Bond Duration Trade

Yield curve regime: long duration in flattening, short duration in steepening

Bond Duration Trade — gap audit strategy

Total Return

-5.2%

Sharpe Ratio

-1.00

Max Drawdown

-10.2%

Win Rate

53.3%

Alpha

-24.9%

Comp. Score *

0.00

Risk Parameters

Max Allocation0.0%

Stop Loss10.2%

Take Profit5.0%

Max DD Tolerance10.2%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
IEF	BUY	6%	5.1% below entry	3.0% above entry	0.0%	TV YH
TIP	BUY	4%	5.1% below entry	3.0% above entry	0.0%	TV YH
SHY	BUY	2%	5.1% below entry	3.0% above entry	0.0%	TV YH
BIL	BUY	0%	5.1% below entry	3.0% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

Weak long-term profile. Not recommended for passive buy-and-hold. May still work as a tactical or hedged position — see main body.

Avg 5Y Return

5.9%

Avg 5Y Sharpe

-0.47

Avg 5Y Max DD

-11.9%

10Y Return (2015-2024)

3.0%

10Y Sharpe

-0.59

10Y Max DD

-15.3%

HODL Composite

0.01

Windows Tested

Consistency

21%