Bond MOVE Index And TLT Trading Strategy (Backtest)
The MOVE index is to the bond market what the VIX index is to the stock market. It measures the volatility of rates through the options market. But what we really want to know is: Is it useful to develop a profitable strategy to trade bonds?
In order to test this, we created a simple trading strategy with the following trading strategies:
We hold TLT when the MOVE index level is under its historical mean
We sell TLT when the MOVE index is over its historical mean
We started the backtest in 2002. The data is adjusted for dividends and splits. The equity curve is shown below.
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/bond-move-index-tlt-strategy/
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