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Time to buy the Treasuries? Maybe Not.

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As the stock markets took a beating, attention has been focused on the treasuries as an alternative investment. The latter have rallied strongly and been on an upward move since last October. Strategies like the ZN Long strategy from Quantopolis have made very good money and shot up to the top of the rankings on investment strategy monitoring websites such as Striker.

ZN Long Recent Profits

The million dollar question then becomes, is it a good time to buy treasuries now or is this rally soon to be over? To answer this question we look at the historical trades for the ZN Long strategy. This data goes all the way back to 1982 for a total of more than 37 years.

The ZN Long entered this position back in October of 2018 and so the position has been open for 213 trading days. Looking at the past 37 years of trades, the historical minimum, average, and maximum holding periods are 4, 141 and 596 trading days respectively where 250 trading dayscorresponds to about 1 calendar year. To be more precise, the probability of the position being open for more that 225 trading days is at 22.41%. This is equivalent to saying that the probability of the position exiting soon is 77.59%.

Since the ZN Long strategy is a long momentum strategy, it exits position when momentum fades. In other words, the probability that the recent rally in the treasuries is close to ending is at 77.59%. So the odds are not in your favour if you decide to go long treasuries right now.

For more information and ideas about how to use data to make informed decisions about your investments please visit .

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About the author

Michael Grech is a Geophysicist turned Entrepreneur turned Quantitative Trader and Investor. A few months into his first job after college he attended a talk by a popular author and financial advisor. This talk promoted the tenets of conventional investing wisdom based on a buy and hold strategy applied to a portfolio with a mixed allocation of stocks and bonds. After committing to this approach diligently over the next 10 years, he had nothing to show for it. In fact his portfolio had less monies in it than he had put in. Significantly less. And it did not matter which financial advisor or financial company had been managing it, they all showed bad results. This motivated him to take a more active role in his saving and to start managing his own monies. His background in mathematics and physics led him to adopting a quantitative science based approach to his investments. What started out as a side hustle turned into a full time occupation. Since 2011 Michael has been making his living off his investments. Over time he has developed quantitative systems that generate average annual returns of 30% or more.  In 2017 Michael launched QUANTOPOLIS.COM to share his investment philosophy and allow other trades access to some of his strategies. His book : What Your Financial Advisor Is Not Telling You : A Scientific Approach To Boost Your Investment Returns And Minimize Risk was published in August 2018. Today Michael uses a 100% quantitative approach for all his investments trading stocks, ETFs, options and futures.  His passion is to educate people on the quantitative approach to investing and make it accessible to everybody.
Contributing author since 09/18/2018 

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