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Mid-High frequency CTA strategy for Commodities

日期: 2019-07-24
浏览次数: 65
2019 - 7 - 24

Strategy Type: Trend following and Long-Short hedging strategy 

Investment Targets: Commodities & futures.  


Holding Period: 0.5-3 days


Preferred Market and P&L: Prefer trending market and high volatility. P&L: with 20% of capital invested, annual return of 30%-40%, volatility of 12%. 


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