Systematic Monthly Trend-Following on 2-Year T-Notes

I’ve been experimenting with a simple, rules-based trend-following strategy on 2-Year U.S. Treasury Notes, and thought I’d share the results. It’s super low-frequency: we’re talking monthly bars, not daily or hourly. Historically, these short-term government bonds have not only held their ground during stock market downturns, they have often performed really really good. The idea is to ride the longer-term trends in both directions. My goal was to find a strategy that is uncorrelated when it comes to exposure to my stock heavy portfolio with strategies. I found that commodities or bonds would be the best way to go. **Strategy Basics:** * **Long Entries:** When price closes above a 10-month MA and RSI(2) > 80. * **Short Entries:** When price closes below the 10-month MA and RSI(2) > 30. * **Exits:** Opposite side of the MA line. **Results from 1990–2024:** * Total gain: $5,616 (1 contract worth 2$ per point, no fees) * Win rate: \~40% (trend-followers often have low win rates but high RR) * Maximum drawdown: \~$1,072 * CAGR (10 000$ starting capital): 1.28% (while the yearly gains doesn't look nice when looking at it like this take alook at the image below when the profits actually are gained) [A Backtest from 1990-2024 of the 2-Year T-Note strategy](https://preview.redd.it/38fjszp4707e1.jpg?width=1920&format=pjpg&auto=webp&s=df10ab434877a374d84ffde610113388809cfc9b) **For the Tinkerers:** * Try different MA lengths or RSI thresholds. I have found some other settings to work great on 5-year bonds, Coffee beans and some other soft commodities. * Add risk management like stops or position sizing rules. * Test on other bond or commodity markets, I would love to get some more ideas and inspiration if you have some similar strategies. Here is the backtest dashboard: https://preview.redd.it/n0agwuiz807e1.png?width=1918&format=png&auto=webp&s=2fb62c79fb3a8446cca54e6330a361b171f110b8