Our recent public signals for UST (win rate: 75%)

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Date open Date closed Days Asset Signal Return Result Perf %
2020-08-31 Open Open UST LONG -6.8% Loss -2.39,0.41,-3.33,0.61,-1.28,-3.80
2020-08-25 2020-08-31 6 UST SHORT +0.4% Profit -2.39,0.41,-3.33,0.61,-1.28,-3.80
   2019-12-19 2020-08-25 250 UST LONG +22.3% Profit -2.39,0.41,-3.33,0.61,-1.28,-3.80
2019-12-02 2019-12-19 17 UST SHORT +1.8% Profit -2.39,0.41,-3.33,0.61,-1.28,-3.80

LSS model: US Treasury Bonds

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.

How to trade

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.

What win rates are expected?

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 ballpark, 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.

When are signals calculated?

The daily signal update completes by 4am UTC, which currently translates to roughly noon in Singapore, midnight in New York, or 5am in London.

Average performance in profit/loss