -61.65 US2 2023.20 0.10 198.66 1.00 198.66 43957.44 221.27 -20.00 -442.55 US20 1196.88 0.73 875.07 1.00 875.07 43957.44 50.23 -5.86 -29.42 US30 1273.75 1.02 1297.81 1.00 1297.81 43957.44 33.87 -8.77 -29.70 US5 1056.33 0.26 269.87 1.00 269.87 43957.44 162.88 -16.25 -264.67 VIX 185.00 2.72 503.27 1.00 503.27 43957.44 87.34 -20.00 -174.69 WHEAT 310.00 2.34 724.18 1.00 724.18 43957.44 60.70 -15.96 -96.85 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -78.368 0.013 2.5 -2.547 BITCOIN -666.555 0.048 2.5 -80.154 BOBL -200.079 0.004 2.5 -1.855 BTP 46.848 0.012 2.5 1.461 BUND 44.483 0.004 2.5 0.413 BUXL -0.989 0.004 2.5 -0.009 CAC 20.905 0.013 2.5 0.683 CAD -162.445 0.013 2.5 -5.280 CANOLA 295.446 0.008 2.5 6.189 CHF -97.820 0.013 2.5 -3.179 COCOA -12.698 0.007 2.5 -0.234 COFFEE -67.118 0.004 2.5 -0.675 COPPER -13.670 0.048 2.5 -1.644 CORN -74.217 0.008 2.5 -1.555 COTTON2 15.919 0.007 2.5 0.294 CRUDE_W -2.084 0.049 2.5 -0.255 DAX -98.531 0.013 2.5 -3.219 DOW -304.437 0.009 2.5 -6.798 EUR -59.562 0.013 2.5 -1.936 EURIBOR-ICE -146.011 0.012 2.5 -4.554 EUROSTX 23.964 0.013 2.5 0.783 FEEDCOW -9.862 0.014 2.5 -0.336 GASOIL 64.544 0.020 2.5 3.164 GASOLINE 55.737 0.020 2.5 2.733 GAS_US_mini -353.038 0.049 2.5 -43.236 GBP 26.032 0.013 2.5 0.846 GOLD_micro -843.848 0.015 2.5 -31.962 HEATOIL 44.529 0.020 2.5 2.183 JGB-SGX-mini 268.783 0.052 2.5 35.122 JPY -154.550 0.013 2.5 -5.023 LEANHOG 110.240 0.025 2.5 6.891 LIVECOW 61.193 0.014 2.5 2.086 LUMBER-new -225.596 0.007 2.5 -4.110 MILK -105.598 0.007 2.5 -1.948 MXP 441.005 0.066 2.5 72.544 NASDAQ_micro -92.089 0.009 2.5 -2.056 NIKKEI 355.767 0.052 2.5 46.488 NZD -47.796 0.013 2.5 -1.553 OAT 50.489 0.012 2.5 1.575 OATIES -26.653 0.008 2.5 -0.558 OJ 109.289 0.007 2.5 2.016 PALLAD -9.549 0.015 2.5 -0.362 PLAT -1.906 0.015 2.5 -0.072 REDWHEAT -65.951 0.005 2.5 -0.753 RICE 173.407 0.008 2.5 3.633 ROBUSTA 172.745 0.004 2.5 1.738 RUSSELL -299.784 0.013 2.5 -9.545 SHATZ -495.776 0.004 2.5 -4.598 SILVER-mini -13.912 0.015 2.5 -0.527 SMI 0.976 0.013 2.5 0.032 SOFR -148.559 0.023 2.5 -8.624 SOYBEAN 79.101 0.003 2.5 0.633 SOYMEAL 86.583 0.003 2.5 0.693 SOYOIL 94.638 0.003 2.5 0.759 SP400 -11.104 0.013 2.5 -0.354 SP500_micro -221.196 0.009 2.5 -4.939 SUGAR11 56.365 0.007 2.5 1.032 US10 -126.219 0.005 2.5 -1.528 US10U -61.648 0.005 2.5 -0.746 US2 -442.547 0.005 2.5 -5.356 US20 -29.421 0.005 2.5 -0.356 US30 -29.697 0.005 2.5 -0.359 US5 -264.673 0.005 2.5 -3.203 VIX -174.686 0.059 2.5 -25.883 WHEAT -96.854 0.005 2.5 -1.106 ===================== Position diags ===================== AUD 3.22 BITCOIN 72.22 BOBL 1.30 BTP 1.91 BUND 0.61 BUXL 0.26 CAC 2.33 CAD 5.29 CANOLA 7.36 CHF 2.27 COCOA 2.19 COFFEE 0.46 COPPER 4.90 CORN 2.08 COTTON2 1.33 CRUDE_W 5.38 DAX 11.47 DOW 9.34 EUR 2.39 EURIBOR-ICE 8.38 EUROSTX 3.26 FEEDCOW 2.18 GASOIL 1.63 GASOLINE 1.41 GAS_US_mini 23.49 GBP 3.48 GOLD_micro 15.98 HEATOIL 1.19 JGB-SGX-mini 32.83 JPY 2.62 LEANHOG 5.43 LIVECOW 3.45 LUMBER-new 3.05 MILK 1.38 MXP 36.27 NASDAQ_micro 2.99 NIKKEI 29.02 NZD 3.54 OAT 2.03 OATIES 2.71 OJ 1.01 PALLAD 0.71 PLAT 2.53 REDWHEAT 0.71 RICE 3.12 ROBUSTA 1.29 RUSSELL 16.52 SHATZ 4.13 SILVER-mini 1.84 SMI 1.71 SOFR 13.99 SOYBEAN 0.43 SOYMEAL 0.62 SOYOIL 0.64 SP400 0.71 SP500_micro 5.88 SUGAR11 2.24 US10 1.24 US10U 0.89 US2 2.68 US20 0.61 US30 0.41 US5 1.97 VIX 12.94 WHEAT 0.69 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.5 -2.9 -2.2 NaN 0 BITCOIN -80.2 -87.4 -72.9 -25.0 -25 BOBL -1.9 -2.0 -1.7 -8.0 -8 BTP 1.5 1.3 1.7 6.0 6 BUND 0.4 0.4 0.5 1.0 1 BUXL -0.0 -0.0 0.0 -3.0 -3 CAC 0.7 0.5 0.9 NaN 0 CAD -5.3 -5.8 -4.8 -1.0 -1 CANOLA 6.2 5.5 6.9 NaN 0 CHF -3.2 -3.4 -3.0 -2.0 -2 COCOA -0.2 -0.5 -0.0 0.0 0 COFFEE -0.7 -0.7 -0.6 NaN 0 COPPER -1.6 -2.1 -1.2 -3.0 -3 CORN -1.6 -1.8 -1.3 -1.0 -1 COTTON2 0.3 0.2 0.4 0.0 0 CRUDE_W -0.3 -0.8 0.3 0.0 0 DAX -3.2 -4.4 -2.1 -5.0 -5 DOW -6.8 -7.7 -5.9 -3.0 -3 EUR -1.9 -2.2 -1.7 -6.0 -6 EURIBOR-ICE -4.6 -5.4 -3.7 -2.0 -2 EUROSTX 0.8 0.5 1.1 10.0 10 FEEDCOW -0.3 -0.6 -0.1 0.0 0 GASOIL 3.2 3.0 3.3 4.0 4 GASOLINE 2.7 2.6 2.9 4.0 4 GAS_US_mini -43.2 -45.6 -40.9 -25.0 -25 GBP 0.8 0.5 1.2 5.0 5 GOLD_micro -32.0 -33.6 -30.4 -21.0 -21 HEATOIL 2.2 2.1 2.3 0.0 0 JGB-SGX-mini 35.1 31.8 38.4 16.0 16 JPY -5.0 -5.3 -4.8 -6.0 -6 LEANHOG 6.9 6.3 7.4 6.0 6 LIVECOW 2.1 1.7 2.4 2.0 2 LUMBER-new -4.1 -4.4 -3.8 NaN 0 MILK -1.9 -2.1 -1.8 NaN 0 MXP 72.5 68.9 76.2 60.0 60 NASDAQ_micro -2.1 -2.4 -1.8 -3.0 -3 NIKKEI 46.5 43.6 49.4 36.0 36 NZD -1.6 -1.9 -1.2 1.0 1 OAT 1.6 1.4 1.8 1.0 1 OATIES -0.6 -0.8 -0.3 NaN 0 OJ 2.0 1.9 2.1 NaN 0 PALLAD -0.4 -0.4 -0.3 NaN 0 PLAT -0.1 -0.3 0.2 -6.0 -6 REDWHEAT -0.8 -0.8 -0.7 -1.0 -1 RICE 3.6 3.3 3.9 NaN 0 ROBUSTA 1.7 1.6 1.9 1.0 1 RUSSELL -9.5 -11.2 -7.9 0.0 0 SHATZ -4.6 -5.0 -4.2 NaN 0 SILVER-mini -0.5 -0.7 -0.3 NaN 0 SMI 0.0 -0.1 0.2 -1.0 -1 SOFR -8.6 -10.0 -7.2 NaN 0 SOYBEAN 0.6 0.6 0.7 3.0 3 SOYMEAL 0.7 0.6 0.8 1.0 1 SOYOIL 0.8 0.7 0.8 1.0 1 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro -4.9 -5.5 -4.4 -1.0 -1 SUGAR11 1.0 0.8 1.3 0.0 0 US10 -1.5 -1.7 -1.4 NaN 0 US10U -0.7 -0.8 -0.7 -2.0 -2 US2 -5.4 -5.6 -5.1 NaN 0 US20 -0.4 -0.4 -0.3 -1.0 -1 US30 -0.4 -0.4 -0.3 0.0 0 US5 -3.2 -3.4 -3.0 -7.0 -7 VIX -25.9 -27.2 -24.6 -16.0 -16 WHEAT -1.1 -1.2 -1.0 -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 2.0 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 -0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.3 -0.1 -0.3 -0.0 0.1 BITCOIN -0.4 -0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.2 0.3 -0.2 0.1 -0.2 -0.1 -0.5 -0.3 -0.4 -0.3 -0.1 0.0 -0.3 0.1 -0.2 -1.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.7 -0.4 -0.4 -0.1 -0.1 0.3 -0.1 0.3 BOBL 0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.0 -1.2 -0.5 -1.2 -1.1 -0.0 -0.0 0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -2.8 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.2 BTP -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 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 0.1 0.0 0.0 0.0 -0.0 2.7 0.1 0.1 0.1 0.4 -0.2 -0.3 0.0 0.1 BUND -0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 0.4 0.5 0.4 0.4 -0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 2.8 0.1 0.1 0.0 0.1 -0.3 -0.3 -0.2 -0.0 BUXL -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.0 -0.1 0.0 0.1 0.1 0.1 -0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 1.0 0.1 -0.0 -0.1 0.1 -0.3 -0.3 -0.0 0.2 CAC -0.3 -0.1 -0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 0.3 -0.1 0.5 -0.1 -0.0 -0.4 -0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.3 -0.1 -0.3 -0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 0.4 0.5 0.1 -0.1 0.3 -0.0 0.3 0.0 CAD -0.5 -0.3 0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.5 -0.3 -0.5 -0.1 -0.2 -0.3 -0.3 -0.2 CANOLA -0.2 0.5 0.5 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.1 0.0 0.1 -0.3 0.7 0.2 0.5 0.1 0.1 0.1 -0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.6 0.0 0.5 0.4 -0.2 0.1 0.1 0.3 CHF -0.4 0.1 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.4 -0.0 0.0 -0.9 -0.8 -0.8 -0.8 0.0 0.1 -0.2 0.2 -0.1 -0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 -3.0 -0.2 0.1 0.4 0.0 -0.2 -0.3 -0.3 -0.3 COCOA -0.4 0.0 0.3 0.0 0.2 -0.0 0.0 -0.1 0.0 0.1 0.4 -0.0 0.6 0.1 0.1 -0.6 -0.1 -0.3 -0.2 0.2 0.2 0.0 0.4 0.1 -0.6 0.1 0.0 0.2 0.0 0.3 0.0 -2.6 0.4 -0.1 0.4 0.5 -0.1 -0.2 0.2 -0.0 COFFEE -0.2 -0.2 -0.4 0.0 0.1 -0.0 0.0 -0.1 0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.1 0.2 0.0 0.1 -0.2 -0.2 -0.1 -0.3 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -1.3 -0.7 -0.3 -0.5 -0.4 -0.3 -0.3 -0.2 -0.2 COPPER -0.3 0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 -0.1 -0.3 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.3 0.1 0.1 0.2 -0.1 0.1 -0.3 0.2 -0.2 CORN -0.3 -0.2 0.0 0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.5 0.3 -0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -1.2 -0.2 -0.2 -0.3 0.0 -0.0 0.1 0.0 0.2 COTTON2 -0.0 0.3 0.3 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.1 -0.0 -0.3 0.0 0.1 0.4 0.4 0.4 0.3 0.1 0.0 0.1 -0.0 0.0 -1.1 0.0 0.1 0.1 0.0 0.0 0.0 -0.4 -0.5 0.1 0.3 0.3 -0.2 -0.2 0.2 0.1 CRUDE_W -0.1 0.5 0.3 0.1 0.0 0.1 0.0 0.0 0.0 -0.1 0.3 -0.1 -0.2 0.1 0.1 0.5 0.5 0.4 0.4 0.2 0.1 -0.1 0.2 0.1 -0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -2.5 -0.7 -0.5 -0.5 -0.2 0.2 0.2 0.2 0.1 DAX -0.5 -0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.5 -0.4 -0.5 -0.5 -0.1 0.0 -0.2 0.3 -0.1 0.9 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.5 0.4 0.1 -0.1 -0.1 0.3 0.0 0.3 0.1 DOW -0.5 0.1 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.0 0.1 -0.7 -0.5 -0.6 -0.6 0.0 0.1 -0.3 0.2 -0.1 -0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.8 -0.6 0.1 0.5 0.4 -0.1 -0.1 -0.3 -0.1 EUR -0.4 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.0 -0.2 0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 0.0 -0.2 0.1 -0.1 0.8 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -1.2 -0.5 0.1 -0.1 -0.3 -0.0 -0.3 0.0 0.0 EURIBOR-ICE -0.0 0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.5 -0.5 -0.5 -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 -1.6 0.1 0.2 0.2 0.0 -0.3 -0.3 0.3 0.1 EUROSTX -0.4 -0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.3 -0.0 -0.3 -0.2 -0.0 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.0 0.0 -0.0 0.2 -0.0 1.0 0.3 0.3 -0.0 -0.0 0.3 0.0 0.3 0.1 FEEDCOW -0.2 0.1 0.4 0.0 0.2 -0.0 0.1 -0.1 0.0 0.2 0.4 0.1 0.6 0.1 0.2 -0.1 -1.2 -1.2 -1.2 0.2 0.2 0.2 0.4 0.1 0.2 0.1 0.1 0.3 0.0 0.5 0.0 -3.2 0.1 0.5 0.5 0.5 0.1 -0.2 0.3 -0.1 GASOIL 0.2 0.5 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.2 0.1 -0.0 0.2 0.2 1.2 1.0 1.2 1.0 0.2 0.2 0.2 0.2 0.2 0.6 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.5 0.5 0.5 0.4 -0.2 0.0 -0.2 -0.1 GASOLINE -0.1 0.5 0.4 0.1 0.0 0.1 0.0 0.0 0.0 0.1 0.4 -0.0 -0.0 0.1 0.2 1.2 1.2 1.2 1.2 0.2 0.2 0.1 0.4 0.1 -1.1 0.1 0.0 0.2 0.0 0.2 0.0 3.2 -0.4 -0.5 -0.2 0.4 0.2 0.2 0.2 0.0 GAS_US_mini 0.0 0.3 0.4 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 0.0 -1.2 -1.0 -1.2 -1.2 -0.0 -0.1 -0.1 -0.4 -0.0 1.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -3.2 -0.7 -0.5 -0.5 -0.5 0.1 0.1 -0.0 0.0 GBP -0.3 -0.2 0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.1 0.4 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.2 -0.1 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.5 -0.0 0.3 0.0 0.1 0.0 0.2 0.1 0.3 GOLD_micro -0.4 -0.3 -0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.2 -0.1 0.2 -0.1 -0.2 -1.0 -0.8 -1.0 -0.9 -0.2 -0.1 -0.1 0.0 -0.2 -0.6 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -2.7 -0.3 -0.4 -0.0 -0.5 -0.3 -0.3 -0.1 -0.3 HEATOIL -0.1 0.5 0.5 0.1 0.0 0.1 0.0 0.0 0.0 0.2 0.2 0.1 -0.1 0.2 0.2 1.2 1.2 1.2 1.1 0.2 0.2 0.3 0.3 0.2 -1.1 0.1 0.1 0.1 0.0 0.1 0.1 0.4 0.7 0.5 0.5 0.5 0.0 0.0 -0.0 -0.0 JGB-SGX-mini -0.3 -0.5 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.0 0.1 -0.1 -0.0 1.0 1.2 0.8 0.9 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 3.2 -0.0 -0.1 -0.2 0.1 -0.3 -0.1 0.1 0.1 JPY -0.3 -0.1 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.9 -0.8 -0.9 -0.9 -0.1 -0.1 -0.1 -0.3 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -3.2 -0.1 -0.1 -0.2 -0.5 -0.1 -0.3 -0.1 -0.3 LEANHOG -0.5 0.3 0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 1.2 1.2 1.2 1.2 -0.0 -0.0 -0.1 -0.2 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 3.2 -0.4 -0.2 -0.2 -0.3 -0.1 0.0 0.3 0.3 LIVECOW -0.4 -0.1 0.4 0.0 0.2 -0.0 0.1 -0.1 0.0 0.2 0.4 -0.1 0.6 0.0 0.2 -0.6 0.3 0.0 0.5 0.1 0.2 0.0 0.4 0.0 0.2 0.1 0.1 0.2 0.0 0.3 0.0 0.4 -0.7 0.2 0.4 0.5 -0.3 -0.3 -0.3 -0.3 LUMBER-new -0.0 -0.2 0.1 0.0 0.2 -0.0 0.1 -0.1 0.0 -0.0 -0.4 0.1 -0.4 -0.1 -0.1 -1.0 -0.8 -0.9 -0.8 -0.1 -0.1 -0.0 -0.2 -0.0 NaN -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -3.4 0.2 0.1 -0.5 -0.0 -0.3 -0.3 -0.2 -0.3 MILK 0.3 0.5 0.3 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.3 0.0 -0.0 0.1 -1.2 -1.2 -1.2 -0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -3.2 0.0 0.2 0.1 -0.5 -0.3 -0.3 -0.2 -0.3 MXP -0.1 -0.3 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 0.4 0.1 0.5 0.1 0.1 1.0 1.0 1.0 1.0 0.1 0.2 0.2 0.4 0.1 -1.1 0.1 0.1 0.2 0.1 0.3 0.0 3.2 0.7 0.5 0.4 0.5 0.3 0.1 0.3 0.3 NASDAQ_micro -0.5 -0.5 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.2 -0.1 0.0 -0.6 -0.5 -0.6 -0.6 0.0 0.1 -0.1 0.3 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.9 0.4 0.1 0.1 0.5 -0.1 -0.2 -0.3 -0.2 NIKKEI -0.4 -0.5 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.3 -0.1 0.4 -0.1 0.1 1.0 0.7 0.9 0.8 0.0 0.2 -0.1 0.4 -0.1 -0.3 0.0 0.0 0.2 -0.0 0.3 -0.0 3.2 0.3 0.5 -0.1 0.5 0.1 0.0 -0.0 0.1 NZD -0.5 -0.3 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.8 -0.1 -0.1 -0.3 -0.3 -0.0 -0.2 0.0 0.1 OAT -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 0.3 0.5 0.4 0.4 -0.0 -0.0 0.0 -0.2 -0.0 0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 2.9 0.2 0.1 0.0 0.1 -0.3 -0.3 -0.0 0.1 OATIES 0.0 0.4 0.5 0.0 0.1 -0.0 0.0 -0.1 0.0 0.2 0.3 0.1 -0.2 0.1 0.1 -1.2 -0.2 -1.0 -0.7 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.2 0.1 0.1 0.1 0.1 -3.2 0.7 0.5 0.5 0.5 0.0 0.3 0.2 0.3 OJ -0.3 0.3 0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.3 0.1 0.5 0.1 0.1 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 0.2 0.0 3.2 0.7 0.5 0.5 0.5 0.2 0.1 0.3 0.2 PALLAD 0.2 0.2 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.5 0.3 -0.0 -0.2 -0.3 -0.0 0.1 0.0 PLAT -0.0 -0.1 -0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.2 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 0.1 -0.1 -0.0 0.7 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.4 0.4 0.2 0.1 -0.3 0.0 -0.2 0.2 -0.2 REDWHEAT -0.5 -0.2 -0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.5 -0.3 -0.5 -0.4 0.0 -0.3 -0.3 -0.1 -0.1 RICE -0.1 0.4 0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 0.2 0.1 0.0 0.0 0.1 0.1 -0.8 1.2 0.6 1.2 0.1 0.1 0.1 0.0 0.1 -1.1 0.0 0.1 0.1 0.0 0.0 0.0 3.2 -0.4 0.2 0.2 0.4 -0.1 -0.3 0.1 -0.2 ROBUSTA -0.3 -0.2 0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.2 -0.1 0.3 -0.1 0.0 1.2 1.2 1.2 1.2 0.0 0.1 -0.1 0.4 -0.1 -0.7 0.0 0.0 0.1 -0.0 0.2 -0.0 3.2 -0.7 -0.1 -0.3 0.4 -0.1 -0.2 0.1 -0.1 RUSSELL -0.5 0.0 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.5 -0.3 -0.4 -0.4 -0.0 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 -0.4 -0.1 0.3 0.4 -0.1 -0.1 -0.3 -0.2 SHATZ 0.2 0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.0 -1.2 -0.3 -1.1 -0.7 -0.0 -0.1 0.0 -0.2 -0.0 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.7 0.1 0.2 0.2 -0.0 -0.3 -0.3 -0.3 -0.3 SILVER-mini -0.3 0.0 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 0.0 0.1 -0.0 -0.1 -0.4 -0.3 -0.4 -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 -0.6 0.7 0.1 0.3 -0.1 -0.2 -0.3 -0.0 -0.3 SMI -0.3 -0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.5 0.4 0.5 0.0 -0.2 -0.1 -0.1 -0.2 -0.2 SOFR -0.3 -0.3 -0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -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 -11.8 -1.4 -0.7 -2.3 1.6 -3.2 1.5 -3.2 -7.7 -10.5 -12.1 -6.1 -13.2 -11.3 -3.0 -2.7 -2.9 -2.8 -13.2 -8.3 -10.8 -6.8 -15.7 2.8 -3.9 -1.5 -2.2 -3.3 -1.7 -4.8 -0.6 -2.6 -4.3 -14.3 -11.6 -4.7 -20.0 -0.5 6.3 BITCOIN -18.0 -13.3 1.9 -3.4 3.7 -0.1 -0.2 1.6 -4.4 -19.4 12.9 -20.0 2.3 -19.5 -6.7 -8.0 -4.2 -7.2 -5.8 -11.3 2.7 -20.0 3.9 -20.0 -20.0 -5.1 -8.7 -0.3 -12.2 1.2 -10.2 -1.8 -20.0 -15.0 -17.3 -4.0 -9.4 20.0 -7.9 20.0 BOBL 0.7 3.3 -1.0 -2.3 0.7 -2.1 -0.6 -2.4 -1.9 2.7 -3.7 -0.6 -6.9 0.3 -4.6 -20.0 -9.3 -20.0 -17.7 -2.8 -4.5 1.3 -8.4 -1.1 9.6 -1.3 1.8 -1.7 1.0 -3.2 -0.5 -17.8 3.1 5.8 5.2 2.5 -20.0 -20.0 -20.0 -15.0 BTP -7.9 -3.4 9.3 -3.6 1.2 -3.3 -0.9 -3.8 -3.0 6.7 6.0 0.1 0.2 -3.0 -0.7 4.9 8.0 5.4 6.4 -1.6 0.9 1.8 -1.9 -2.5 -6.7 -1.0 4.3 1.2 1.3 0.1 -1.6 16.9 3.3 3.8 3.7 15.9 -18.2 -20.0 0.3 7.8 BUND -3.1 -0.6 3.5 -2.4 0.8 -2.2 -0.6 -2.5 -2.0 4.5 -4.9 0.1 -7.4 -3.6 -5.3 6.3 8.8 6.4 7.0 -3.7 -4.4 1.3 -8.0 -2.4 5.8 -1.9 2.8 -1.8 0.9 -3.0 -1.3 17.9 4.1 2.7 1.7 3.4 -20.0 -20.0 -17.2 -1.3 BUXL -5.6 -3.3 3.9 -2.8 0.9 -2.5 -0.7 -2.9 -2.3 6.2 -8.3 -0.3 -9.3 -5.8 -6.5 0.4 1.1 1.0 1.4 -5.8 -6.3 0.5 -10.5 -4.6 0.6 -2.5 2.4 -2.0 0.3 -2.9 -2.1 6.6 3.8 -0.6 -2.4 3.5 -20.0 -20.0 -3.1 13.0 CAC -11.4 -4.0 -11.9 -3.0 -1.5 1.1 -6.2 2.6 -6.8 -3.2 12.5 -13.3 18.6 -7.3 -3.4 -6.7 -0.6 -5.2 -2.9 -3.9 6.0 -8.1 16.5 -9.6 -4.9 -1.9 0.8 3.1 -4.3 7.6 -5.2 6.8 11.8 19.5 3.3 -2.1 20.0 -0.7 20.0 2.7 CAD -20.0 -13.6 7.1 -1.2 -3.9 2.8 -5.4 2.6 -5.4 -20.0 4.0 -20.0 -9.9 -20.0 -10.3 -2.0 -2.0 -2.1 -2.2 -16.7 -3.7 -20.0 -4.4 -20.0 1.1 -5.3 -6.4 -0.9 -8.5 -0.7 -9.3 0.6 -15.2 -10.5 -20.0 -4.7 -16.8 -20.0 -20.0 -17.2 CANOLA -8.2 20.0 20.0 0.8 6.0 -0.7 2.8 -2.1 1.2 9.6 5.6 7.2 -5.2 5.5 7.9 -5.3 12.5 2.9 9.1 12.2 8.3 9.1 -0.0 9.0 -20.0 2.5 2.1 1.1 2.1 -1.0 2.1 6.8 18.2 0.3 19.0 17.0 -15.5 7.9 3.9 20.0 CHF -16.5 3.9 3.1 -1.0 -3.2 2.3 -4.4 2.1 -4.4 -13.4 9.2 -16.6 13.6 -6.0 0.9 -14.6 -13.2 -14.3 -13.9 2.1 10.2 -13.3 11.1 -8.5 -8.6 1.5 -5.6 4.5 -5.3 4.3 -3.0 -19.1 -6.2 5.5 14.7 0.9 -18.5 -20.0 -20.0 -20.0 COCOA -17.4 0.5 13.9 1.7 12.1 -1.4 5.7 -4.3 2.3 8.8 20.0 -1.9 20.0 7.1 17.0 -9.4 -2.1 -4.9 -2.8 20.0 20.0 3.4 20.0 7.5 -12.0 6.8 2.3 11.1 0.8 11.2 2.0 -16.3 12.3 -5.0 16.0 20.0 -9.9 -14.8 14.3 -3.1 COFFEE -8.6 -9.2 -16.5 1.6 11.1 -1.3 5.3 -3.9 2.1 1.4 -10.0 -13.1 -11.6 -15.2 -18.9 -1.9 2.8 0.5 2.0 -20.0 -18.8 -9.9 -15.1 -17.5 -20.0 -5.6 -0.2 -3.6 -3.8 -2.3 -6.1 -8.1 -20.0 -13.6 -20.0 -14.9 -20.0 -20.0 -13.5 -12.5 COPPER -12.0 1.8 -3.8 -2.1 2.2 -0.1 -0.1 0.9 -2.6 6.9 -6.2 -5.5 -3.4 -6.5 -3.4 -6.3 -2.3 -4.6 -3.4 -4.9 -4.2 0.5 -3.6 -4.5 -4.3 -1.4 2.9 -1.7 0.8 -1.8 -1.4 1.8 2.8 3.2 7.2 -3.4 4.6 -20.0 12.6 -17.4 CORN -13.6 -9.5 0.2 0.6 4.2 -0.5 2.0 -1.5 0.8 2.9 -5.8 -4.2 -5.8 -6.3 -6.5 -8.8 5.1 -5.4 -0.6 -6.5 -5.8 -2.9 -4.3 -6.1 -7.1 -1.2 0.1 -1.5 -0.8 -1.9 -1.5 -7.8 -5.2 -9.6 -11.4 1.1 -3.2 7.2 1.0 14.2 COTTON2 -1.9 11.0 10.5 1.1 7.9 -0.9 3.7 -2.8 1.5 7.3 6.8 -3.1 -9.2 5.3 7.1 5.9 6.9 7.0 5.8 6.3 4.6 4.2 -1.2 3.8 -20.0 3.4 6.1 2.8 2.5 1.4 2.2 -2.3 -13.6 4.2 11.0 12.6 -18.6 -15.5 11.7 9.2 CRUDE_W -2.4 20.0 10.7 6.4 3.3 3.9 2.7 1.7 5.2 -7.2 13.4 -12.7 -7.9 13.7 16.5 8.4 8.3 7.6 7.3 20.0 15.9 -4.8 7.4 10.4 -7.0 6.4 -0.7 5.7 -1.7 4.1 2.5 -16.0 -20.0 -20.0 -20.0 -6.3 16.2 12.4 18.3 7.3 DAX -18.1 -8.3 -7.9 -2.7 -1.3 1.0 -5.7 2.4 -6.2 -8.6 8.3 -16.2 16.0 -14.0 -9.3 -8.5 -6.9 -8.4 -8.0 -8.7 2.9 -12.6 12.1 -14.9 16.9 -4.2 -2.1 0.4 -5.5 3.9 -6.6 -3.3 11.6 4.5 -4.4 -4.9 20.0 0.7 20.0 7.1 DOW -20.0 4.8 9.7 -2.6 -1.3 1.0 -5.4 2.3 -5.9 -11.0 11.0 -15.1 12.2 -5.4 7.0 -11.5 -7.7 -10.9 -9.6 2.0 8.7 -20.0 7.7 -12.1 -10.1 1.2 -5.0 4.0 -7.3 3.8 -4.3 -5.3 -17.1 3.2 18.9 14.7 -9.2 -5.6 -20.0 -5.2 EUR -16.4 -4.2 -0.1 -1.0 -3.2 2.3 -4.4 2.1 -4.4 -17.1 2.2 -18.7 10.3 -17.8 -6.6 -6.5 -6.8 -6.6 -6.6 -6.9 1.9 -18.3 3.3 -15.7 15.1 -2.6 -7.4 1.2 -8.0 1.5 -6.6 -7.3 -14.8 4.1 -4.5 -11.8 -3.1 -19.9 2.3 2.0 EURIBOR-ICE -0.1 7.7 2.4 -2.2 0.7 -2.0 -0.6 -2.3 -1.9 1.6 -3.9 0.3 -6.6 2.6 -2.9 -8.2 -7.7 -9.2 -9.0 -1.8 -3.9 1.5 -7.9 -0.3 17.1 -0.8 1.3 -1.5 0.9 -3.3 -0.1 -10.3 3.4 6.5 7.0 1.8 -20.0 -20.0 20.0 7.8 EUROSTX -14.3 -7.9 -9.7 -2.4 -1.2 0.9 -5.0 2.1 -5.5 -6.5 9.8 -13.3 15.3 -11.7 -7.2 -4.6 -0.7 -4.4 -3.0 -4.6 4.3 -9.2 11.9 -10.1 4.6 -2.9 -1.6 1.7 -5.0 5.5 -5.7 6.6 7.9 11.4 -0.4 -1.2 20.0 2.9 20.0 9.3 FEEDCOW -7.2 5.4 17.6 1.9 13.7 -1.5 6.5 -4.8 2.6 20.0 20.0 6.5 20.0 14.2 20.0 -1.6 -20.0 -20.0 -20.0 20.0 20.0 14.8 20.0 13.9 3.7 8.9 9.1 14.6 5.3 16.4 4.8 -20.0 2.6 20.0 20.0 20.0 4.8 -12.9 19.2 -5.1 GASOIL 7.9 20.0 20.0 5.3 2.7 3.3 2.2 1.4 4.3 15.3 10.7 16.1 -1.2 18.9 19.1 20.0 17.7 20.0 16.9 20.0 20.0 20.0 11.0 20.0 12.2 6.5 3.9 4.0 3.7 1.6 5.7 0.0 15.5 20.0 20.0 17.0 -12.2 2.4 -16.0 -5.1 GASOLINE -3.3 20.0 16.8 6.3 3.2 3.9 2.7 1.7 5.1 7.3 19.3 -5.7 -0.5 17.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 5.0 20.0 17.8 -20.0 7.4 3.1 7.4 1.2 6.5 4.0 20.0 -11.1 -20.0 -6.6 16.0 15.0 14.7 17.6 3.7 GAS_US_mini 0.5 14.0 17.7 5.1 2.6 3.1 2.2 1.4 4.1 -9.6 -15.5 -13.0 -19.2 -10.0 1.4 -20.0 -17.2 -20.0 -20.0 -2.8 -15.5 -9.3 -20.0 -5.2 20.0 1.0 -2.9 -0.6 -4.8 -3.4 -2.0 -20.0 -20.0 -20.0 -20.0 -18.8 8.4 8.9 -2.6 0.3 GBP -12.2 -7.3 8.6 -1.0 -3.4 2.5 -4.8 2.2 -4.8 -16.1 11.3 -16.6 12.7 -14.9 -0.1 0.4 -0.8 0.1 -0.4 0.4 10.1 -13.7 9.5 -8.8 -0.8 0.6 -11.5 5.1 -7.7 3.4 -4.5 3.1 -0.8 13.0 1.8 5.0 2.9 12.9 7.7 20.0 GOLD_micro -17.0 -10.7 -15.7 -3.5 3.8 -0.1 -0.2 1.6 -4.4 14.6 -8.0 -13.6 6.3 -17.7 -20.0 -17.5 -13.0 -16.5 -14.9 -20.0 -11.2 -7.4 2.2 -20.0 -11.4 -5.7 3.6 -2.0 -1.9 1.7 -6.3 -17.4 -7.9 -14.8 -1.0 -19.8 -20.0 -20.0 -11.4 -20.0 HEATOIL -3.3 20.0 20.0 6.3 3.2 3.9 2.7 1.7 5.1 19.0 11.1 15.1 -3.0 20.0 20.0 20.0 19.8 20.0 18.0 20.0 20.0 20.0 12.5 20.0 -20.0 7.8 6.5 5.5 5.0 3.3 6.7 2.5 20.0 20.0 20.0 20.0 3.7 0.1 -2.1 -2.2 JGB-SGX-mini -10.3 -20.0 -5.7 -2.3 0.7 -2.1 -0.6 -2.4 -1.9 1.3 4.1 -3.2 4.8 -6.7 -5.9 16.1 19.7 14.0 15.5 -5.5 -0.5 -2.2 2.7 -5.9 0.2 -2.0 0.3 -0.5 -0.7 0.1 -2.0 20.0 -0.6 -4.4 -7.4 5.7 -20.0 -8.0 5.1 7.6 JPY -14.0 -4.0 -16.0 -0.6 -1.8 1.3 -2.6 1.2 -2.6 -7.9 -10.5 -10.2 -9.7 -10.5 -10.9 -15.8 -13.8 -15.9 -15.2 -14.3 -14.5 -9.4 -14.7 -12.8 20.0 -3.9 -1.9 -3.6 -2.7 -3.6 -3.6 -20.0 -1.8 -4.3 -7.2 -20.0 -7.9 -20.0 -7.9 -20.0 LEANHOG -20.0 12.6 10.0 0.6 4.2 -0.9 1.3 -2.4 0.4 -6.5 -3.1 -9.1 -5.6 -7.3 6.0 20.0 20.0 20.0 20.0 -2.4 -5.0 -8.9 -9.8 -6.8 11.3 -2.9 -2.7 -5.1 -3.9 -7.1 -3.5 20.0 -12.4 -9.0 -6.7 -11.1 -7.4 1.1 19.6 20.0 LIVECOW -15.6 -4.0 17.8 1.9 13.4 -1.5 6.4 -4.8 2.6 16.4 20.0 -7.2 20.0 0.8 18.5 -9.6 5.5 0.2 8.9 18.0 20.0 1.4 20.0 1.9 4.6 6.9 4.8 11.9 0.6 12.4 1.1 2.3 -20.0 8.9 17.8 20.0 -20.0 -20.0 -20.0 -19.5 LUMBER-new -1.3 -9.3 3.1 1.8 12.5 -1.0 5.9 -3.1 2.4 -0.3 -18.6 6.4 -20.0 -13.4 -13.7 -16.1 -13.0 -13.9 -13.2 -9.1 -9.2 -0.2 -9.0 -5.2 NaN -3.0 -3.9 -2.6 0.4 -2.1 -1.3 -20.0 7.0 2.3 -20.0 -0.9 -20.0 -20.0 -13.7 -20.0 MILK 10.3 20.0 10.5 0.8 5.4 -0.6 2.6 -1.9 1.0 6.4 -5.4 4.0 -9.0 5.9 -1.2 2.5 -20.0 -20.0 -20.0 -0.5 -7.8 5.5 -11.9 4.1 -2.3 -0.8 3.1 -3.9 1.9 -5.2 1.3 -20.0 0.6 7.0 3.8 -19.9 -20.0 -20.0 -16.0 -20.0 MXP -4.1 -10.1 6.6 -0.9 -3.1 2.2 -4.3 2.0 -4.3 16.6 18.4 13.6 19.5 9.5 15.4 16.3 17.7 17.4 17.5 15.1 20.0 16.6 20.0 11.2 -20.0 6.1 8.9 9.9 6.6 12.1 4.3 20.0 20.0 20.0 14.6 20.0 20.0 6.1 20.0 20.0 NASDAQ_micro -20.0 -20.0 16.0 -1.8 -0.9 0.7 -3.7 1.5 -4.0 -2.4 10.3 -7.4 8.1 -7.1 5.9 -9.9 -8.0 -10.3 -9.6 2.6 12.3 -5.8 12.3 -6.1 -20.0 1.2 -0.5 5.2 -1.9 5.8 -2.1 -5.5 11.3 3.0 5.4 20.0 -7.9 -13.4 -19.2 -15.8 NIKKEI -17.9 -18.5 12.8 -2.7 -1.3 1.0 -5.6 2.3 -6.1 0.9 14.4 -10.7 15.3 -12.6 7.9 16.1 12.6 15.2 13.8 3.2 18.7 -5.4 20.0 -7.9 -6.5 1.9 0.1 8.1 -1.9 9.2 -2.7 20.0 9.3 18.9 -5.1 20.0 4.4 2.8 -2.2 9.0 NZD -20.0 -11.1 -5.9 -0.7 -2.2 1.6 -3.1 1.5 -3.1 -10.7 -9.2 -12.5 -0.4 -13.3 -11.3 -0.3 0.4 0.1 0.3 -12.4 -7.2 -11.8 -5.3 -15.6 0.5 -3.8 -2.4 -2.0 -3.9 -1.3 -5.0 4.8 -2.6 -2.8 -10.7 -12.3 -1.5 -13.1 2.6 7.5 OAT -3.4 -1.7 4.7 -2.7 0.9 -2.4 -0.7 -2.8 -2.2 5.3 -5.4 0.6 -7.8 -3.9 -5.1 5.4 8.7 6.3 7.4 -3.8 -4.2 1.9 -7.6 -2.4 8.0 -2.0 3.5 -1.7 1.3 -3.1 -1.3 18.4 4.9 3.5 1.5 5.1 -20.0 -20.0 -0.5 4.1 OATIES 1.8 15.9 20.0 1.4 10.2 -1.1 4.8 -3.6 2.0 16.9 15.0 16.9 -7.3 15.0 16.7 -20.0 -3.6 -16.6 -11.5 20.0 20.0 20.0 12.7 20.0 -20.0 6.0 12.9 4.9 9.7 2.3 6.7 -20.0 20.0 20.0 20.0 20.0 2.0 20.0 15.4 20.0 OJ -10.1 10.0 6.5 1.3 9.4 -1.1 4.4 -3.3 1.8 5.7 16.5 7.5 17.0 13.5 15.2 20.0 20.0 20.0 20.0 20.0 20.0 17.1 20.0 20.0 -20.0 6.1 2.7 6.7 4.2 7.8 5.5 20.0 20.0 20.0 20.0 20.0 15.2 5.1 20.0 16.6 PALLAD 8.7 8.7 -12.0 -1.7 1.8 -0.0 -0.1 0.8 -2.1 -3.4 -11.3 -2.3 -11.7 -4.3 -10.3 -2.0 -2.5 -2.7 -2.8 -7.9 -14.6 -1.9 -20.0 -3.1 -2.7 -2.7 -2.6 -4.1 -0.8 -4.9 -1.1 1.9 -14.6 10.9 -1.2 -9.6 -19.5 -2.2 5.0 1.4 PLAT -1.4 -2.2 -18.7 -2.0 2.1 -0.1 -0.1 0.9 -2.5 12.1 -9.8 4.0 -2.0 -4.1 -10.5 -3.3 -2.1 -3.1 -2.7 -8.8 -9.0 9.0 -4.6 -1.8 13.4 -2.6 7.4 -2.3 4.0 -1.1 -0.3 2.4 13.0 7.1 3.7 -11.3 2.5 -16.3 15.9 -12.2 REDWHEAT -20.0 -8.1 -1.6 0.8 5.6 -0.6 2.7 -2.0 1.1 6.9 -4.0 -7.2 -8.6 -8.9 -6.4 -4.1 2.1 -1.9 0.8 -7.8 -4.7 -4.6 -3.6 -9.5 -10.3 -2.1 0.7 -1.2 -1.2 -0.6 -2.6 -9.4 -7.6 -19.2 -14.4 1.2 -20.0 -19.5 -10.0 -7.2 RICE -2.1 15.8 9.3 1.5 10.9 -1.2 5.1 -3.8 2.1 15.2 3.2 5.2 0.5 12.3 14.4 -12.8 20.0 10.5 20.0 10.2 6.3 8.3 2.0 7.6 -20.0 4.3 8.3 2.9 4.1 0.9 3.2 20.0 -11.9 9.3 6.3 15.3 -6.5 -20.0 6.4 -12.8 ROBUSTA -12.2 -9.9 4.7 1.1 7.8 -0.9 3.7 -2.8 1.5 6.4 10.4 -7.6 10.8 -6.9 1.4 20.0 20.0 20.0 20.0 1.2 12.1 -4.7 17.2 -6.1 -12.6 0.6 2.7 5.5 -1.9 7.8 -2.7 20.0 -20.0 -5.4 -13.7 17.0 -4.2 -17.4 11.2 -8.1 RUSSELL -20.0 1.9 16.2 -2.5 -1.2 0.9 -5.2 2.2 -5.7 -12.0 2.8 -16.1 -1.0 -11.9 3.6 -7.7 -5.5 -7.3 -6.5 -2.8 5.2 -20.0 1.3 -17.9 -2.4 -0.7 -3.3 2.1 -6.5 1.8 -5.5 -0.7 -10.5 -3.9 10.9 17.2 -5.9 -9.2 -20.0 -12.6 SHATZ 7.1 9.0 -9.3 -2.3 0.7 -2.1 -0.6 -2.4 -1.9 0.8 -5.6 -1.7 -7.3 1.8 -4.7 -20.0 -5.8 -18.6 -12.4 -2.9 -6.9 1.2 -11.9 -0.1 11.0 -1.1 1.0 -2.6 0.9 -4.8 0.1 -10.7 2.0 9.1 8.3 -0.3 -20.0 -20.0 -20.0 -20.0 