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Seasonality Trading Signals (fut) 20210304

Seasonality Trading Signals (fut) 20210304

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Henry Zhang
Mar 04, 2021
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Seasonality Trading Signals (fut) 20210304
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JPY,ZF,ZW,ZL,GC,KC,GF,YM,ZB,HE,NQ,ZN,SB,HO,OJ,NG,MXP,CT,UB,ZC,PL,SI,ZT,VIX,CHF,HG,RB,EUR,PA,LE,ZM,LB,AUD,DX,CC,ZS,KE,GBP,NKD,NZD,ES,CL,CAD

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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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