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Seasonality Trading Signals (fut) 20210211

Seasonality Trading Signals (fut) 20210211

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Henry Zhang
Feb 11, 2021
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Seasonality Trading Signals (fut) 20210211
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HG,HE,DX,ZW,ES,KE,CT,ZC,CHF,OJ,LE,CL,PA,VIX,ZT,YM,CC,ZN,KC,NKD,MXP,CAD,JPY,GBP,SB,LB,SI,HO,AUD,PL,ZB,GC,NZD,UB,ZF,ZL,ZS,EUR,NG,ZM,GF,NQ,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 -6.454639e-04 -0.00…

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