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Seasonality Trading Signals (fut) 20210208

Seasonality Trading Signals (fut) 20210208

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Henry Zhang
Feb 08, 2021
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Seasonality Trading Signals (fut) 20210208
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ZC,CC,CT,DX,UB,ZW,ZS,YM,SB,PL,GC,CAD,MXP,ZL,ZF,KC,HO,ZN,AUD,JPY,CL,NKD,GBP,OJ,ZB,GF,LB,NQ,CHF,ZM,SI,KE,RB,LE,HE,ES,NZD,VIX,PA,HG,NG,ZT,EUR

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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 -6.455906e-04 -0.00…

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