******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240430_204010 produced at 2024-04-30 21:37:44.218257 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.07 0.00 -1.33 0.0 0.00 0.00 0.00 0.00 -19.37 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.21 -0.40 0.0 0.42 -0.42 -0.21 -0.21 -15.21 16.0 -8 -8 caleb_strategy_v3 EURIBOR-ICE False False 0.07 -0.15 -0.39 0.0 0.74 -0.74 -0.15 -0.07 -5.19 10.0 -2 -1 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -9.89 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -5.40 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.18 -0.25 0.0 999.00 -999.00 -0.18 -0.21 -54.33 999999999.0 -39 -45 caleb_strategy_v3 CHF False False 0.04 -0.31 -0.18 0.0 0.51 -0.51 -0.31 -0.31 -4.62 13.0 -8 -8 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.12 0.0 0.39 -0.39 -0.05 -0.07 -5.25 17.0 -2 -3 caleb_strategy_v3 CAD False False 0.02 0.00 -0.11 0.0 0.60 -0.60 0.00 0.00 -5.13 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.36 -0.10 0.0 0.75 -0.75 -0.36 -0.36 -3.39 25.0 -12 -12 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.08 -0.08 -0.04 -0.04 -9.44 12.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.06 0.0 0.04 -0.04 -0.04 -0.04 -33.95 26.0 -25 -25 caleb_strategy_v3 EUR False False 0.04 -0.19 -0.06 0.0 0.54 -0.54 -0.19 -0.19 -1.59 14.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.13 -0.13 -0.02 -0.02 -19.63 51.0 -6 -6 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.03 3.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.36 -0.05 0.0 0.68 -0.68 -0.36 -0.36 -1.40 19.0 -10 -10 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.52 -0.52 0.00 0.00 -1.73 17.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -9.06 66.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.03 0.0 0.49 -0.49 0.00 0.00 -1.25 22.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.03 0.0 0.23 -0.23 -0.06 -0.06 -3.45 23.0 -6 -6 caleb_strategy_v3 SP400 False False 0.08 0.00 -0.03 0.0 0.17 -0.17 0.00 0.00 -0.41 2.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.03 0.0 0.41 -0.41 -0.16 -0.16 -0.98 13.0 -5 -5 caleb_strategy_v3 NZD False False 0.02 -0.05 -0.03 0.0 0.35 -0.35 -0.05 -0.03 -2.00 21.0 -3 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.03 0.0 0.19 -0.19 -0.05 -0.07 -12.06 68.0 -16 -24 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -14.95 59.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.04 -0.03 0.0 0.35 -0.35 -0.04 -0.03 -4.51 48.0 -5 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.03 -2.36 11.0 -3 -3 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.02 0.0 0.25 -0.25 -0.03 -0.03 -3.01 36.0 -5 -5 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.39 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.49 7.0 -3 -3 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.02 0.0 0.35 -0.35 -0.06 -0.06 -1.18 19.0 -3 -3 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.07 -0.07 -0.04 -0.04 -2.51 10.0 -5 -5 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.01 -3.06 18.0 -2 -2 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -0.49 10.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -0.57 3.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 -0.01 0.0 0.37 -0.37 0.00 -0.05 -1.13 56.0 0 -7 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.33 9.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.96 5.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.25 8.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.35 2.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.37 9.0 0 0 caleb_strategy_v3 US30 False False 0.03 -0.07 -0.01 0.0 0.21 -0.21 -0.07 -0.07 -0.36 6.0 -2 -2 caleb_strategy_v3 BUXL False False 0.04 -0.12 -0.01 0.0 0.16 -0.16 -0.12 -0.12 -0.24 4.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.00 0.0 0.07 -0.07 -0.01 0.00 -0.22 8.0 -1 0 caleb_strategy_v3 WHEAT False False 0.01 -0.07 -0.00 0.0 0.08 -0.08 -0.07 -0.06 -0.47 9.0 -7 -6 caleb_strategy_v3 OAT False False 0.04 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.07 10.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.04 0.00 0.0 0.58 -0.58 0.04 0.02 0.11 26.0 2 1 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.09 4.0 0 0 caleb_strategy_v3 PLAT False False 0.01 -0.01 0.00 0.0 0.14 -0.14 -0.01 0.00 0.34 10.0 -1 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.26 -0.26 0.00 0.00 0.93 23.