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Seasonality Trading Signals (fut) 20210306

Seasonality Trading Signals (fut) 20210306

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Henry Zhang
Mar 06, 2021
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Seasonality Trading Signals (fut) 20210306
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GBP,PL,KE,ES,HG,JPY,ZM,NZD,CHF,NKD,ZT,ZN,SI,YM,HE,UB,ZL,OJ,ZF,LB,ZC,SB,KC,MXP,EUR,HO,GC,DX,CAD,NG,PA,LE,ZB,ZS,ZW,CC,NQ,CT,VIX,AUD,CL,RB,GF

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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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