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Seasonality Trading Signals (fut) 20210121

Seasonality Trading Signals (fut) 20210121

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Henry Zhang
Jan 21, 2021
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Seasonality Trading Signals (fut) 20210121
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CAD,UB,LB,AUD,PL,DX,ZT,NKD,GBP,SB,VIX,GC,CC,PA,HO,RB,CL,JPY,YM,ZW,GF,CHF,ZM,ZB,HE,NG,MXP,LE,EUR,ZC,ZF,KC,OJ,ZL,SI,ZN,ES,ZS,HG,NQ,KE,NZD,CT

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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 -6.437951e…

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