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Unless you're a ninja-level badass waging war in the DOM everyday like @MacroTactical, one of the simplest models to trade bonds long term is the breakeven.
Buy the futs when BEI cross below the MA, short it when it crosses above.
Shall we do some basic level backtesting? OK!
Buy the futs when BEI cross below the MA, short it when it crosses above.
Shall we do some basic level backtesting? OK!
Trade: USA Comdty / ZB
Contracts: 1 contract [constant size]
Capital: 20k
Frequency: Daily
Directionality: Long/Short
Let's go.
Contracts: 1 contract [constant size]
Capital: 20k
Frequency: Daily
Directionality: Long/Short
Let's go.
Standard 50 Day Moving Average.
Two rules only
No Stops (Unconstrained risk)
Always in a trade (risky)
Two rules only
No Stops (Unconstrained risk)
Always in a trade (risky)
2 year PnL: 28.88k / 144.53%
Long Win Ratio : 70%
Short Win Ratio : 45.5%
Long PnL attribution: 99.65%
Conclusion: Crossovers to downside work (in this time frame so far). Shorts suck balls.
Long Win Ratio : 70%
Short Win Ratio : 45.5%
Long PnL attribution: 99.65%
Conclusion: Crossovers to downside work (in this time frame so far). Shorts suck balls.
6 year window to include Brexit, Trump win, Fed Hikes, US-China trade war, COVID-19.
6 year PnL: 75.13k / 375.94%
Long Win Ratio : 56.7%
Short Win Ratio : 36.8%
Long PnL attribution: 72.75%
Shorts still kinda suck, but not as bad over longer term.
6 year PnL: 75.13k / 375.94%
Long Win Ratio : 56.7%
Short Win Ratio : 36.8%
Long PnL attribution: 72.75%
Shorts still kinda suck, but not as bad over longer term.
