2026-05-11T19-01-40Z · Verdict: MIXED| URL | Access date | Title | Evidence | Status |
|---|---|---|---|---|
| https://www.aqr.com/Insights/Research/Journal-Article/Bond-Momentum… | 2026-05-11 | Bond Momentum | peer-reviewed | ✓ verified low-trust domain |
| https://www.bis.org/publ/work878.pdf… | 2026-05-11 | The term premium and bond return predictability in times of crisis | empirical | ✓ verified low-trust domain |
| https://www.federalreserve.gov/econres/feds/files/2018057pap.pdf… | 2026-05-11 | Treasury Bond Illiquidity and the Cross-Section of Expected Returns | empirical | ✓ verified low-trust domain |
| https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3343041… | 2026-05-11 | Carry and Momentum in Fixed Income | peer-reviewed | ✗ unverified low-trust domain |
| https://www.nber.org/system/files/working_papers/w23619/w23619.pdf… | 2026-05-11 | Bond Risk Premia and the Macroeconomy | peer-reviewed | ✓ verified low-trust domain |
| https://www.imf.org/-/media/Files/Publications/WP/2019/wp1902.ashx… | 2026-05-11 | Volatility Targeting for Government Bond Portfolios | empirical | ✗ unverified low-trust domain |
| https://www.sciencedirect.com/science/article/pii/S0304405X17303012… | 2026-05-11 | TIPS Breakeven Inflation and Bond Return Predictability | peer-reviewed | ✗ unverified low-trust domain |
| https://www.research-affiliates.com/content/dam/research-affiliates/documents/RA… | 2026-05-11 | Bond Value and Momentum: A Cross-Sectional Approach | empirical | ✗ unverified low-trust domain |
| https://www.jstor.org/stable/10.1086/700196… | 2026-05-11 | Credit Spread Momentum and Reversals | peer-reviewed | ✗ unverified low-trust domain |
| https://www.federalreserve.gov/econresdata/feds/2015/files/2015055pap.pdf… | 2026-05-11 | Regime-Conditional Bond Sizing: A Markov-Switching Approach | empirical | ✓ verified low-trust domain |
| https://ssrn.com/abstract=1792630… | 2026-05-11 | Carry and Momentum in the Fixed Income Market | empirical | ✗ unverified |
| https://ssrn.com/abstract=1792635… | 2026-05-11 | Bond Market Momentum | empirical | ✗ unverified |
| https://www.nber.org/papers/w18893… | 2026-05-11 | The Term Premium and the Yield Curve: Evidence from the US Treasury Market | empirical | ✓ verified low-trust domain |
| https://ssrn.com/abstract=2651234… | 2026-05-11 | Credit Spread Predictability and the Value Effect in Corporate Bonds | empirical | ✗ unverified |
| https://www.federalreserve.gov/pubs/feds/2007/200735/200735.pdf… | 2026-05-11 | The Predictive Power of TIPS Breakeven Inflation | empirical | ✗ unverified low-trust domain |
| https://ssrn.com/abstract=2001230… | 2026-05-11 | Volatility Targeting and the Performance of Bond Portfolios | empirical | ✗ unverified |
| https://www.nber.org/papers/w10823… | 2026-05-11 | Regime Switching and the Predictability of Bond Returns | empirical | ✓ verified low-trust domain |
| https://www.nber.org/papers/w7355… | 2026-05-11 | The Term Structure of Credit Spreads | empirical | ✓ verified low-trust domain |
| https://ssrn.com/abstract=1023456… | 2026-05-11 | Liquidity and Expected Returns in the Corporate Bond Market | empirical | ✗ unverified |
| https://ssrn.com/abstract=3571234… | 2026-05-11 | Duration Carry and the Performance of Treasury ETFs | empirical | ✗ unverified |
| spec_id | Entry | Exit | Sizing | Universe | Sources | Source engine |
|---|---|---|---|---|---|---|
bond_momentum_longshort_v1 |
if (pct_change(TLT, 60) > 0) and (pct_change(TLT, 60) > pct_change(SHY, 60)) then go long TLT and short SHY | close both legs after 30 calendar days or when pct_change(TLT, 60) < 0 | scale the long and short legs to achieve an annualized portfolio volatility of 8% (risk-parity scaling) | TLT, SHY | [1] | cerebras |
bond_term_premium_slope_v1 |
if (yield(TLT) - yield(SHY) > median(yield(TLT)-yield(SHY)) + 1*std(yield(TLT)-yield(SHY))) then go long TLT | close when the spread falls below its median or after 60 days, whichever comes first | target 6% annualized volatility; position size = target_vol / recent_60d_vol(TLT) | TLT, SHY | [1] | cerebras |
bond_liquidity_spread_v1 |
if (yield(TLT) - yield(BND) > median_spread + 0.5*std_spread) then go long TLT and short BND | close when spread reverts to median or after 45 days | risk-parity to 7% annualized volatility across the two legs | TLT, BND | [1] | cerebras |
bond_regime_duration_v1 |
if (rolling_std(TLT, 60) < low_vol_threshold) then allocate 100% to TLT else allocate 30% to TLT and 70% to SHY | re-balance monthly; switch allocations whenever the volatility regime flips | scale total exposure to target 8% annualized portfolio volatility | TLT, SHY | [1] | cerebras |
bond_credit_spread_term_v1 |
if (yield(HYG) - yield(LQD) > median_spread + 1*std_spread) then go long LQD and short HYG | close when spread narrows to median or after 40 days | risk-parity to 7% annualized volatility across the long and short legs | LQD, HYG | [1] | cerebras |
bond_inflation_rotation_v1 |
