US Treasury Bonds Futures

[sle]

Quote from futures_shark:
I found an adjusted chart somewhere that showed a very strong uptrend that started in the 80's still going strong. You can imagine it if you look at the chart with the bad data and just subtract 20 points before 2000.

On such long terms you allways better off looking at yields rather then prices, esp. unadjusted futures prices. Now, the yields have been coming off from the 80s, but so did inflation. Over the longer frame you will see that it's nothing more then reversion to mean.

 

[tradermaji]

Thank you guys for your replies and the pointer on the longer term charts for this market. Bottom line I think is that the bull market in the bonds is not over, and maybe taking a short breather before making another move up. Again, that is just my observation from the charts, and may be completely wrong. That is why we got to use stops

Good trading everyone,
Maji

 

[mtzianos]

Quote from sle:

On such long terms you allways better off looking at yields rather then prices, esp. unadjusted futures prices. Now, the yields have been coming off from the 80s, but so did inflation. Over the longer frame you will see that it's nothing more then reversion to mean.

I would think -as you point out- that one should do long-term analysis using yield.

Next "best" option would be unadjusted futures.

Backadjusted futures prices (as used in chart of original message) are useless and misleading for charting. But they're very useful for trading-system backtesting.

My 2c

PS: My opinion is that the bond market is totally disconnected from reality and funnymentals (i.e. inflation etc). 10yr yield "should" be at least 5-5.5%. But the game will continue as long as non-profit-maximizing players (i.e. FCBs) buy 30-50% of all new issuance.

 

[sle]

Quote from mtzianos:

Next "best" option would be unadjusted futures.

You mean to say that it's ok to disregard volatility premium of the basis? I still remember days when the basis was worth a large bit over the actual CTD price. I'd say it's ok to look at CTD Price/Conv. Factor (which is the "adjsuted price"), but looking at futures cum basis is not right.