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Seasonality Trading Signals (fut) 20210227

Seasonality Trading Signals (fut) 20210227

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Henry Zhang
Feb 27, 2021
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Seasonality Trading Signals (fut) 20210227
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CL,ZN,CHF,ZB,ZF,ES,KC,PA,YM,ZW,DX,HG,GBP,ZM,SB,RB,LB,LE,NZD,UB,OJ,AUD,GF,CC,ZS,MXP,ZL,NG,JPY,ZT,NKD,KE,SI,HE,ZC,VIX,GC,NQ,HO,CT,CAD,EUR,PL

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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 -0.000646 -0.001248…

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