Are these spreads "mean reverting"? Thanks
The least mean-reverting spreads in the world are most definitely the German Bond products/yields because they are rife with cheaters, insiders, leaked-minutes and complete f*cking scum b4stards. On top of this, you have every single high-unemployment and vulture economy in Europe which is leaching off Germany. This creates an insane amount of hedging inter-play.
A recent example of this was the rumours of the ECB dropping QE and then actually cancelling the 'rumour', then a week later it was in the minutes. The people on-top, specifically f@ggots like Draghi and the rest of those political dogs, are all most definitely linked with the largest accounts and the big bond holders.
The industry is full of insider and secretive scum f@ggots.
I have been sitting at my computer 16-18 hours a day, every day, for over 6.5 years now, and
I know when someone is cheating. European bonds and "sources" take the cake for this. Other note-able mentions were the dodgy Reserve Bank of Australia leaks in 2015, as well as the Bank of England insider trading scandal (which they actually got fined for).
These guys are cheating all the damn time, and having a mean-reverting strategy is how you increase the probability of being on the wrong side of a VICIOUS move.
The
second-least mean-reverting spreads in the world are the U.S. spreads and Flys. The only reason they are not first is because they are at least super-efficient and have players all across. Yields do play around the belly and there is curve play all the way from the short-end up to the ultra long-end. Remember, Italy, France and Spain are as useful as an ashtray on a motorcycle, so the Institutional Bond Traders
must hedge their long end with the German 30-year Buxl. This creates a big mess for the average punter like you. America does not have this weird incest of play so you are at least not prone to the enormous cuckening one would experience if they had to step into the filth known as Europe.
If I wanted to lose a career as quick as possible, I would approach the U.S. curves with a mean-reverting type of philosophy.
I cannot stress this enough,
do not ever approach a U.S. or Scummy-European bond spread or bond fly with a mean-reverting philosophy. Just back-test for a year and you will see why this is the equivalent to putting a gun to your head and pulling the trigger. If you coded some sort of algorithm or strategy which had back-tested distances of high/lows, with automatic stop exits, then you are fine! But if you are using discretion, then I'm sorry, you're going to eventually be covered in the fecal matter from those secretive insiders that somehow get the leaked information before its publicly released.
Now... finally.. onto the good news;
These guys are easy to beat if you know what you are looking for. If I was to guide you into the right direction, it would be create a strategy which looks for underlying strength or weakness, getting in on trends or counter-trend pull-backs, and being very careful of Red-Tier U.S. data like CPI for the moment being (because every central bank in the world is keeping a close eye on CPI.... as they are ALL ready to pull the trigger on hiking rates).
Keep an eye on ForexFactory, and keep an eye on the summary of every single FOMC and FOMC minutes thats released. Just read the main jist of the releases and you will start to 'tune in' to what the market is expecting/feeling from the upcoming data.
