Eight-Day Runs Around a Five-Day Moving Average in Treasury Futures

Summary

This strategy, inspired by Linda Bradford Raschke’s work on US Treasury note futures, uses a five-day simple moving average to define trend direction. It watches for price to remain on the opposite side of the average for more than eight days, then enters when the first move back toward the trend ends. Positions are held for ten days.

The document explains the signal logic and suggests that unusually persistent moves may precede extended trends. It reports a t-test score of 4.06 in a source-code comment, but gives no test design, sample details, or performance metrics to assess that claim. The published backtest settings instead specify BTC/USDT futures over about one month, so they do not match the Treasury market described. The method may also lag trend changes, mistake a false break for a lasting move, and incur large losses during its fixed holding period. Stops, volatility filters, and parameter changes are proposed as possible refinements, not validated results.

Key ideas

• The strategy uses a five-day simple moving average to define the prevailing trend.
• It waits for an opposite-side run lasting more than eight days before looking for an entry.
• Entry follows the first pullback reversal, and positions are held for ten days.
• The document proposes stops and volatility filters but provides no supporting tests for them.
• The stated Treasury futures focus differs from the BTC/USDT futures backtest settings.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.