Hi Francesco
have you tried this on soft commodities? Lean pork for example has a good seasonality, it may be better suited to a option rather than an algo though
This is just a first step, I will consider other assets as I said
As with all seasonality you have really just curve fitted your strategy to your data mined historical data.
Analyse a smaller section of data and use it to decide which months to be long and which to be short and then use this in sample to test an out of sample and I think you will find the results to be rather disappointing.
I coded something a long while back that used a rolling set of seasonality data to try to avoid this sort of curve fitting but the results of that were disappointing. I think for some commodities considering seasonality might give a slight edge but otherwise I personally find it to be of little use.
The seasonality graph on which I based my strategy is from 2017. So can 2018/2019 and 2020 results can be considered OOS?
