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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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YM,ZB,GC,CT,KC,ZT,CAD,ZL,LE,ZN,CL,ZW,CC,LB,JPY,UB,HO,PL,SB,MXP,ZF,ES,ZC,PA,NZD,EUR,AUD,NQ,GBP,HG,OJ,HE,ZS,DX,ZM,SI,KE,GF,RB,NKD,NG,CHF,VIX

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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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