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Seasonality Trading Signals (fut) 20210114

Seasonality Trading Signals (fut) 20210114

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Henry Zhang
Jan 14, 2021
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Seasonality Trading Signals (fut) 20210114
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HG,PA,AUD,CAD,CC,ZM,ZW,NKD,ES,SB,HO,ZT,PL,SI,KC,YM,DX,GBP,ZC,ZN,ZS,NG,CT,NZD,LB,MXP,VIX,ZB,CL,UB,HE,CHF,GC,OJ,ZF,EUR,ZL,KE,GF,RB,NQ,JPY,LE

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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 -0.000643 -0.001246 -0.001447 SB 2020-10-…

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