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Seasonality Trading Signals (fut) 20210310

Seasonality Trading Signals (fut) 20210310

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Henry Zhang
Mar 10, 2021
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Seasonality Trading Signals (fut) 20210310
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KC,HO,MXP,NZD,GC,NQ,KE,CL,OJ,CT,ZL,ZW,VIX,AUD,CHF,ZT,NKD,JPY,ZF,GF,SI,ZS,LE,NG,RB,CC,ZB,ZC,ZM,HE,PA,UB,GBP,DX,CAD,HG,ZN,YM,LB,PL,SB,EUR,ES

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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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