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Hello all,
I've attached an algorithm that exploits a bond seasonality. I forget the root cause of this seasonality (it might have to do with Treasury auctions on Thursdays). Anyways, it buys several bond ETFs on Thursday opens and sells on Friday opens. It apply two filters: standby during high historical volatility (found from SPY returns 60-day trailing std) and have a price below the exponential moving average (expecting return to the mean).
If you find any other seasonalities or ways to improve this algorithm, please do share!
AK M
Here's a backtest with only TMF (3x 20 yr treasury bull) that results in greater returns.
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Varad Kabade
Hi AK M,
Thank you for sharing the above algorithm with the community. Keeping in mind the best design practices, we recommend RateOfChange indicator for calculating daily returns and use the helper method IndicatorExtensions.Of() to feed the output of the ROC indicator to the standard deviation indicator. Refer to the following snippet:
Best,
Varad Kabade
AK M
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