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  • R Fixed Income – Trade History

R Fixed Income – Trade History

randholm
January 17, 2017 5:54 pm / Published in * Randbots.com, Bonds, Trading Lessons, Treasury

R Fixed Income – Trade History

Auto-Trading available at RandBots.com R Fixed Income

Trade Summary Report
Futures: 30 years treasury notes
Strategy: Long, Short or Neutral in a weekly basis
Instruments: ZB @ECBOT
Entry Exit Direction Holding Period (Weeks) RETURN USD
4-Jan-13 1-Mar-13 Short 8 31
1-Mar-13 12-Apr-13 Long 6 1,562
12-Apr-13 17-May-13 Long 5 -3,562
17-May-13 16-Aug-13 Short 13 12,000
16-Aug-13 6-Jun-14 Long 42 9,500
6-Jun-14 18-Jul-14 Short 6 -2,687
18-Jul-14 5-Sep-14 Long 7 1,468
5-Sep-14 26-Sep-14 Short 3 406
26-Sep-14 17-Oct-14 Short 3 -9,000
17-Oct-14 26-Dec-14 Long 10 1,562
26-Dec-14 6-Feb-15 Long 6 4,281
6-Feb-15 27-Feb-15 Short 3 1,562
27-Feb-15 13-Mar-15 Short 2 3,000
13-Mar-15 3-Apr-15 Short 3 -6,156
3-Apr-15 1-May-15 Long 4 -8,125
1-May-15 29-May-15 Short 4 1,562
29-May-15 26-Jun-15 Neutral 4 No trade
26-Jun-15 22-Apr-16 Long 43 19,437
22-Apr-16 3-Jun-16 Short 6 -5,500
3-Jun-16 24-Jun-16 Long 3 31
24-Jun-16 15-Jul-16 Long 3 3,000
15-Jul-16 22-Jul-16 Neutral 1 No trade
22-Jul-16 2-Sep-16 Short 6 31
2-Sep-16 23-Sep-16 Short 3 1,562
23-Sep-16 25-Nov-16 Neutral 9 No trade
25-Nov-16 2-Dec-16 Long 1 -906
2-Dec-16 16-Dec-16 Neutral 2 No trade
16-Dec-16 13-Jan-17 Long 4 4,625
Trading Fees not included

 

Historical Summary
Size: 1 contract
Instruments: ZB @ECBOT
Trading Fees not included
YEAR PROFIT/YR TOT-PROFIT
2006 6,500 6,500
2007 -1,094 5,406
2008 31,516 36,922
2009 15,578 52,500
2010 17,625 70,125
2011 7,938 78,062
2012 7,281 85,344
2013 6,250 91,594
2014 1,156 92,750
2015 6,813 99,562
2016 9,969 109,531
2017 1,625 111,156

 

Historical Summary
Size: 10 contracts
Instruments: ZB @ECBOT
Trading Fees not included
YEAR PROFIT/YR TOT-PROFIT
2006 65,000 65,000
2007 -10,938 54,063
2,008 315,156 369,219
2,009 155,781 525,000
2,010 176,250 701,250
2,011 79,375 780,625
2,012 72,813 853,437
2,013 62,500 915,937
2,014 11,563 927,500
2,015 68,125 995,625
2,016 99,688 1,095,312
2,017 16,250 1,111,562

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April 25, 2017

This system is based on weekly bond data, as a result, you should expect fewer trades. Personally, I used this system independently from all the other equity systems.

 

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Jun 19, 2017

We rolled the positions some days back and we are still with the same size.

 

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Jul 6, 2017

Given the last movements on the price this week, most likely there will be a new trade soon.

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