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Seasonality Trading Signals (fut) 20210308

Seasonality Trading Signals (fut) 20210308

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Henry Zhang
Mar 08, 2021
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Seasonality Trading Signals (fut) 20210308
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ZW,CHF,ZL,JPY,ZB,AUD,VIX,RB,GBP,GF,ZT,HG,CC,UB,PA,YM,SB,ZF,GC,CAD,NG,EUR,PL,NZD,DX,MXP,SI,CT,ZM,LE,KC,KE,ZS,HO,NKD,ZN,ES,ZC,LB,NQ,OJ,HE,CL

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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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