[tech-spec] duration preference theory: hypothesis meets a test

  • From: tim hesselsweet <tim_hess1@xxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Sun, 27 Feb 2005 23:18:22 -0800 (PST)

i had the notion that after periods when the market
bids for duration (ie. the ratio us/ty rises), returns
on long bond would be lower.  showed minor success
from '01-'03 but has since deteriorated.  not
significant.  how easy can pattern testing be? 
tradestation code below.  

tim

define: us(data1)/ty(data2)

Vars: Ratio(0), Avg(0), Stdev(0), Z(0);
Ratio = Close Data1/Close Data2;
Avg = Average(Ratio, 40);
Stdev = StdDev(Ratio, 40);
Z = (Ratio-Avg)/Stdev;
If Z < -2 then 
        Buy this bar close;
If Z > 0 then
        Sell this bar close;
If Z > 2 then
        Sell Short this bar close;
If Z < 0 then
        Buy to Cover this bar close;

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  • » [tech-spec] duration preference theory: hypothesis meets a test