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Seasonality Trading Signals (fut) 20210115

Seasonality Trading Signals (fut) 20210115

Henry Zhang's avatar
Henry Zhang
Jan 15, 2021
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Quant Signals
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Seasonality Trading Signals (fut) 20210115
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VIX,ZW,SB,RB,GF,ZB,CT,ZM,YM,CHF,ZC,MXP,PA,AUD,OJ,ZF,ZS,GC,SI,GBP,HO,ES,ZT,HG,UB,LB,ZN,LE,NKD,NZD,CAD,NQ,JPY,HE,CL,NG,PL,KE,CC,ZL,DX,KC,EUR

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  • Default NAV for risk sizing is 30000 USD

Asset Asset Description KellyFormula trend next_1m next_2m next_3m Backtest top_month bottom_month SB SB 0.17 0.000508 -0.000643 …

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