About those Best Days in Bonds….

  • SumoMe

I have written a couple of articles recently about “Good Days in Bonds.”  One period of note is the last 5 tradng days of the month.  In the articles I brushed with a broad stroke – to avoid exceeding a certain level of curve-fitting – including all 12 months.  For the record though, FYI, not all months are created equal.

Figure 1 shows the $ gain or loss a long position of 1 t-bond futures contract during the last 5 trading days of each month, from 12/31/1983 through 3/31/2014.

1

Figure 1 – $ gain during last 5 trading days of each month; T-Bond futures, 12/31/1983-3/31/2014

As you can see, holding a long position during the last 5 trading days of March, April and December since 1983 has showed a net loss, as opposed to during all other months.

So:

*Does this mean a trader should avoid these months?

*Does this mean that the 5 trading days of this month are destined to show a loss instead of a gain?

*Are the last 5 trading days of next month more likely to show a gain than the last 5 trading days of this month?

Answers: Not necessarily, No and again, not necessarily.

Still, at least now you know.

For the Record

Another FYI tidbit: The month that has showed the best performance during the last 5 trading days of the month has been August.  Figure 2 displays the cumulative results.2Figure 2 – $ gain during last 5 trading days of August; T-Bond futures, 12/31/1983-3/31/2014

*# years showing a gain = 26 (84%)

*# years showing a loss = 5 (16%)

*Average gain during Up years = $1,829

*Average loss during Down years = -$578

*Win/Loss Ratio = 5.2 to 1

*Average gain/average loss = 3.16

So:

*Does this mean a trader always hold a long position in t-bonds during the last 5 trading days of August?

*Does this mean that the 5 trading days of August 2015 are destined to show a gain?

*Are the last 5 trading days of August 2015 more likely to show a gain than the last 5 trading days of this month?

Answers: Not necessarily, No and again, not necessarily.

Still, at least now you know.

Jay Kaeppel

5 thoughts on “About those Best Days in Bonds….

Leave a Reply

Your email address will not be published. Required fields are marked *

This blog is kept spam free by WP-SpamFree.