Trading Edge 59
Instrument/asset
Long Term bonds (TLT)
Trading rules
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
- Today’s low is higher than yesterday’s high; and
- Yesterday’s 5-day RSI was below 30.
Results
Below is the table if we hold for N days since TLT’s inception in 2002:
Overall the results are good suggesting a nice edge, even though the number of fills are low.
If we exit after 3 days we get the following equity curve:
The edge can be improved by adding a day of month filter (bonds have a strong end of month bias).