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Seasonality Trading Signals (fut) 20210116

Seasonality Trading Signals (fut) 20210116

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Henry Zhang
Jan 16, 2021
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Seasonality Trading Signals (fut) 20210116
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CHF,NQ,CL,LB,HE,NKD,PA,ZW,ZC,HG,SI,CT,ZL,SB,MXP,JPY,ZM,CC,ZT,EUR,RB,NG,OJ,ZN,PL,ZS,KE,GBP,UB,CAD,DX,ZB,ES,VIX,ZF,NZD,LE,YM,AUD,HO,GF,KC,GC

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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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