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Seasonality Trading Signals (fut) 20210303

Seasonality Trading Signals (fut) 20210303

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Henry Zhang
Mar 03, 2021
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Seasonality Trading Signals (fut) 20210303
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EUR,DX,ZS,PA,GBP,OJ,ES,CHF,PL,AUD,ZB,NZD,CT,NKD,NG,RB,LB,UB,HG,VIX,ZC,GF,JPY,ZM,GC,MXP,KE,ZF,ZT,KC,LE,CC,CAD,SB,HO,YM,CL,HE,ZW,NQ,ZL,SI,ZN

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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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