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Seasonality Trading Signals (fut) 20210305

Seasonality Trading Signals (fut) 20210305

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Henry Zhang
Mar 05, 2021
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Seasonality Trading Signals (fut) 20210305
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MXP,ZM,GBP,YM,PA,ES,ZB,ZS,HG,CC,ZL,AUD,JPY,CHF,NZD,PL,HO,EUR,CT,ZT,ZF,HE,NKD,SI,LE,LB,CAD,KE,ZN,UB,KC,RB,NQ,CL,GF,ZW,SB,VIX,ZC,OJ,GC,DX,NG

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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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