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Seasonality Trading Signals (fut) 20210225

Seasonality Trading Signals (fut) 20210225

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Henry Zhang
Feb 25, 2021
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Seasonality Trading Signals (fut) 20210225
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CC,GBP,KC,MXP,GF,ZM,YM,CT,UB,ZC,CAD,GC,ZN,ES,CL,NZD,PL,LB,JPY,NKD,PA,SI,OJ,ZW,RB,ZS,CHF,ZB,DX,KE,HG,EUR,NG,ZT,ZF,AUD,HO,SB,NQ,ZL,VIX,LE,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 -0.000645 -0.001248…

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