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Seasonality Trading Signals (fut) 20210127

Seasonality Trading Signals (fut) 20210127

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Henry Zhang
Jan 27, 2021
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Seasonality Trading Signals (fut) 20210127
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LB,ZM,ZB,PL,SB,JPY,CHF,EUR,ZC,CT,DX,ZF,NQ,SI,CC,MXP,VIX,HE,RB,ZN,GC,HO,CAD,HG,NKD,UB,GBP,ZW,AUD,ES,GF,KE,KC,LE,ZL,NG,PA,ZT,NZD,ZS,OJ,YM,CL

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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 -6.438810e…

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