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Seasonality Trading Signals (fut) 20210124

Seasonality Trading Signals (fut) 20210124

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Henry Zhang
Jan 24, 2021
∙ Paid

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Seasonality Trading Signals (fut) 20210124
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ZN,NG,NKD,JPY,GC,ZC,ZM,EUR,HO,AUD,NQ,HE,PA,LB,PL,KE,VIX,CL,ZL,ZB,YM,ZW,DX,MXP,CT,CHF,GBP,SB,ZF,ES,ZS,GF,HG,UB,SI,RB,ZT,KC,CC,NZD,OJ,LE,CAD

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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 0.000507 -6.438491e…

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