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I think this is what you want: =DURATION(NOW(),NOW()+3652.5,0.06,0.045,2) I believe you can simply ignore the price since that is built into the YTM (which is 4.5% vs the 6% coupon).

I wouldn't say it's normal, but it does exist. It's called a hurdle rate.

And why should giving the original correct quote matter? Lighten up.

What is a trading team?

Why not trade bond futures. I know the 10-year note future has an underlying of about $110,000 and an initial overnight margin of about $1,000. That's some pretty good leverage!

I thought the quote was: "Markets can remain irrational longer than you can remain solvent." John Maynard Keynes

First, I don't think there is a single reward/risk ratio that is best. Second, which ones to use depends on what you are doing. Third, a system going forward will rarely be better than a backtested system. So even if you optimize a system, you should probably still be more conservative...

Yes, I see that now. I noticed the divergence early last week. But I obviously didn't know about it when I went short. But my system doesn't need me to notice these things.

As I said, I have a quant system. I know the factors that go into it, but I don't always know what is causing the system to take the position it has. However, some obvious negatives are slowing earnings, the flat yield curve, and lost momentum.

Not really. I'm only 67% short. So I was down only a couple of percent when the market hit it's high. On the other hand, I have a larger position in bonds which has actually been more volatilie since then (0.9% for the 10-yr vs 0.8% for the S&P weekly stdev) whereas it is usually less...

Quite a coincidence that this is the exact day I went short. I have a quant system I built and I don't even use MACD (though I have other, similar indicators), so that is quite interesting.

I hope you are right bird. I've been short since November 25 (I trade long term) at 1268 and I'm up a whole point so far. What do you think will cause this decline? I am getting some bearish indicators on bonds. Higher interest rates could be the trigger.

"When you see excessive volatility, be careful; when you don't see excessive volatility, be doubly careful." Victor Niederhoffer (The Education of a Speculator) My long term volatility figures have been rising recently (with days like last Friday...), but that's after hitting a 10 year low.

If you have the data in Excel, just use their solver. But first you have to decide what to optimize (for example, sharpe ratio).

I sure have wasted a lot of time doing just that.

If only global warming would kick in, then I'd think about moving up north.

I trade weekly. I'm sure my strategy is not the same as yours though.

Going back to 1962, I found a 10.3% correlation between the S&P500 and 10-year bond weekly changes.

Make sure you've read When Genius Failed. He writes quite a lot about how all the world markets became correlated in 1998.

Or taxes could have been lowered. Or the deficit reduced. Or they could have given it all to me....