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Long-Short with iShares 1-3 Year Treasury Bond (SHY:) and iShares 20+ Year Treasury Bond (TLT)

Calculated: Spread which is difference between daily return of TLT and SHY
Used Bollinger bands Approach

Entry:
• When spread crosses lower band then Long SHY and short TLT • When spread crosses upper band then Long TLT and short SHY

Exit:
• When spread is between lower and upper bound then close open position

Clone Algorithm
22
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Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 58deafdf0da1121f95b667b3
There was a runtime error.
1 response

Does not really seem to work outside your test range. This performance is probably just random chance.

Clone Algorithm
0
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 58e1169e9faf1317a943c3a9
There was a runtime error.