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Seasonality Trading Signals (fut) 20210118

Seasonality Trading Signals (fut) 20210118

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Henry Zhang
Jan 18, 2021
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Seasonality Trading Signals (fut) 20210118
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SB,RB,LB,ZT,ZW,ES,AUD,YM,HO,NQ,NZD,CC,GF,ZF,EUR,PL,CHF,ZS,CT,NKD,ZN,HE,OJ,KE,NG,KC,GC,ZB,DX,MXP,SI,LE,UB,CL,CAD,HG,PA,ZC,ZM,GBP,VIX,JPY,ZL

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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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