SILVER-mini -12.7 0.4 -8.2 -2.3 2.9 -0.0 -0.5 1.0 -3.2 12.4 0.8 0.1 4.4 -4.8 -7.7 -6.7 -5.6 -6.7 -6.3 -4.1 -1.2 11.5 1.5 -1.2 7.0 -0.5 11.3 0.6 5.6 0.9 0.4 -3.8 20.0 5.4 10.1 -4.0 -17.2 -20.0 -1.0 -20.0 SMI -11.9 -8.4 -8.9 -2.6 -1.3 1.0 -5.4 2.3 -5.9 0.4 2.9 -10.3 4.7 -10.9 -11.2 -3.1 1.1 -2.9 -1.4 -10.0 -3.5 -6.5 1.5 -11.8 4.5 -3.3 2.8 -1.5 -2.3 -1.3 -4.1 9.6 11.6 20.0 0.5 -9.3 -8.4 -11.0 -18.9 -16.1 SOFR -11.1 -11.3 -12.4 -2.6 0.8 -2.4 -0.7 -2.7 -2.1 -0.0 -5.3 -6.2 -3.2 -7.2 -7.6 -2.0 -0.8 -1.9 -1.4 -9.4 -6.6 -7.0 -4.9 -10.0 -1.5 -2.9 -0.3 -2.0 -2.1 -1.4 -3.0 2.3 -7.7 -4.5 -2.1 -5.3 -20.0 -20.0 -6.1 -3.3 SOYBEAN -6.0 8.1 17.7 0.7 5.3 -0.6 2.5 -1.9 1.0 8.6 4.0 4.2 -1.0 0.9 4.9 9.9 20.0 14.2 17.2 3.8 2.7 8.3 0.4 4.0 -20.0 1.6 3.8 1.1 2.6 0.3 1.4 20.0 13.1 -2.2 2.7 9.6 -10.8 9.0 -7.4 20.0 SOYMEAL -3.5 3.5 -11.7 0.8 5.8 -0.7 2.7 -2.0 1.1 9.6 -3.6 4.9 2.1 0.4 -1.3 7.5 19.9 14.5 18.9 -0.0 -0.8 10.9 1.6 3.1 -20.0 1.3 7.6 1.4 4.5 2.4 1.7 20.0 13.0 -0.4 1.0 5.5 -13.1 -17.9 -9.8 -16.3 SOYOIL -3.1 18.7 20.0 0.9 6.3 -0.7 3.0 -2.2 1.2 3.5 7.2 4.5 -1.4 6.8 9.7 15.5 11.0 12.7 10.6 12.3 9.5 5.5 3.2 8.6 -20.0 3.3 1.1 2.5 1.4 0.8 2.2 5.3 8.4 4.4 10.2 20.0 0.3 6.5 15.4 20.0 SP400 -20.0 1.0 14.9 -2.5 -1.2 0.9 -5.2 2.2 -5.7 -11.8 5.4 -15.5 6.9 -10.6 5.6 -6.5 -4.9 -6.0 -5.5 -1.4 7.6 -20.0 6.2 -16.9 -12.2 -0.6 -2.6 2.1 -6.1 2.1 -5.2 0.7 -11.2 -5.1 11.3 15.1 0.3 -10.4 -12.9 -14.7 SP500_micro -20.0 -14.4 16.4 -2.5 -1.2 0.9 -5.2 2.2 -5.7 -6.6 13.3 -12.7 10.0 -10.3 7.3 -12.5 -9.1 -12.5 -11.1 2.6 13.4 -11.1 12.6 -10.1 -17.8 1.2 -1.2 5.3 -3.9 5.2 -3.6 -7.5 4.0 -2.5 12.5 20.0 -5.5 -12.3 -18.2 -17.1 SUGAR11 -2.4 -6.3 -8.9 1.5 11.0 -1.2 5.2 -3.9 2.1 15.8 11.9 7.2 14.6 6.8 -0.9 -3.3 12.0 -0.5 5.3 1.5 12.1 13.7 20.0 3.1 -20.0 1.2 18.4 8.2 8.0 16.4 1.8 3.6 6.6 6.8 -5.8 0.2 -18.9 -19.1 9.7 -3.8 US10 -7.5 -10.6 -14.8 -2.4 0.8 -2.1 -0.6 -2.4 -2.0 -0.8 -6.8 -5.6 -7.2 -7.1 -7.8 -9.0 -6.9 -9.0 -8.6 -10.2 -9.1 -6.1 -9.0 -9.2 0.8 -2.9 -0.5 -2.4 -1.8 -2.1 -2.6 -9.3 -6.1 -4.6 -2.9 -7.4 -20.0 -20.0 14.5 0.7 US10U -9.6 -11.3 -11.0 -3.1 1.0 -2.8 -0.8 -3.2 -2.6 0.3 -8.7 -7.1 -9.2 -9.2 -10.1 -6.1 -1.8 -4.2 -3.2 -13.2 -11.2 -7.5 -10.9 -12.3 -3.5 -3.8 -0.3 -3.0 -2.1 -2.4 -3.5 0.0 -7.0 -8.6 -5.5 -9.1 -20.0 -20.0 20.0 18.4 US2 1.8 -12.1 -20.0 -2.5 0.8 -2.3 -0.6 -2.6 -2.1 -6.8 -8.5 -7.5 -8.4 -8.2 -9.0 -20.0 -20.0 -20.0 -20.0 -14.0 -16.9 -8.2 -18.5 -9.8 8.5 -3.2 -2.2 -3.5 -2.3 -3.9 -2.5 -20.0 -10.5 -0.1 -1.8 -13.7 -20.0 -20.0 -20.0 -20.0 US20 -12.0 -12.9 -9.2 -2.3 0.7 -2.1 -0.6 -2.4 -1.9 2.0 -6.3 -4.7 -5.9 -6.6 -7.4 -1.6 -1.4 -1.6 -1.7 -10.4 -8.4 -5.2 -7.8 -9.8 -3.3 -2.8 0.2 -2.1 -1.3 -1.6 -2.6 1.5 -4.3 -9.7 -6.4 -6.8 -20.0 -20.0 20.0 20.0 US30 -11.5 -12.3 -5.4 -2.7 0.9 -2.5 -0.7 -2.8 -2.3 5.5 -8.1 -5.1 -7.6 -7.6 -8.7 -8.2 -3.2 -6.7 -4.8 -11.5 -9.6 -4.2 -10.0 -10.2 -3.0 -3.2 0.9 -2.4 -1.1 -1.9 -2.8 -2.3 -1.7 -10.3 -8.2 -6.2 -20.0 -20.0 20.0 20.0 US5 -6.3 -9.7 -19.0 -2.5 0.8 -2.2 -0.6 -2.6 -2.0 -3.3 -7.3 -6.8 -7.6 -7.5 -8.3 -12.8 -9.3 -13.0 -11.9 -10.6 -10.2 -7.5 -10.6 -9.5 3.3 -3.0 -1.3 -2.7 -2.3 -2.6 -2.8 -14.1 -8.7 -3.0 -1.2 -8.1 -20.0 -20.0 2.9 -16.0 VIX 20.0 13.1 -19.8 -4.9 -2.4 -10.1 0.8 -11.9 0.4 -0.5 -20.0 8.7 -20.0 5.4 -19.7 -20.0 -20.0 -20.0 -20.0 -15.9 -20.0 1.8 -20.0 0.1 NaN -5.5 -2.7 -12.0 1.0 -14.7 0.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -18.4 -0.8 13.2 0.6 3.9 -0.4 1.9 -1.4 0.8 -2.9 -4.8 -5.7 -6.9 -6.3 -4.9 -11.2 -9.2 -10.6 -10.3 -4.7 -4.0 -5.2 -5.0 -6.4 -3.1 -1.1 -1.3 -1.1 -1.7 -1.4 -1.8 -20.0 -10.4 -12.0 -10.0 1.0 -19.7 -14.4 -13.4 -8.1 End of report for caleb_strategy_v3