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Seasonality Trading Signals (fut) 20210111

Seasonality Trading Signals (fut) 20210111

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Henry Zhang
Jan 11, 2021
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Seasonality Trading Signals (fut) 20210111
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ZS,ZT,AUD,JPY,UB,ZF,KC,NKD,SI,ZC,ES,RB,VIX,ZM,GF,KE,EUR,YM,NZD,CT,GBP,ZW,LB,LE,NG,ZB,ZN,CAD,ZL,HE,SB,GC,CC,HG,CHF,NQ,OJ,PL,MXP,CL,DX,PA,HO

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  • Default NAV for risk sizing is 30000 USD

Asset KL trend next_1m next_2m next_3m Backtest top_month bottom_month SB 0.17 0.000508 -0.000644 -0.001247 -0.001447 SB 2020-10-…

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