Treasury Note Trading Strategy
Past performance is not indicative of future performance. Trading futures & options is not for everyone and involves substantial risk of loss.
Treasury Note Trading Strategy Features:
Places Swing Trades
This strategy places a longer term swing trade on the Ten Year Note (TY). It can hold anywhere from 1 to more than 60 days. It buys when momentum is building and gets out when certain targets are hit.
Performs Well In Down Moving Markets
Since the TY will usually move inverse to the S&P 500, this trading strategy has a similar effect as if we were going short the S&P 500.
Rigorously Back-Tested 15 Years
We back-test each of our algorithms over 15 years. View the back-testing detail on our system and each algorithm.
Traded Live
The treasury note algorithm has traded live since October 2015 in various portfolios offered by algorithmictrading.net.
- Combined Performance – All Algorithms
- Back-Testing Information
- Algorithms Traded
- Account Requirements & Pricing
| Yearly Analysis (per $20,000 traded) | |
| Average % gain per year | 38.5% |
| Average $ gain per year | +$7,701 |
| Monthly Analysis (per $20,000 traded) | |
| Average % gain per month | +3.21% |
| Average $ gain per month | +$642 |
| Trade Analysis (per $20,000 traded) | |
| Total Num Trades | 264 |
| Trade Win Rate | 78.79% |
| Packages Which Use the Treasury Note Algorithm | |
| S&P Crusher v3 | Yes |
| The Swing Trader | Yes |
| Period Analyzed | |
| Historical period analyzed | 1 May 2003 – 10 Jan 2019 |
| Traded Live Since | December 2014 |
| Slippage & Commission Used in Analysis | |
| Commission used in all reports (Futures Trade) | $6.50 per round trip trade (all-in) |
| Slippage used in all reports (TY) | $24.00 per round trip trade |
| Draw-Down (per $10,000 traded) | |
| Worst percent draw-down (closing trade to closing trade) | -23.61%** |
| Period Seen | 2/6/15-6/5/15 |
| Treasury Note (TY) | |
| Instrument traded | Ten Year Treasury Note (TY) |
| Outperforms during | Sideways & Down moving markets |
| Ability to hold overnight | Yes |
| Algorithm type | Momentum Swing Trade |
| Account Details | |
| Minimum account size | $20,000 |
| Allocation | 1 Contract per $20,000 in account |
| Number of algorithms traded | 1 |
| Instrument traded | TY |
| Trades Futures | Yes |
| Trades Options | No |
| Account types allowed | Cash, IRA, Roth IRA |
| Pricing | |
| Licenses available | Yes |
| Licensing fee | Call or Contact Us for a quote |
CFTC RULE 4.41: Results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
Treasury Note Trading Strategy Trade List: Trading $20,000 (1 Unit)
Data assumes $20,000 starting account, trading 1 Contract. Includes slippage & commission. Results are taken from compiled back-tested/hypothetical accounts which have limitations (see CFTC RULE 4.41 below).
CFTC RULE 4.41: Results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
Back-Tested Reports from Tradestation
Want to see more detail on how each algorithm performs? Download back-tested data for the Treasury Note Algorithm.