Long-Term Treasuries Calendar Effects: TLT Seasonal Trading Strategies

In this post, we look at some specific calendar effects in long-term Treasuries. We backtest some calendar effects by using the ETF with the ticker code TLT which tracks the 20 year Treasury bonds. It turns out the first seven trading days of the month produce strong negative returns, while the rest of the month has doubled the returns of buying and holding the TLT.

We backtest the following trading rules:

* We buy at the close on the seventh last trading day of the month.

* We sell at the close of the last trading day of the month.

* We are not using calendar days but trading days. They are, most of the time, slightly different.

The strategy and its trading rules return the equity curve (shown below) since TLT’s inception until today.

You can find the whole Python code for the strategies here >>

https://www.quantifiedstrategies.com/calendar-effects-long-term-treasuries/