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.14 0.01 0.0 0.36 -0.36 0.14 0.18 0.31 10.0 4 5 caleb_strategy_v3 COFFEE False False 0.02 0.05 0.01 0.0 0.14 -0.14 0.05 0.02 0.25 6.0 2 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.03 -0.03 0.00 0.00 2.08 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.03 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.02 0.02 0.0 999.00 -999.00 0.02 0.00 0.94 999999999.0 1 0 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.03 0.0 0.16 -0.16 0.05 0.04 2.24 13.0 4 3 caleb_strategy_v3 LIVECOW False False 0.02 0.06 0.05 0.0 0.34 -0.34 0.06 0.06 2.40 17.0 3 3 caleb_strategy_v3 EUROSTX False False 0.01 0.16 0.06 0.0 0.30 -0.30 0.16 0.15 4.30 20.0 11 10 caleb_strategy_v3 GASOLINE False False 0.03 0.19 0.07 0.0 999.00 -999.00 0.19 0.19 2.22 999999999.0 6 6 caleb_strategy_v3 DAX False False 0.01 0.04 0.08 0.0 0.32 -0.32 0.04 0.04 15.24 58.0 8 8 caleb_strategy_v3 CAC True False 0.02 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.67 12.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.25 0.09 0.0 0.25 0.00 0.25 0.21 2.52 9.0 7 6 caleb_strategy_v3 COPPER False False 0.03 0.20 0.14 0.0 999.00 -999.00 0.20 0.16 4.40 999999999.0 6 5 caleb_strategy_v3 DX False False 0.03 0.00 0.17 0.0 999.00 -999.00 0.00 0.00 5.75 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.23 0.0 0.11 -0.11 0.09 0.09 10.34 5.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.25 0.25 0.0 0.50 -0.50 0.25 0.25 30.37 60.0 30 30 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.7 Shocked risk 48.2 Sum abs risk 55.3 Leverage 5.84 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3494046.23, 'annual_cash_vol_target': 873511.5575, 'daily_cash_vol_target': 54594.47234375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6493 0.6839 10.9419 BITCOIN 1842.9364 60710.0000 3.0356 48.5702 BOBL 0.2841 116.2900 0.2443 3.9084 BTP 0.6523 116.9700 0.5577 8.9226 BUND 0.5627 129.9200 0.4331 6.9294 BUXL 1.3012 128.7400 1.0107 16.1715 CAC 53.9400 7939.5000 0.6794 10.8702 CAD 0.0029 0.7274 0.4038 6.4614 CANOLA 7.6851 616.0000 1.2476 19.9613 CHF 0.0049 1.0940 0.4486 7.1781 COCOA 413.5530 7772.0000 5.3211 85.1370 COFFEE 4.6290 213.6500 2.1666 34.6658 COPPER 0.0527 4.5630 1.1555 18.4887 CORN 4.7834 469.7500 1.0183 16.2926 COTTON2 1.2914 78.5200 1.6446 26.3144 CRUDE_W 0.8304 77.7100 1.0687 17.0984 DAX 137.9262 18102.0000 0.7619 12.1910 DOW 242.7927 38136.0000 0.6366 10.1864 DX 0.3584 106.0800 0.3378 5.4053 EUR 0.0045 1.0701 0.4249 6.7990 EURIBOR-ICE 0.0536 97.2650 0.0552 0.8825 EUROSTX 41.2136 4890.0000 0.8428 13.4850 FEEDCOW 2.2059 255.8500 0.8622 13.7951 GASOIL 10.5673 776.0000 1.3618 21.7883 GASOLINE 0.0336 2.5950 1.2948 20.7171 GAS_US_mini 0.0816 2.3100 3.5332 56.5310 GBP 0.0062 1.2509 0.4981 7.9692 GOLD_micro 20.8311 2303.0000 0.9045 14.4723 HEATOIL 0.0334 2.5419 1.3127 21.0039 JGB-SGX-mini 0.2184 144.3200 0.1513 2.4215 JPY 0.0000 0.0064 0.6547 10.4760 LEANHOG 1.3201 105.7000 1.2489 19.9832 LIVECOW 1.4805 173.3500 0.8541 13.6651 LUMBER-new 7.7023 524.0000 1.4699 23.5186 MILK 0.2598 18.8200 1.3803 22.0841 MXP 0.0004 0.0580 0.6808 10.8925 NASDAQ_micro 166.2793 17697.7500 0.9396 15.0328 NIKKEI 412.7502 38260.0000 1.0788 17.2609 NZD 0.0040 0.5898 0.6726 10.7609 OAT 0.5634 125.3100 0.4496 7.1942 OATIES 5.3371 354.5000 1.5055 24.0887 OJ 5.3098 362.5500 1.4646 23.4330 PALLAD 24.1730 961.5000 2.5141 40.2255 PLAT 15.7013 946.8000 1.6584 26.5336 REDWHEAT 10.5031 648.5000 1.6196 25.9135 RICE 0.2224 15.2500 1.4586 23.3372 ROBUSTA 68.0470 4016.0000 1.6944 27.1103 RUSSELL 21.9914 1995.6000 1.1020 17.6319 SHATZ 0.0879 105.0500 0.0837 1.3389 SILVER-mini 0.4732 27.2000 1.7398 27.8368 SMI 80.5254 11268.0000 0.7146 11.4342 SOFR 0.0670 95.8250 0.0699 1.1183 SOYBEAN 9.7448 1159.7500 0.8402 13.4439 SOYMEAL 4.1784 352.5000 1.1854 18.9658 SOYOIL 0.6636 43.3400 1.5312 24.4989 SP400 24.2130 2894.2000 0.8366 13.3857 SP500_micro 35.8245 5096.5000 0.7029 11.2468 SUGAR11 0.3054 19.4800 1.5678 25.0847 US10 0.4109 107.4531 0.3824 6.1187 US10U 0.5392 110.2344 0.4891 7.8261 US2 0.1068 101.3359 0.1054 1.6864 US20 0.7927 113.8438 0.6963 11.1408 US30 1.1530 119.5938 0.9641 15.4258 US5 0.2662 104.7578 0.2541 4.0653 VIX 0.4750 16.3500 2.9050 46.4798 WHEAT 9.1022 649.5000 1.4014 22.4226 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.30 0.68 444.03 1.00 444.03 54594.47 122.95 -3.71 -45.67 BITCOIN 60.71 3.04 184.29 1.00 184.29 54594.47 296.24 -4.66 -138.07 BOBL 1162.90 0.24 284.07 1.07 304.71 54594.47 179.17 -7.71 -138.21 BTP 1169.70 0.56 652.30 1.07 699.69 54594.47 78.03 1.18 9.23 BUND 1299.20 0.43 562.67 1.07 603.55 54594.47 90.46 -5.37 -48.55 BUXL 1287.40 1.01 1301.20 1.07 1395.73 54594.47 39.12 -5.96 -23.32 CAC 793.95 0.68 539.40 1.07 578.59 54594.47 94.36 11.40 107.55 CAD 727.45 0.40 293.77 1.00 293.77 54594.47 185.84 -10.64 -197.75 CANOLA 123.20 1.25 153.70 0.73 112.66 54594.47 484.58 -16.65 -806.81 CHF 1367.56 0.45 613.53 1.00 613.53 54594.47 88.98 -20.00 -177.97 COCOA 777.20 5.32 4135.53 1.00 4135.53 54594.47 13.20 3.90 5.14 COFFEE 801.19 2.17 1735.86 1.00 1735.86 54594.47 31.45 6.74 21.19 COPPER 1140.75 1.16 1318.19 1.00 1318.19 54594.47 41.42 9.81 40.64 CORN 234.88 1.02 239.17 1.00 239.17 54594.47 228.27 -17.00 -387.99 COTTON2 392.60 1.64 645.69 1.00 645.69 54594.47 84.55 -13.06 -110.38 CRUDE_W 777.10 1.07 830.45 1.00 830.45 54594.47 