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Seasonality Trading Signals (fut) 20210130

Seasonality Trading Signals (fut) 20210130

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Henry Zhang
Jan 30, 2021
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Seasonality Trading Signals (fut) 20210130
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UB,ZW,RB,ZN,HE,ZC,ZS,GBP,ZB,CC,VIX,CL,ZM,GF,OJ,MXP,AUD,DX,SI,KE,NG,PL,HG,CT,PA,LE,LB,NKD,NQ,JPY,ZF,ZT,YM,SB,KC,HO,ZL,GC,ES,NZD,CAD,EUR,CHF

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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 -6.438825e…

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