Flow Clock
A pre-registered Treasury strategy that trades forced flows: auction supply and month-end index demand. Its month-end ZN futures trade held up in a one-shot 2-year test (Sharpe 0.79 to 0.64).
A pre-registered Treasury strategy that trades forced flows: auction supply and month-end index demand. Its month-end ZN futures trade held up in a one-shot 2-year test (Sharpe 0.79 to 0.64).
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