Tradersslog

Wednesday, March 08, 2006

Bonds Trade

Seasonal study stated that bonds perform badly in March and April. For the past four days, we have seen the June bond future dropped by more than 2%. Lets ask the computer what happens if we initiate new short after 2% drops in March or April and cover it 4 days later. Since 2000, by using continuous contract we have 9 signals and 8 of them are profitable, with total profit more than $14,000. Not so bad with such a simple system. We don't use stop in this testing but we may place a stop-loss just above the high 4 days ago to control risk.