Factor estacional en TLT

Nevertheless, the effect has been persistent for at least almost 20 years. We test the following hypothesis:

• We buy at the close on the seventh last trading day of the month.
• We sell at the close of the last trading day of the month.
• We are not using calendar days but trading days. They are, most of the time, slightly different.

Seasonal effects TLT

Number of trades: 212

CAGR 5.7%, buy and hold CAGR 6.7%

The average gain per trade is 0.48%

Exposure (time in the market) is 28%

The win ratio is 61%

The average winner is 1.58%, the average loser is 1.24%

The profit factor is 2

https://www.quantifiedstrategies.com/calendar-effects-long-term-treasuries/