Tag Archives: TLT

Trading Strategy Development With DLPAL: Part Five

In this article we outline the steps for developing a trading strategy for TLT ETF using the delay trade input option. Out-of-sample performance is analyzed in Amibroker and Quantopian platform.

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End Of Discretionary Trading Era

As far as I am concerned, this year marks the end of discretionary trading. Although this is done on a positive note for this blog, it is clear that discretionary trading, especially the type that is based on classical technical … Continue reading

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TLT Total Recall

After reaching a high of 20.5% last July, the TLT ETF year-to-date return just turned negative yesterday. Investors in passive stock-bond portfolios have watched part of gains evaporating after July due to the rally in bond yields.

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The 60/40 Passive Allocation is Holding Strong In A Rough Market

Despite calls for its death in mainstream financial media earlier this year, the 60/40 portfolio in stocks and bonds is holding strong. A decrease by about 350 basis points from peak year-to-date return is due to the rise in correlation … Continue reading

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Stocks-Bonds Correlation Spikes

The 60-day stock-bonds correlation spiked this month from about -0.50 to +0.20. A similar spike occurred mid 2007 and just a few months before the stock market top.

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A Chart That Has Consistently Defied Technical Analysis

Has the 10-Year Note yield found a bottom? Many good technical analysts are trying to find an answer to this question. However, the chart has defied simple technical analysis since the top in 1981 and has done that consistently. “Is … Continue reading

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Backtesting Conundrum

About a week ago I ran into a backtesting conundrum while analyzing a simple relative strength ETF rotation strategy.  A call to quants to compare results received only one answer but the cooperation led to a solution and to a … Continue reading

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A Significant Anomaly in Bonds [Premium Articles]

Since the inception of TLT, a little less than 50% of the buy and hold gains have occurred on Fridays and that increases to nearly 100% since 2011. This calendar effect is a significant anomaly and shows that markets are … Continue reading

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