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Last update: 13.3 hours ago (traditional assets) and 15.2 hours ago (crypto)
Win rate for signals shown: 57.1%. Overall win rate all signals since inception: 46.6%
Average profit of long/short signals shown: +7.4%, average loss of long/short signals shown: -5%
Total SI return: +135.5% (model portfolio) and +767.1% (crypto model portfolio)
|Date open||Date closed||Days||Asset||Signal||Return||Result|
|Our US Treasury model is a funny one. The underlying market often starts moving early (do fixed income traders understand the economy better?) and when it trends it does so pretty decisively. We have been long US treasuries most of the time since late 2018, and this call in mid December is pretty iconic for how our signals work. They don't get swayed by short term volatility (a move up of 50bps in March in a matter of days doesn't throw it off course) and let you ride out trades.|
US Treasury bonds are bonds issued by the US Department of Treasury. Our US treasury model is calibrated on hypothetically calculated US treasury returns that we derive directly from changes in the US yield curve. We estimate a long duration of approximately 18 years, which makes the model more sensitive to duration impact than the yield/carry effect. The model is calibrated by training it on returns going back decades which have been smoothed over the medium term, and also incorporates signals from other asset classes.
Besides outright buying the bonds, the easiest way to trade US treasuries is through one of the many ETFs available. For instance GOVT or TLT.
We believe that a win rate above 60-70% is feasible in the longer term. Not every signal is going to beat it out of the ball park, and the quality and health of all models varies as some have a harder time grasping market dynamics. But systematic implementation of our signals has so far proven to be able to beat the market by a wide margin, offering far better risk-adjusted returns.
We believe that implementing our signals in context of our model portfolio is critical as this introduces an intelligent risk based weighting and also adjusts for historical success rates. For instance, there may be periods where our signals underperform (say win rates of only 25%), while the model portfolio itself is barely invested and therefore not really impacted.
The daily signal update completes by 4am UTC, which currently translates to roughly noon in Singapore, midnight in New York, or 5am in London.