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Hi,
I'm playing with a swing trading idea for bond futures and noticed
something odd while backtesting. The U00, Z00 and H01 contracts
produce uniformly lousy results in T-bonds, Long Gilt and Bund.
Contracts before and after produce decent results. This appears to
be because the system thrives on volatility and because volatility
was comparatively low during the three quarters concerned.
I cannot find any other period over the last ten years or so in which
this happens but still suspect there was a fundamental reason for it.
Anyone care to guess what went on or why ?
Regards,
Stefan Schulz
Suaviter Limited
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