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!