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Seasonality Trading Signals (fut) 20210126

Seasonality Trading Signals (fut) 20210126

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Henry Zhang
Jan 26, 2021
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Seasonality Trading Signals (fut) 20210126
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YM,NG,LE,CHF,SB,GBP,NZD,CC,RB,ES,ZS,VIX,PL,ZF,UB,CAD,KC,OJ,ZB,LB,MXP,ZM,NKD,GC,GF,PA,ZN,CT,DX,HO,ZC,ZL,ZT,CL,EUR,KE,SI,HG,ZW,AUD,JPY,NQ,HE

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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 -6.438896e…

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