Trading Strategies for US Treasury Bonds Using Technical Analysis and Bloomberg Professional Services
Abstract
Purpose: To determine at least one optimal trading strategy for US Treasury bonds using technical analysis based on traditional indicators that brokers apply daily at trading desks.
Design/methodology: In this quantitative study, the BT and BTST functions on the Bloomberg Professional platform were employed to obtain the information and process the data. This tool was also used to conduct backtesting experiments in a short time. Several kinds of technical indicators were selected: oscillators, volatility, and trends (such as MACD, RSI, and Bollinger Bands).
Findings: Among the multiple strategies that were identified, the most effective one used MACD and a combination of Bollinger Bands and RSI. Effectiveness was defined as the number of successful trades.
Conclusions: Based on this study, it can be claimed that trading strategies designed for US Treasury bonds that use technical analysis and more than one indicator have better results than those that implement only one of them.
Originality: This study presents empirical contributions from technical analysis that help to demonstrate the effectiveness of trading strategies applied to US Treasury bonds, as opposed to similar studies where this was usually done using equities or currencies.
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