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Seasonality Trading Signals (fut) 20210216

Seasonality Trading Signals (fut) 20210216

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Henry Zhang
Feb 16, 2021
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Seasonality Trading Signals (fut) 20210216
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UB,CHF,SI,RB,PA,NG,VIX,ZB,NQ,HO,ZS,ZF,ZT,ZL,SB,DX,KE,AUD,ES,ZW,GF,GC,CC,NKD,GBP,NZD,ZC,CL,LB,CAD,EUR,YM,MXP,PL,ZN,LE,KC,ZM,JPY,OJ,CT,HG,HE

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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 -6.455890e-04 -0.00…

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