5 Bond Trading Strategies (Treasury-Fixed Income) — (Backtest & Rules)
Bond trading strategies are a great inclusion in a portfolio of strategies because they offer diversification and, most likely, uncorrelated returns. Bonds are complementary.
Here we examine Treasury bonds and show you several backtested bond trading strategies. We don’t examine corporate bonds (which are mainly traded in the over-the-counter market) but Treasury bonds.
We backtest the following trading rules:
Buy at the close of the seventh last trading day of the month.
Sell at the close of the last trading day of the month.
Sell short at the close of the month.
Cover at the close of the seventh trading day of the month.
The strategy has returned the following equity curve (shown below) since TLT’s inception in 2002.
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/bond-trading-strategies/