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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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GC,PA,NZD,CC,UB,ZM,GF,AUD,RB,CHF,SB,GBP,ZF,EUR,HG,LB,YM,HO,CAD,NQ,KC,VIX,KE,ES,ZN,ZB,ZT,DX,NG,ZC,ZL,PL,ZS,MXP,SI,JPY,HE,CT,ZW,NKD,CL,OJ,LE

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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 -0.000644 …

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