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Seasonality Trading Signals (fut) 20210202

Seasonality Trading Signals (fut) 20210202

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Henry Zhang
Feb 02, 2021
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Seasonality Trading Signals (fut) 20210202
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YM,KE,CL,MXP,UB,SI,ZS,NG,ZT,ZC,JPY,CC,ZB,NQ,ZN,HG,GBP,GF,ZW,VIX,AUD,CT,KC,ZL,LE,NKD,ZM,SB,CHF,OJ,ZF,LB,NZD,PA,HE,HO,GC,PL,DX,CAD,EUR,ES,RB

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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 -6.450256e-04 -0.00…

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