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Seasonality Trading Signals (fut) 20210204

Seasonality Trading Signals (fut) 20210204

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Henry Zhang
Feb 04, 2021
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Seasonality Trading Signals (fut) 20210204
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NZD,RB,PA,HO,UB,ZL,GBP,NQ,LE,DX,ZT,ZB,ZF,KE,OJ,EUR,GC,YM,AUD,ZN,CC,PL,JPY,ES,MXP,HG,VIX,SB,CL,ZM,ZW,NG,HE,SI,CT,KC,CAD,ZC,LB,CHF,ZS,NKD,GF

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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 -6.456565e-04 -0.00…

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