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Seasonality Trading Signals (fut) 20210224

Seasonality Trading Signals (fut) 20210224

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Henry Zhang
Feb 24, 2021
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Seasonality Trading Signals (fut) 20210224
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ZW,OJ,SB,CAD,ZC,HO,DX,GF,ZT,MXP,GBP,NZD,KC,ES,PA,HG,ZL,ZS,CHF,CL,SI,AUD,CT,ZF,UB,KE,HE,GC,PL,ZB,YM,LE,NKD,NQ,RB,CC,NG,ZM,JPY,VIX,LB,ZN,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 -6.454080e-04 -0.00…

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