65.74 14.53 95.49 DAX 181.02 0.76 137.93 1.07 147.95 54594.47 369.01 12.11 446.84 DOW 190.68 0.64 121.40 1.00 121.40 54594.47 449.72 -8.66 -389.65 DX 1060.80 0.34 358.37 1.00 358.37 54594.47 152.34 14.56 221.76 EUR 1337.62 0.42 568.40 1.00 568.40 54594.47 96.05 -6.38 -61.23 EURIBOR-ICE 2431.62 0.06 134.12 1.07 143.87 54594.47 379.48 -4.01 -152.11 EUROSTX 489.00 0.84 412.14 1.07 442.08 54594.47 123.50 10.21 126.09 FEEDCOW 1279.25 0.86 1102.96 1.00 1102.96 54594.47 49.50 -1.55 -7.66 GASOIL 776.00 1.36 1056.73 1.00 1056.73 54594.47 51.66 0.39 2.00 GASOLINE 1089.90 1.29 1411.23 1.00 1411.23 54594.47 38.69 13.21 51.10 GAS_US_mini 57.75 3.53 204.04 1.00 204.04 54594.47 267.57 -11.72 -313.56 GBP 781.81 0.50 389.40 1.00 389.40 54594.47 140.20 -3.43 -48.15 GOLD_micro 230.30 0.90 208.31 1.00 208.31 54594.47 262.08 -1.26 -33.05 HEATOIL 1067.60 1.31 1401.49 1.00 1401.49 54594.47 38.95 -3.38 -13.18 JGB-SGX-mini 144320.00 0.15 21842.24 0.01 139.22 54594.47 392.14 -3.58 -140.42 JPY 798.50 0.65 522.82 1.00 522.82 54594.47 104.42 -19.37 -202.31 LEANHOG 422.80 1.25 528.06 1.00 528.06 54594.47 103.39 3.57 36.86 LIVECOW 693.40 0.85 592.21 1.00 592.21 54594.47 92.19 7.84 72.30 LUMBER-new 144.10 1.47 211.81 1.00 211.81 54594.47 257.75 -20.00 -515.49 MILK 376.40 1.38 519.53 1.00 519.53 54594.47 105.08 -4.25 -44.69 MXP 289.95 0.68 197.39 1.00 197.39 54594.47 276.58 7.48 206.90 NASDAQ_micro 353.96 0.94 332.56 1.00 332.56 54594.47 164.16 -9.04 -148.43 NIKKEI 38260.00 1.08 41275.02 0.01 263.09 54594.47 207.51 -1.34 -27.81 NZD 589.85 0.67 396.71 1.00 396.71 54594.47 137.62 -5.60 -77.08 OAT 1253.10 0.45 563.44 1.07 604.38 54594.47 90.33 -0.23 -2.08 OATIES 177.25 1.51 266.86 1.00 266.86 54594.47 204.58 -6.82 -139.51 OJ 543.83 1.46 796.47 1.00 796.47 54594.47 68.55 7.03 48.16 PALLAD 961.50 2.51 2417.30 1.00 2417.30 54594.47 22.58 -4.52 -10.21 PLAT 473.40 1.66 785.06 1.00 785.06 54594.47 69.54 1.45 10.11 REDWHEAT 324.25 1.62 525.15 1.00 525.15 54594.47 103.96 -1.58 -16.44 RICE 305.00 1.46 444.87 1.00 444.87 54594.47 122.72 6.98 85.66 ROBUSTA 401.60 1.69 680.47 1.00 680.47 54594.47 80.23 9.96 79.89 RUSSELL 99.78 1.10 109.96 1.00 109.96 54594.47 496.51 -7.33 -363.92 SHATZ 1050.50 0.08 87.91 1.07 94.30 54594.47 578.97 -16.85 -975.44 SILVER-mini 680.00 1.74 1183.06 1.00 1183.06 54594.47 46.15 5.97 27.56 SMI 1126.80 0.71 805.25 1.10 883.65 54594.47 61.78 11.97 73.97 SOFR 2395.62 0.07 167.44 1.00 167.44 54594.47 326.05 -9.78 -318.79 SOYBEAN 579.88 0.84 487.24 1.00 487.24 54594.47 112.05 -14.31 -160.36 SOYMEAL 352.50 1.19 417.84 1.00 417.84 54594.47 130.66 -10.96 -143.24 SOYOIL 260.04 1.53 398.17 1.00 398.17 54594.47 137.11 -19.70 -270.14 SP400 2894.20 0.84 2421.30 1.00 2421.30 54594.47 22.55 -5.51 -12.42 SP500_micro 254.82 0.70 179.12 1.00 179.12 54594.47 304.79 -6.37 -194.06 SUGAR11 218.18 1.57 342.05 1.00 342.05 54594.47 159.61 -9.01 -143.87 US10 1074.53 0.38 410.92 1.00 410.92 54594.47 132.86 -10.30 -136.84 US10U 1102.34 0.49 539.19 1.00 539.19 54594.47 101.25 -7.65 -77.47 US2 2026.72 0.11 213.61 1.00 213.61 54594.47 255.57 -16.66 -425.91 US20 1138.44 0.70 792.69 1.00 792.69 54594.47 68.87 -4.29 -29.52 US30 1195.94 0.96 1153.02 1.00 1153.02 54594.47 47.35 -5.97 -28.29 US5 1047.58 0.25 266.17 1.00 266.17 54594.47 205.11 -13.06 -267.82 VIX 163.50 2.90 474.97 1.00 474.97 54594.47 114.94 -19.15 -220.10 WHEAT 324.75 1.40 455.11 1.00 455.11 54594.47 119.96 -2.95 -35.44 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -45.670 0.010 2.5 -1.185 BITCOIN -138.071 0.043 2.5 -14.951 BOBL -138.206 0.004 2.5 -1.401 BTP 9.234 0.014 2.5 0.315 BUND -48.548 0.004 2.5 -0.492 BUXL -23.325 0.004 2.5 -0.237 CAC 107.552 0.014 2.5 3.668 CAD -197.749 0.010 2.5 -5.131 CANOLA -806.814 0.010 2.5 -19.629 CHF -177.967 0.010 2.5 -4.618 COCOA 5.144 0.009 2.5 0.110 COFFEE 21.190 0.005 2.5 0.247 COPPER 40.636 0.043 2.5 4.400 CORN -387.995 0.010 2.5 -9.439 COTTON2 -110.384 0.009 2.5 -2.364 CRUDE_W 95.493 0.043 2.5 10.341 DAX 446.841 0.014 2.5 15.241 DOW -389.654 0.009 2.5 -9.056 DX 221.759 0.010 2.5 5.754 EUR -61.234 0.010 2.5 -1.589 EURIBOR-ICE -152.110 0.014 2.5 -5.188 EUROSTX 126.086 0.014 2.5 4.301 FEEDCOW -7.662 0.013 2.5 -0.254 GASOIL 2.004 0.017 2.5 0.087 GASOLINE 51.101 0.017 2.5 2.215 GAS_US_mini -313.559 0.043 2.5 -33.954 GBP -48.150 0.010 2.5 -1.249 GOLD_micro -33.045 0.014 2.5 -1.127 HEATOIL -13.176 0.017 2.5 -0.571 JGB-SGX-mini -140.417 0.043 2.5 -15.205 JPY -202.306 0.010 2.5 -5.249 LEANHOG 36.862 0.024 2.5 2.240 LIVECOW 72.297 0.013 2.5 2.396 LUMBER-new -515.493 0.009 2.5 -11.032 MILK -44.689 0.009 2.5 -0.957 MXP 206.903 0.059 2.5 30.368 NASDAQ_micro -148.435 0.009 2.5 -3.450 NIKKEI -27.811 0.043 2.5 -3.012 NZD -77.081 0.010 2.5 -2.000 OAT -2.081 0.014 2.5 -0.071 OATIES -139.507 0.010 2.5 -3.394 OJ 48.156 0.009 2.5 1.031 PALLAD -10.213 0.014 2.5 -0.348 PLAT 10.115 0.014 2.5 0.345 REDWHEAT -16.440 0.005 2.5 -0.218 