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Long-Short with iShares 1-3 Year Treasury Bond (SHY:) and iShares 20+ Year Treasury Bond (TLT)

Calculated: Spread which is difference between daily return of TLT and SHY
Used Bollinger bands Approach

Entry:
• When spread crosses lower band then Long SHY and short TLT • When spread crosses upper band then Long TLT and short SHY

Exit:
• When spread is between lower and upper bound then close open position

1 response

Does not really seem to work outside your test range. This performance is probably just random chance.