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Seasonality Trading Signals (fut) 20210301

Seasonality Trading Signals (fut) 20210301

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Henry Zhang
Mar 01, 2021
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Seasonality Trading Signals (fut) 20210301
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ZC,ZF,HO,LB,ZT,ZB,GF,UB,JPY,GBP,CC,LE,HG,ZM,SI,NG,PL,ZW,NZD,OJ,YM,ZS,ES,CAD,DX,MXP,CL,KC,ZN,PA,NQ,ZL,GC,VIX,RB,AUD,NKD,KE,HE,EUR,CT,SB,CHF

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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 -0.001249 -0.001450…

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