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Seasonality Trading Signals (fut) 20210307

Seasonality Trading Signals (fut) 20210307

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Henry Zhang
Mar 07, 2021
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Seasonality Trading Signals (fut) 20210307
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CT,DX,YM,HG,EUR,SB,ZF,NQ,ZS,PA,LB,OJ,HE,GBP,RB,CL,ZB,KC,NZD,ZW,GF,JPY,VIX,CAD,ZL,LE,CC,CHF,UB,SI,KE,ES,PL,NKD,MXP,ZM,GC,ZN,AUD,HO,ZC,NG,ZT

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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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