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Recruitment of participants Long and short swing trade TLT (Long-Term Treasuries)

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 25: Long and short swing trade TLT (Long-Term Treasuries)

    Both long and short are based on seasonal anomaly strategies. Entry is at the close and exit is after a few days.

    This strategy was our monthly Trading Edge for October 2022.

    Facts and figures (TLT):
    • No. of trades: 513
    • Average gain per trade: 0.43%
    • Win ratio: 60%
    • Profit factor: 1.7
    • CAGR: 10.1% (assuming no leverage)
    • Exposure/time in the market: 61%
    • Max. drawdown: -23%
    The equity curve (log scale):

    [​IMG]
     
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