RICE 85.664 0.010 2.5 2.084 ROBUSTA 79.886 0.005 2.5 0.933 RUSSELL -363.917 0.013 2.5 -12.059 SHATZ -975.437 0.004 2.5 -9.891 SILVER-mini 27.564 0.014 2.5 0.940 SMI 73.968 0.014 2.5 2.523 SOFR -318.791 0.024 2.5 -19.374 SOYBEAN -160.356 0.004 2.5 -1.491 SOYMEAL -143.240 0.004 2.5 -1.332 SOYOIL -270.138 0.004 2.5 -2.515 SP400 -12.419 0.013 2.5 -0.412 SP500_micro -194.056 0.009 2.5 -4.510 SUGAR11 -143.869 0.009 2.5 -3.060 US10 -136.842 0.005 2.5 -1.734 US10U -77.471 0.005 2.5 -0.982 US2 -425.908 0.005 2.5 -5.397 US20 -29.524 0.005 2.5 -0.374 US30 -28.286 0.005 2.5 -0.358 US5 -267.815 0.005 2.5 -3.394 VIX -220.103 0.099 2.5 -54.331 WHEAT -35.436 0.005 2.5 -0.470 ===================== Position diags ===================== AUD 3.19 BITCOIN 32.08 BOBL 1.82 BTP 2.66 BUND 0.92 BUXL 0.40 CAC 3.22 CAD 4.82 CANOLA 11.79 CHF 2.31 COCOA 0.28 COFFEE 0.37 COPPER 4.48 CORN 5.55 COTTON2 1.81 CRUDE_W 7.12 DAX 12.59 DOW 10.45 DX 3.95 EUR 2.49 EURIBOR-ICE 12.94 EUROSTX 4.21 FEEDCOW 1.64 GASOIL 2.24 GASOLINE 1.68 GAS_US_mini 28.97 GBP 3.64 GOLD_micro 8.94 HEATOIL 1.69 JGB-SGX-mini 42.46 JPY 2.71 LEANHOG 6.28 LIVECOW 3.05 LUMBER-new 5.52 MILK 2.25 MXP 40.59 NASDAQ_micro 3.82 NIKKEI 22.47 NZD 3.57 OAT 3.08 OATIES 4.98 OJ 1.47 PALLAD 0.77 PLAT 2.37 REDWHEAT 1.38 RICE 2.99 ROBUSTA 0.94 RUSSELL 16.45 SHATZ 5.87 SILVER-mini 1.57 SMI 2.11 SOFR 19.82 SOYBEAN 1.04 SOYMEAL 1.22 SOYOIL 1.28 SP400 0.75 SP500_micro 7.08 SUGAR11 3.39 US10 1.68 US10U 1.28 US2 3.24 US20 0.87 US30 0.60 US5 2.60 VIX 28.37 WHEAT 1.59 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.5 -0.9 -3.0 -3 BITCOIN -15.0 -18.2 -11.7 0.0 0 BOBL -1.4 -1.6 -1.2 -10.0 -10 BTP 0.3 0.0 0.6 4.0 4 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.2 -0.3 -0.2 -3.0 -3 CAC 3.7 3.3 4.0 0.0 0 CAD -5.1 -5.6 -4.6 0.0 0 CANOLA -19.6 -20.8 -18.4 -6.0 -6 CHF -4.6 -4.8 -4.4 -8.0 -8 COCOA 0.1 0.1 0.1 2.0 2 COFFEE 0.2 0.2 0.3 2.0 2 COPPER 4.4 4.0 4.8 6.0 6 CORN -9.4 -10.0 -8.9 -6.0 -6 COTTON2 -2.4 -2.5 -2.2 -3.0 -3 CRUDE_W 10.3 9.6 11.1 4.0 4 DAX 15.2 14.0 16.5 8.0 8 DOW -9.1 -10.1 -8.0 0.0 0 DX 5.8 5.4 6.1 NaN 0 EUR -1.6 -1.8 -1.3 -5.0 -5 EURIBOR-ICE -5.2 -6.5 -3.9 -2.0 -2 EUROSTX 4.3 3.9 4.7 11.0 11 FEEDCOW -0.3 -0.4 -0.1 0.0 0 GASOIL 0.1 -0.1 0.3 0.0 0 GASOLINE 2.2 2.0 2.4 6.0 6 GAS_US_mini -34.0 -36.9 -31.1 -25.0 -25 GBP -1.2 -1.6 -0.9 0.0 0 GOLD_micro -1.1 -2.0 -0.2 0.0 0 HEATOIL -0.6 -0.7 -0.4 -1.0 -1 JGB-SGX-mini -15.2 -19.5 -11.0 -8.0 -8 JPY -5.2 -5.5 -5.0 -2.0 -2 LEANHOG 2.2 1.6 2.9 4.0 4 LIVECOW 2.4 2.1 2.7 3.0 3 LUMBER-new -11.0 -11.6 -10.5 NaN 0 MILK -1.0 -1.2 -0.7 NaN 0 MXP 30.4 26.3 34.4 30.0 30 NASDAQ_micro -3.4 -3.8 -3.1 -6.0 -6 NIKKEI -3.0 -5.3 -0.8 -5.0 -5 NZD -2.0 -2.4 -1.6 -3.0 -3 OAT -0.1 -0.4 0.2 0.0 0 OATIES -3.4 -3.9 -2.9 NaN 0 OJ 1.0 0.9 1.2 NaN 0 PALLAD -0.3 -0.4 -0.3 0.0 0 PLAT 0.3 0.1 0.6 -1.0 -1 REDWHEAT -0.2 -0.4 -0.1 -1.0 -1 RICE 2.1 1.8 2.4 NaN 0 ROBUSTA 0.9 0.8 1.0 0.0 0 RUSSELL -12.1 -13.7 -10.4 -16.0 -16 SHATZ -9.9 -10.5 -9.3 NaN 0 SILVER-mini 0.9 0.8 1.1 1.0 1 SMI 2.5 2.3 2.7 7.0 7 SOFR -19.4 -21.4 -17.4 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -3.0 -3 SOYMEAL -1.3 -1.5 -1.2 0.0 0 SOYOIL -2.5 -2.6 -2.4 -5.0 -5 SP400 -0.4 -0.5 -0.3 0.0 0 SP500_micro -4.5 -5.2 -3.8 -5.0 -5 SUGAR11 -3.1 -3.4 -2.7 -2.0 -2 US10 -1.7 -1.9 -1.6 0.0 0 US10U -1.0 -1.1 -0.9 -5.0 -5 US2 -5.4 -5.7 -5.1 NaN 0 US20 -0.4 -0.5 -0.3 0.0 0 US30 -0.4 -0.4 -0.3 -2.0 -2 US5 -3.4 -3.7 -3.1 -12.0 -12 VIX -54.3 -57.2 -51.5 -39.0 -39 WHEAT -0.5 -0.6 -0.3 -7.0 -7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.1 -0.1 -0.1 -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 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.3 0.5 0.3 -0.0 -0.7 -0.3 -0.4 -0.1 BITCOIN -0.6 -0.3 0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.4 -0.1 0.6 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.2 -0.1 -0.6 -0.2 0.6 -0.3 -0.0 0.5 0.1 BOBL -0.3 -0.3 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.2 0.1 0.2 -0.0 -0.6 -0.7 0.2 -0.5 BTP -0.4 -0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 -0.1 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.2 -0.1 -2.5 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.8 0.2 0.6 0.6 0.6 -0.2 -0.4 0.7 0.1 BUND -0.3 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 0.3 0.1 -0.6 -0.7 0.4 -0.3 BUXL -0.3 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.4 0.5 0.3 -0.7 -0.7 -0.2 -0.1 CAC -0.6 -0.4 0.5 0.0 -0.0 0.2 -0.0 0.2 -0.1 -0.0 0.5 -0.0 0.7 -0.0 0.2 0.4 0.1 0.3 0.2 0.1 0.2 -0.0 0.5 0.0 -1.6 0.1 -0.0 0.3 -0.0 0.4 0.0 1.0 0.5 0.6 0.6 0.4 -0.3 0.3 -0.3 0.4 CAD -0.2 -0.3 -0.2 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.3 -0.1 -0.3 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 0.3 -0.0 0.0 -0.1 -0.7 -0.5 -0.2 -0.4 CANOLA -0.2 0.6 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.2 -0.0 -0.3 0.0 0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.1 -0.0 -0.3 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 -0.3 0.3 -0.4 -0.7 -0.6 -0.4 -0.1 CHF -0.0 -0.6 -0.6 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.5 -0.2 -0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.3 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.4 -0.1 -0.6 -0.6 -0.1 -0.6 0.1 -0.5 COCOA -0.6 -0.3 -0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 -0.0 0.3 0.0 0.1 0.4 0.3 0.4 0.4 0.1 0.1 -0.1 0.2 0.0 -2.0 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.4 0.1 0.6 0.6 0.1 -0.0 0.3 0.3 COFFEE 0.3 0.5 0.3 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.4 0.0 0.5 0.1 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.0 0.3 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.7 -0.4 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.3 COPPER 0.4 0.6 0.6 0.1 -0.0 0.1 -0.0 0.0 0.0 0.1 0.5 0.2 0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -2.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.6 0.6 0.6 -0.7 -0.1 0.2 0.2 CORN 0.1 0.4 0.2 0.0 -0.1 0.0 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.7 0.1 -0.0 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 0.0 -0.5 0.0 -2.2 -0.0 -0.0 -0.2 0.0 -0.4 0.0 -1.1 0.0 -0.0 0.3 -0.6 -0.4 -0.7 -0.4 0.0 COTTON2 -0.6 -0.6 0.3 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.3 0.1 0.2 0.1 -0.2 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.5 -0.6 -0.6 0.5 -0.4 -0.5 0.1 0.0 CRUDE_W -0.4 0.4 0.3 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 0.3 -0.1 0.6 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 -0.1 0.5 0.1 -0.7 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.1 -0.1 0.2 0.4 0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.4 0.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.5 -0.1 0.7 -0.1 0.1 -0.2 -0.2 -0.2 -0.3 0.1 0.2 -0.0 0.5 0.0 1.8 0.1 -0.0 0.2 0.0 0.3 0.0 -0.6 0.4 0.6 0.6 0.5 -0.1 0.3 0.2 0.6 DOW -0.6 -0.6 -0.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.3 -0.1 0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.1 -0.1 0.4 -0.1 -1.7 -0.0 -0.0 0.1 -0.0 0.3 -0.0 -0.5 0.2 0.1 -0.2 -0.2 -0.0 -0.3 0.3 -0.5 DX 0.5 0.6 0.3 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.1 0.4 0.2 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.8 -0.0 0.6 0.6 0.6 0.7 0.2 0.7 0.4 EUR -0.3 -0.3 -0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.4 0.2 0.2 0.0 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.5 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 0.1 -0.0 -0.7 -0.7 0.3 0.5 EUROSTX -0.6 -0.5 0.5 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.5 -0.1 0.7 -0.0 0.2 -0.1 -0.0 -0.1 -0.0 0.1 0.2 -0.0 0.5 0.0 -0.1 0.1 -0.0 0.3 0.0 0.3 0.0 0.5 0.3 0.6 0.6 0.6 -0.5 0.3 -0.5 0.5 FEEDCOW 0.2 -0.6 0.2 0.0 -0.1 0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 0.1 -0.0 0.0 -0.8 -0.0 -0.0 -0.0 0.0 0.1 0.0 -1.1 0.5 0.3 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.5 0.0 0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.2 0.3 -0.2 0.6 -0.1 0.1 0.1 0.4 0.3 0.3 0.0 0.1 -0.1 0.5 -0.1 0.9 0.0 -0.1 0.1 -0.1 0.3 -0.1 0.6 -0.3 -0.4 -0.5 -0.2 -0.4 -0.3 -0.7 -0.6 GASOLINE -0.3 0.4 0.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.7 0.2 0.2 0.4 0.3 0.4 0.2 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.1 0.1 0.2 0.3 0.4 0.7 0.7 0.7 0.7 GAS_US_mini 0.3 0.2 -0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.5 -0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.0 2.7 -0.1 -0.0 -0.2 -0.0 -0.4 -0.0 -1.1 0.5 -0.1 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.3 -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.1 0.1 -0.0 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.0 0.0 0.0 0.1 -0.0 0.2 0.2 0.4 0.1 0.4 -0.7 -0.3 -0.7 -0.1 GOLD_micro -0.5 0.6 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.0 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 -0.0 0.3 0.1 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 -0.5 0.3 0.6 0.6 -0.7 -0.6 -0.3 -0.4 HEATOIL -0.5 0.0 0.1 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 0.0 -0.2 0.4 -0.1 0.1 -0.0 0.4 0.2 0.3 -0.0 0.1 -0.2 0.3 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.3 -0.1 0.5 -0.2 -0.6 -0.6 -0.2 0.6 0.2 0.4 0.1 JGB-SGX-mini -0.6 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.1 -0.2 -0.1 0.1 -0.4 -0.4 0.0 0.3 JPY -0.3 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.5 -0.2 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.4 0.1 0.6 0.0 -0.1 0.1 0.0 -0.1 0.0 -0.1 0.5 -0.1 -0.1 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.0 0.1 0.1 1.4 0.1 -0.1 0.2 -0.0 0.1 0.0 -1.1 0.3 0.2 0.2 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.0 -0.5 0.3 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.1 -0.0 0.0 0.0 -0.0 -0.7 0.0 -0.0 0.0 0.0 0.1 0.0 0.7 0.1 -0.0 -0.3 0.4 0.7 0.6 0.7 0.7 LUMBER-new -0.7 -0.7 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.2 -0.4 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -0.2 -0.1 -0.2 -0.1 -0.2 NaN -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.2 -0.6 -0.7 -0.7 -0.7 -0.5 -0.5 -0.2 -0.3 MILK 0.6 0.4 0.6 0.0 -0.1 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.4 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.4 0.1 1.6 0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.6 -0.2 -0.2 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.4 -0.2 0.7 -0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.1 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.1 -0.1 0.3 -0.0 1.1 -0.4 -0.3 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.4 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.0 0.4 -0.1 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.4 -0.1 0.1 -0.3 0.1 -0.0 -0.0 0.1 -0.1 NIKKEI -0.6 -0.6 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.1 0.5 -0.1 0.1 0.0 0.2 0.1 0.2 0.0 0.2 -0.1 0.5 -0.1 -1.7 0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 -0.2 -0.1 -0.3 0.6 -0.5 -0.2 -0.2 -0.3 NZD -0.1 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 0.1 0.3 -0.2 -0.2 -0.4 -0.2 -0.2 0.2 OAT -0.3 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.8 -0.0 0.3 0.4 0.2 -0.6 -0.7 0.4 0.0 OATIES 0.6 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.0 0.1 -0.4 0.2 -0.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 -0.1 0.1 -0.4 0.1 -2.7 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 0.5 0.2 -0.3 -0.3 -0.6 -0.1 -0.1 0.6 OJ 0.0 0.0 0.2 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.2 0.1 0.6 0.1 0.2 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 0.0 0.6 0.0 0.8 -0.2 -0.1 -0.2 0.2 0.3 0.3 0.7 0.7 PALLAD -0.2 0.2 0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.0 1.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.4 -0.2 -0.3 -0.2 -0.2 -0.7 -0.5 -0.7 -0.3 PLAT -0.0 0.2 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.1 -0.0 1.4 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 -0.1 -0.1 -0.2 -0.2 -0.6 -0.2 0.6 0.3 REDWHEAT 0.6 0.6 0.3 0.0 -0.1 0.0 0.0 -0.1 0.0 0.1 -0.3 0.2 -0.7 0.2 0.1 -0.2 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.5 0.2 -1.0 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.2 0.5 0.6 0.6 -0.5 -0.3 -0.7 0.1 -0.7 RICE 0.6 -0.4 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.4 0.2 0.4 0.4 0.0 0.0 0.1 0.1 0.1 -0.9 0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.2 0.6 -0.2 -0.1 0.0 -0.1 0.2 0.2 ROBUSTA -0.0 0.2 0.2 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.4 0.1 0.5 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 1.1 0.4 0.6 0.6 0.6 -0.5 -0.7 -0.0 0.1 RUSSELL -0.6 -0.4 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.1 -0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 0.2 -0.1 -0.3 -0.4 -0.7 -0.4 -0.7 SHATZ -0.1 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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 -4.3 -3.6 -2.6 -3.7 -2.2 -1.4 -2.5 0.7 -4.2 3.5 -5.9 -1.4 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-9.7 -16.9 0.9 -3.6 0.6 0.4 -0.6 1.0 -5.7 7.0 -2.5 7.3 3.9 6.1 19.6 14.9 20.0 20.0 10.0 10.4 -8.3 7.7 3.5 -14.6 2.5 -2.4 2.9 -0.7 2.7 1.1 20.0 -16.6 3.8 20.0 20.0 2.6 -0.2 7.9 8.5 COFFEE 8.4 14.7 10.1 2.3 -9.5 1.5 1.1 -1.6 2.6 -14.3 15.5 3.1 12.5 10.9 13.1 13.3 8.7 12.5 11.1 20.0 19.4 1.9 11.8 20.0 -20.0 6.0 -3.3 4.5 1.5 2.9 5.5 13.1 -17.5 20.0 20.0 20.0 -2.1 -20.0 7.3 -8.0 COPPER 12.7 20.0 18.4 4.8 -3.6 3.3 -0.6 1.2 3.0 9.2 17.2 16.1 6.5 19.1 19.6 -4.4 -5.0 -5.0 -5.3 20.0 20.0 20.0 11.2 20.0 -15.7 6.9 3.6 4.8 6.2 2.4 7.4 1.4 20.0 20.0 20.0 20.0 -20.0 -2.7 6.8 6.1 CORN 2.0 13.8 6.1 2.4 -9.8 1.6 1.1 -1.7 2.7 6.2 -11.3 8.8 -18.8 8.4 -3.5 -20.0 -10.4 -19.2 -16.1 -2.9 -12.4 2.4 -20.0 1.9 -16.3 -1.8 -2.0 -8.0 1.9 -11.7 2.0 -20.0 1.0 -0.7 8.9 -20.0 -13.1 -20.0 -12.2 1.2 COTTON2 -20.0 -20.0 9.6 1.6 -6.6 1.1 0.8 -1.1 1.8 -10.1 -4.0 -12.7 -0.8 -13.5 -9.9 15.4 4.0 11.9 6.7 -14.6 -4.0 -17.7 -0.0 -20.0 -20.0 -2.1 -3.6 1.0 -3.9 1.8 -4.3 4.1 -20.0 -20.0 -20.0 15.2 -11.2 -14.4 2.0 1.1 CRUDE_W -11.0 13.6 10.7 5.2 -5.2 6.3 -3.7 5.5 0.2 -17.9 11.9 -12.1 16.0 14.0 20.0 17.7 12.1 15.8 13.5 19.1 20.0 -6.4 19.2 6.5 -5.5 6.7 -5.8 7.7 -3.1 7.5 1.6 -1.1 -5.2 5.8 11.2 1.4 20.0 18.8 20.0 19.7 DAX -20.0 -12.2 10.0 0.4 -2.8 4.6 -3.7 5.2 -3.9 1.9 17.9 -6.3 18.8 -5.7 11.0 -10.4 -11.6 -12.3 -12.6 10.9 20.0 -1.4 20.0 0.3 13.5 5.9 -1.0 8.4 0.1 7.4 1.7 -10.9 14.6 18.3 20.0 17.0 -1.8 8.0 5.7 19.2 DOW -20.0 -20.0 -4.5 0.3 -2.2 3.7 -2.9 4.2 -3.1 -4.0 11.9 -9.3 13.4 -11.4 -6.7 -11.0 -11.1 -12.0 -11.9 -5.1 8.1 -7.7 15.0 -11.1 -12.4 -0.3 -3.7 5.1 -2.8 7.7 -3.3 -9.8 8.6 1.8 -5.4 -5.1 -0.6 -7.7 8.0 -16.2 DX 14.0 17.3 10.7 -5.0 -3.0 -1.9 -3.4 1.0 -5.7 14.7 14.1 18.4 10.0 20.0 20.0 7.3 6.6 7.2 6.9 20.0 15.6 15.7 10.1 20.0 -20.0 7.0 3.5 4.5 4.8 2.9 7.2 15.6 -0.9 20.0 20.0 20.0 20.0 4.8 20.0 11.2 EUR -10.5 -10.4 -6.7 -4.8 -2.8 -1.8 -3.2 0.9 -5.4 2.1 -8.1 -9.1 -6.9 -13.9 -15.7 -6.7 -6.8 -6.8 -6.6 -12.6 -8.7 -4.3 -5.5 -11.3 18.7 -4.8 -1.5 -2.6 -1.9 -1.3 -4.8 -7.4 8.3 6.6 0.3 1.8 -20.0 -15.0 -20.0 -12.0 EURIBOR-ICE -16.3 -19.8 -13.1 -2.4 -1.0 -1.3 -2.0 -1.0 -2.7 -5.2 0.5 -7.1 1.6 -7.8 -8.0 -5.4 -4.2 -4.1 -3.5 -7.6 -2.2 -8.8 0.6 -9.6 12.6 -2.4 -3.1 -0.4 -3.2 0.6 -3.2 -1.4 -6.9 -2.7 2.9 -0.7 -20.0 -20.0 8.6 14.9 EUROSTX -20.0 -14.7 14.3 0.4 -2.9 4.9 -3.9 5.5 -4.1 -4.0 20.0 -5.3 20.0 -3.4 16.4 -7.3 -0.1 -3.0 -0.7 13.5 20.0 -1.4 20.0 1.6 -0.9 6.5 -2.0 10.0 0.1 9.5 1.8 9.7 14.5 20.0 20.0 20.0 -15.1 8.3 -14.7 13.8 FEEDCOW 6.6 -20.0 6.5 2.1 -8.8 1.4 1.0 -1.5 2.4 3.2 -3.0 11.7 -1.6 -2.3 -2.4 -20.0 -20.0 -20.0 -20.0 -5.7 -3.9 8.5 -0.0 0.4 -6.3 -0.9 -0.0 -0.6 3.7 1.8 1.4 -20.0 19.4 8.8 -19.0 6.8 20.0 20.0 20.0 20.0 GASOIL -16.3 0.5 8.5 4.4 -4.5 5.4 -3.2 4.8 0.2 -18.5 9.7 -19.8 15.3 -10.3 10.7 2.8 19.8 12.6 17.0 3.0 11.9 -16.6 17.1 -10.4 6.8 0.8 -6.8 5.1 -8.3 7.3 -5.4 10.6 -13.1 -12.9 -15.3 -5.0 -13.5 -8.7 -20.0 -18.0 GASOLINE -10.5 11.7 16.1 5.0 -5.1 6.1 -3.6 5.4 0.2 -6.5 19.8 -4.7 18.9 15.7 20.0 20.0 12.8 17.6 10.8 20.0 20.0 -1.1 20.0 8.5 -20.0 7.3 -3.6 8.7 -1.0 8.6 2.5 -2.4 2.2 6.6 8.8 10.9 20.0 20.0 20.0 20.0 GAS_US_mini 8.2 7.7 -5.5 3.3 -3.4 4.1 -2.4 3.6 0.1 -7.5 -17.5 -5.6 -18.0 -12.1 -16.3 -20.0 -20.0 -20.0 -20.0 -10.4 -20.0 -1.7 -20.0 -3.9 20.0 -6.2 -1.1 -9.2 -1.2 -9.8 -3.0 -20.0 20.0 -3.6 -20.0 -20.0 -20.0 -4.2 -20.0 -9.3 GBP -9.4 -13.9 -5.6 -4.9 -2.9 -1.9 -3.3 1.0 -5.6 11.8 4.3 -2.3 4.5 -12.8 -13.3 -1.1 -0.7 -0.9 -0.7 -9.3 -3.2 1.7 1.6 -8.3 1.5 -3.3 4.9 0.2 1.6 1.8 -3.4 2.9 9.4 10.8 4.1 12.2 -20.0 -10.4 -20.0 -4.1 GOLD_micro -15.2 17.6 16.4 3.3 -2.5 2.2 -0.4 0.8 2.0 -10.4 12.4 -3.5 10.3 8.2 11.4 -12.4 -14.5 -13.9 -14.4 20.0 18.4 -4.6 12.1 10.2 -3.3 4.2 -2.5 4.0 -0.8 2.7 2.2 -14.6 -20.0 8.9 20.0 20.0 -20.0 -18.8 -8.2 -10.7 HEATOIL -16.7 0.3 4.2 4.7 -4.7 5.7 -3.3 5.0 0.2 -19.5 1.1 -20.0 10.3 -11.5 7.4 -1.3 19.8 9.0 15.4 -0.5 6.8 -18.4 11.8 -12.2 -20.0 -0.4 -9.2 4.5 -9.4 8.1 -6.6 9.5 -10.2 -17.8 -18.7 -7.7 18.3 6.0 13.2 1.6 JGB-SGX-mini -19.3 -16.1 -7.3 -2.8 -1.2 -1.6 -2.4 -1.2 -3.2 2.2 1.4 -7.6 4.2 -8.5 -8.5 8.4 15.7 10.6 12.0 -8.6 -3.2 -6.0 1.0 -10.3 -8.0 -3.1 0.1 -1.5 -2.0 -0.6 -3.5 20.0 3.2 -5.4 -3.7 2.2 -12.2 -11.2 1.4 10.5 JPY -7.8 -10.3 -7.3 -3.7 -2.2 -1.4 -2.5 0.7 -4.2 -11.5 -17.1 -14.7 -17.0 -16.5 -17.3 -17.4 -16.7 -17.3 -17.0 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -5.9 -6.0 -4.9 -6.5 -4.8 -6.5 -20.0 -20.0 -20.0 -19.9 -20.0 -20.0 -11.6 -20.0 -11.0 LEANHOG -12.7 2.2 20.0 3.0 -12.2 2.0 1.4 -2.1 3.4 -10.2 17.7 -4.7 -2.4 4.9 17.7 -20.0 -20.0 -20.0 -20.0 15.7 15.2 -3.5 3.0 7.1 10.7 6.4 -5.7 8.3 -1.8 3.3 2.0 -20.0 10.9 5.4 7.7 20.0 -7.6 -8.6 0.9 14.4 LIVECOW -0.2 -16.6 8.8 2.1 -8.6 1.4 1.0 -1.5 2.4 -7.7 -0.6 7.1 0.3 -6.3 -1.0 20.0 6.6 20.0 15.0 -4.9 -2.1 0.9 0.8 -3.4 -5.4 0.4 -3.2 1.4 1.2 3.6 0.5 13.3 2.4 -1.3 -10.5 12.5 20.0 17.5 20.0 20.0 LUMBER-new -20.0 -20.0 -2.0 2.3 -9.4 1.6 1.1 -1.0 2.6 -6.3 -2.2 -14.9 -10.4 -16.7 -13.4 -20.0 -17.3 -20.0 -18.9 -20.0 -9.9 -20.0 -3.8 -20.0 NaN -5.2 -2.0 -1.9 -4.9 -0.3 -7.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.6 -11.9 -5.1 -6.8 MILK 20.0 12.7 18.6 1.5 -6.0 1.0 0.7 -1.0 1.7 8.8 -8.3 10.1 -11.0 7.2 0.7 -20.0 -20.0 -20.0 -20.0 2.0 -6.7 14.1 -13.4 10.9 12.1 0.5 4.3 -2.6 4.8 -5.1 3.6 -20.0 19.8 20.0 -4.8 -5.9 -20.0 -20.0 -20.0 -20.0 MXP -20.0 -11.8 -1.4 -4.5 -2.7 -1.7 -3.1 0.9 -5.1 0.8 15.1 -15.1 18.8 -11.9 2.6 15.8 17.1 17.0 16.8 1.6 12.3 -12.4 20.0 -10.6 -20.0 1.6 -1.5 5.2 -4.7 7.4 -3.4 20.0 -15.6 -8.1 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -20.0 -5.3 0.2 -1.7 2.9 -2.3 3.3 -2.4 6.6 10.5 -2.2 12.3 -4.0 2.8 -9.9 -10.3 -10.8 -10.8 -2.2 7.9 -3.3 14.4 -7.5 -20.0 -0.7 0.3 3.7 -1.4 6.8 -3.0 -8.2 -5.0 2.9 -9.6 1.8 -0.5 -1.0 4.0 -1.5 NIKKEI -20.0 -17.8 5.7 0.3 -1.9 3.1 -2.5 3.5 -2.6 6.3 10.5 -5.6 12.7 -7.6 6.0 1.9 9.7 4.9 7.6 1.9 14.2 -6.5 18.8 -8.7 -12.7 0.9 0.7 5.2 -2.2 6.8 -2.8 20.0 -8.4 -2.0 -8.5 20.0 -15.0 -7.4 -7.1 -8.5 NZD -3.0 -14.3 -7.1 -3.7 -2.2 -1.4 -2.5 0.7 -4.1 -2.5 -5.3 -7.2 -5.2 -11.9 -13.4 0.1 0.2 0.2 0.2 -10.1 -6.7 -3.4 -4.0 -8.1 0.6 -4.5 -2.6 -2.8 -1.5 -1.3 -3.6 4.4 2.2 9.7 -5.8 -5.3 -13.5 -5.7 -5.5 6.3 OAT -8.4 -12.7 -6.0 -3.0 -1.3 -1.7 -2.6 -1.3 -3.4 -1.4 -0.1 -6.5 -0.0 -8.9 -9.7 6.0 6.1 5.3 5.3 -6.4 -2.5 -6.2 -1.5 -7.7 2.9 -1.8 -2.5 0.2 -3.6 0.4 -3.2 14.8 -1.1 10.0 11.1 4.7 -17.7 -20.0 13.0 0.4 OATIES 17.3 1.4 -4.6 2.4 -9.8 1.6 1.1 -1.7 2.7 7.5 -16.5 15.9 -16.0 8.9 0.0 4.9 0.1 6.2 3.3 -2.2 -11.6 15.8 -14.5 9.1 -20.0 -0.5 4.3 -3.6 7.7 -4.4 4.5 -1.9 20.0 6.5 -8.8 -8.2 -16.6 -1.6 -2.4 16.6 OJ 0.0 0.4 4.8 2.5 -10.3 1.7 1.2 -1.8 2.9 -8.0 8.8 6.1 16.0 10.8 16.4 4.0 12.8 5.6 8.5 9.1 16.3 1.7 20.0 5.2 -20.0 1.3 -3.1 6.3 0.1 17.4 0.4 15.0 -6.8 -3.6 -7.1 4.9 8.4 8.9 20.0 20.0 PALLAD -5.0 5.5 12.2 2.2 -1.7 1.5 -0.3 0.6 1.4 -7.1 -3.5 -8.0 -7.7 -3.7 0.3 -2.0 -2.1 -1.9 -2.0 -1.1 -3.2 -7.7 -9.5 -3.9 12.2 -0.2 -5.5 -1.1 -4.8 -3.9 -2.2 6.9 -6.8 -10.7 -7.4 -5.3 -20.0 -16.0 -20.0 -10.3 PLAT -0.6 6.1 2.8 3.1 -2.4 2.1 -0.4 0.8 2.0 4.2 -1.6 -4.1 -7.7 -0.8 -1.3 -5.1 -3.7 -4.6 -4.2 1.4 0.2 -0.8 -2.2 -0.4 10.3 1.7 3.1 1.2 -0.0 0.3 0.4 3.5 -4.1 -3.6 -6.5 -7.3 -19.1 -5.9 19.1 7.5 REDWHEAT 20.0 20.0 9.1 2.5 -10.1 1.6 1.1 -1.7 2.8 13.1 -12.7 16.9 -18.5 17.2 5.1 -8.1 -0.2 -1.8 -0.6 9.7 -8.1 20.0 -20.0 20.0 -7.8 3.4 7.4 -2.1 11.3 -5.1 8.7 -4.4 20.0 20.0 20.0 -14.1 -9.2 -20.0 1.8 -20.0 RICE 20.0 -13.6 -7.2 1.1 -4.4 0.7 0.5 -0.8 1.2 8.2 1.9 9.0 4.8 7.1 2.2 20.0 11.4 20.0 20.0 3.5 1.9 11.2 3.1 9.4 -6.5 0.4 1.6 -0.0 2.7 0.3 2.1 20.0 6.3 20.0 -6.9 -4.3 0.4 -4.1 6.6 5.0 ROBUSTA -1.0 6.7 6.6 1.7 -7.0 1.1 0.8 -1.2 1.9 -7.6 14.6 7.6 14.7 12.1 13.9 20.0 20.0 20.0 20.0 20.0 20.0 12.6 20.0 20.0 -20.0 5.4 -1.0 5.3 2.2 4.7 4.5 20.0 18.1 20.0 20.0 20.0 -16.1 -20.0 -1.3 3.4 RUSSELL -20.0 -13.1 5.0 0.3 -1.8 3.1 -2.4 3.5 -2.6 4.6 8.6 -5.8 8.2 -7.8 -3.4 -6.4 -6.4 -6.5 -6.5 -3.7 3.5 -3.6 5.2 -7.8 -1.7 -0.7 -0.2 2.4 -1.1 3.3 -2.6 -1.0 7.0 6.0 -4.4 -10.6 -12.9 -20.0 -13.2 -20.0 SHATZ -3.8 -7.8 -18.8 -2.4 -1.0 -1.4 -2.0 -1.1 -2.7 -6.5 -8.2 -7.6 -7.9 -8.0 -8.8 -20.0 -20.0 -20.0 -20.0 -10.7 -9.5 -10.5 -9.1 -10.2 7.6 -3.0 -3.8 -2.4 -3.3 -2.0 -3.1 -20.0 -12.9 -2.2 0.5 -8.1 -20.0 -20.0 -15.5 -20.0 SILVER-mini -2.0 19.7 14.3 3.1 -2.4 2.1 -0.4 0.8 2.0 -10.9 8.3 -3.2 4.2 6.3 8.9 -7.1 -6.7 -6.9 -6.9 13.1 10.4 -5.0 5.1 6.4 2.8 3.8 -2.7 3.3 -1.2 1.9 1.8 -1.4 -13.6 8.8 16.0 15.2 -11.1 -15.4 18.4 4.1 SMI -19.5 -11.2 9.1 0.3 -2.4 4.0 -3.1 4.4 -3.3 -2.1 12.6 -6.0 10.8 -6.8 3.3 -2.6 3.8 0.7 3.0 1.4 7.7 -3.3 7.4 -4.5 13.0 2.7 -1.1 5.7 -0.9 4.8 -0.7 16.3 13.7 15.2 12.6 -1.1 12.2 -1.0 20.0 -2.6 SOFR -17.2 -19.8 -12.1 -3.0 -1.3 -1.7 -2.6 -1.3 -3.5 -4.4 -2.6 -9.2 -3.0 -10.3 -10.5 -3.2 -0.5 -1.8 -0.9 -13.3 -8.3 -9.0 -5.3 -13.7 -2.4 -3.3 -1.3 -1.7 -2.5 -0.8 -3.7 4.1 3.2 -6.4 -2.4 0.7 -13.7 -20.0 7.6 -1.7 SOYBEAN -3.5 11.7 -8.9 2.6 -10.7 1.7 1.2 -1.8 3.0 2.9 -13.7 2.4 -7.7 -0.3 -4.1 -3.6 9.9 0.4 4.6 -6.1 -12.8 -2.6 -14.5 -2.6 -20.0 -2.4 -6.3 -5.1 -1.6 -5.1 -1.1 8.8 -1.7 -11.7 12.4 -20.0 -13.0 -20.0 -11.0 -20.0 SOYMEAL 17.4 15.9 -16.8 2.4 -9.8 1.6 1.1 -1.7 2.7 13.4 -17.3 15.5 -15.4 12.4 -9.2 -4.0 6.1 -3.9 -0.0 -3.5 -16.3 16.6 -16.7 9.8 -20.0 0.2 9.2 -5.5 9.0 -5.1 6.2 1.9 20.0 20.0 14.3 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 5.7 0.3 1.7 -6.9 1.1 0.8 -1.2 1.9 -11.1 -12.5 -12.2 -11.0 -10.9 -8.6 -7.4 0.3 -6.9 -4.3 -9.9 -10.1 -18.0 -11.7 -14.5 -20.0 -2.9 -8.6 -1.8 -6.5 -2.0 -5.1 -7.1 -20.0 -20.0 -3.5 -10.1 -20.0 -12.9 -7.9 5.3 SP400 -20.0 -13.4 12.4 0.3 -2.1 3.6 -2.8 4.0 -3.0 5.7 12.0 -6.4 12.0 -7.5 2.5 -4.9 -5.3 -5.1 -5.3 1.2 11.8 -5.0 13.2 -7.8 -11.9 1.3 -0.7 4.7 -1.3 5.1 -1.9 1.0 8.3 2.8 5.1 -0.3 -13.8 -10.1 -11.4 -20.0 SP500_micro -20.0 -20.0 5.6 0.3 -2.2 3.8 -3.0 4.2 -3.1 7.6 14.3 -3.9 15.4 -5.7 6.2 -11.7 -11.7 -12.5 -12.4 1.6 15.3 -4.0 20.0 -7.9 -20.0 1.1 -0.1 6.3 -1.3 8.3 -2.5 -10.7 4.5 2.2 -0.7 11.0 -4.0 -4.1 3.9 -4.6 SUGAR11 -20.0 -11.5 -14.2 2.0 -8.3 1.4 0.9 -1.4 2.3 1.4 -12.4 -13.6 0.4 -14.1 -12.5 3.5 15.5 8.9 12.7 -20.0 -15.4 -15.6 -5.2 -20.0 -20.0 -5.4 -1.0 -4.0 -4.1 -1.4 -6.0 20.0 -9.2 -20.0 -20.0 -20.0 20.0 8.7 20.0 20.0 US10 -14.8 -17.2 -6.8 -2.5 -1.1 -1.4 -2.1 -1.1 -2.9 -3.5 -2.8 -7.5 -4.5 -8.4 -8.6 -4.8 -7.5 -6.4 -7.2 -10.2 -7.1 -6.8 -6.7 -10.4 2.3 -2.7 -1.2 -1.5 -2.1 -1.2 -3.0 -7.8 3.0 -2.9 -0.7 1.8 -20.0 -20.0 -6.2 3.6 US10U -14.7 -16.6 -6.4 -3.6 -1.6 -2.1 -3.1 -1.6 -4.1 -4.3 -3.8 -10.6 -6.1 -12.0 -12.5 -4.8 -1.3 -3.6 -2.3 -14.4 -10.2 -9.7 -10.1 -14.7 -0.0 -3.9 -1.8 -2.1 -3.1 -1.9 -4.4 2.3 4.2 -2.6 0.2 3.8 -20.0 -20.0 19.5 12.1 US2 -13.5 -19.1 -14.9 -2.4 -1.0 -1.4 -2.0 -1.0 -2.7 -6.9 -7.1 -8.2 -7.5 -8.6 -8.8 -20.0 -20.0 -20.0 -20.0 -12.9 -10.3 -8.5 -10.1 -11.9 10.9 -2.8 -1.7 -1.9 -2.1 -1.6 -2.8 -20.0 -0.8 -4.6 -4.8 -3.6 -20.0 -20.0 -16.2 -20.0 US20 -16.3 -17.1 -3.7 -2.6 -1.1 -1.5 -2.2 -1.1 -2.9 -0.4 -0.4 -7.1 -2.8 -8.4 -8.5 -0.3 -0.7 -0.2 -0.4 -9.3 -5.9 -6.4 -6.0 -10.1 -0.9 -2.5 -1.0 -1.0 -2.2 -1.0 -3.1 4.2 4.1 -1.3 1.8 5.0 -20.0 -15.7 20.0 18.4 US30 -15.8 -15.9 -2.6 -3.1 -1.3 -1.7 -2.6 -1.4 -3.5 -2.7 -1.6 -8.8 -4.4 -10.2 -10.3 -1.7 -5.3 -4.4 -5.4 -10.8 -7.1 -8.1 -7.9 -11.8 -0.4 -3.0 -1.5 -1.4 -2.9 -1.5 -3.9 -4.2 3.4 -1.0 1.9 6.0 -18.9 -13.4 20.0 20.0 US5 -14.9 -18.5 -11.1 -2.6 -1.1 -1.5 -2.2 -1.1 -2.9 -5.8 -5.3 -8.3 -5.9 -8.9 -9.1 -8.8 -10.1 -9.5 -9.8 -11.9 -8.6 -7.6 -7.6 -11.6 5.0 -2.9 -1.3 -1.7 -2.1 -1.2 -3.0 -12.1 2.3 -4.5 -2.6 -0.6 -19.1 -20.0 -10.9 -7.6 VIX 2.2 11.9 13.8 -4.1 -8.9 -7.0 -8.6 -11.4 -4.8 -17.1 -19.8 -17.8 -20.0 -13.3 -13.1 -20.0 -20.0 -20.0 -20.0 -6.9 -13.9 -16.0 -20.0 -9.1 NaN -4.8 -10.2 -8.2 -10.0 -14.0 -5.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 17.1 20.0 7.7 2.4 -9.8 1.6 1.1 -1.7 2.7 11.4 -5.2 14.2 -17.5 15.4 4.9 -19.1 -13.3 -17.3 -15.2 9.0 -5.9 20.0 -19.1 20.0 1.8 2.8 4.9 -1.7 9.2 -4.3 7.5 -20.0 20.0 20.0 20.0 -18.3 -5.5 -20.0 0.6 -20.0 End of report for caleb_strategy_v3