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Seasonality Trading Signals (fut) 20210302

Seasonality Trading Signals (fut) 20210302

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Henry Zhang
Mar 02, 2021
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Seasonality Trading Signals (fut) 20210302
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KC,DX,ZW,ZC,KE,NKD,PA,ZB,YM,NZD,PL,HO,CHF,SB,GC,HE,ZL,GBP,ZT,VIX,ZS,LE,JPY,ZM,CAD,RB,HG,ZN,NQ,ZF,CL,OJ,CC,GF,CT,AUD,MXP,NG,ES,LB,EUR,SI,UB

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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 -0.001449…

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