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Seasonality Trading Signals (fut) 20210309

Seasonality Trading Signals (fut) 20210309

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Henry Zhang
Mar 09, 2021
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Seasonality Trading Signals (fut) 20210309
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DX,GF,ZM,GBP,HE,NZD,ZT,NG,CHF,PL,ES,VIX,ZC,OJ,KE,SI,CL,CC,MXP,CT,ZF,UB,ZL,HG,ZW,HO,NQ,EUR,ZN,KC,ZS,ZB,JPY,AUD,CAD,PA,YM,LE,SB,RB,GC,LB,NKD

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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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