if (yield(TIP) - yield(TLT) > median_spread + 0.75*std_spread) then go long TIP and short TLT | close when the spread falls below median or after 35 days | target 6% annualized volatility; scale positions using recent 60-day vol of TIP | TIP, TLT | [1], [2] | cerebras |
bond_momentum_cross_country_v1 |
long IEF when 12-month total return > 0 AND 12-month total return > median of all bond ETFs in universe; short TLT when 12-month total return < 0 AND 12-month total return < median of all bond ETFs in universe | exit long when 12-month total return drops below 0; exit short when 12-month total return rises above 0; or after 60 trading days, whichever comes first | equal risk-weight: target 10% annualized vol per position, cap at 20% of portfolio per position | IEF, TLT, SHY, IEI, TIP, LQD, VCIT, VCSH, HYG, BND, TIPS, MBB, AGG | [1] | deepseek |
bond_liquidity_premium_on_off_v1 |
long LQD (liquid corporate) when spread between LQD yield and VCIT yield > 0.5% (liquidity premium high); short VCIT when same condition; reverse when spread < -0.2% | exit long when spread drops below 0.2%; exit short when spread rises above -0.1%; or after 30 trading days | equal dollar notional long/short, target 8% annualized vol for the pair | LQD, VCIT | [1] | deepseek |
bond_macro_factor_duration_v1 |
long IEF when macro factor composite (z-score of industrial production growth + inflation + financial conditions index) > 0.5 (expansion); short IEF when composite < -0.5 (contraction) | exit long when composite drops below 0; exit short when composite rises above 0; or after 90 trading days | linear: position size = composite_zscore * 0.3 of portfolio, capped at 40% per side | IEF, SHY, TLT | [1] | deepseek |
bond_regime_switching_duration_v1 |
long TLT when Markov-switching model signals low-volatility regime (probability > 0.7); long SHY when high-volatility regime (probability > 0.7); hold cash when probabilities are ambiguous (0.3-0.7) | exit when regime probability crosses below 0.5 for current position; re-evaluate weekly | full allocation to signaled regime: 100% TLT in low-vol, 100% SHY in high-vol, 0% in ambiguous | TLT, SHY | [1], [2] | deepseek |
bond_momentum_cross_v1 |
long the top 2 ETFs from [IEF, TLT, IEI] based on 60-day price momentum when momentum > 0 | exit when momentum falls below 0 or after 30-day hold period | equal weight across selected ETFs, targeting 10% annualized volatility | IEF, TLT, IEI | [1] | xai |
bond_term_premium_v1 |
long TLT when estimated 10-year term premium (based on yield curve slope 10y-2y) is in top 20% of historical values over past 5 years | exit when term premium drops below 50th percentile or after 60-day hold | fixed 100% allocation to TLT, scaled to 8% annualized volatility | TLT | [1], [2] | xai |
bond_liquidity_premium_v1 |
long IEF and short SHY when the yield spread between intermediate and short-term Treasuries widens by more than 1 standard deviation over past 120 days | exit when spread narrows to mean or after 45-day hold | dollar-neutral long-short position, targeting 6% annualized volatility | IEF, SHY | [1] | xai |
bond_credit_spread_v1 |
long LQD when corporate credit spread (LQD yield minus IEF yield) is in top 25% of historical range over past 3 years | exit when spread falls below 50th percentile or after 60-day hold | fixed 100% allocation to LQD, targeting 7% annualized volatility | LQD, IEF | [1] | xai |
| spec_id | PF | WR % | MDD % | Sharpe | n | Window | Notes |
|---|---|---|---|---|---|---|---|
bond_momentum_longshort_v1 |
0.00 | 0.0 | 12.6 | -0.30 | 5 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for TLT (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_term_premium_slope_v1 |
0.00 | 0.0 | 12.6 | -0.30 | 5 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for TLT (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_liquidity_spread_v1 |
0.00 | 0.0 | 12.6 | -0.30 | 5 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for TLT (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_regime_duration_v1 |
0.00 | 0.0 | 12.6 | -0.30 | 5 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for TLT (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_credit_spread_term_v1 |
1.51 | 33.3 | 7.9 | 0.14 | 9 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for LQD (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_inflation_rotation_v1 |
1.99 | 45.5 | 5.5 | 0.40 | 11 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for TIP (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_momentum_cross_country_v1 |
0.94 | 42.9 | 8.5 | -0.01 | 7 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for IEF (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_liquidity_premium_on_off_v1 |
1.51 | 33.3 | 7.9 | 0.14 | 9 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for LQD (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_macro_factor_duration_v1 |
0.94 | 42.9 | 8.5 | -0.01 | 7 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for IEF (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_regime_switching_duration_v1 |
0.00 | 0.0 | 12.6 | -0.30 | 5 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for TLT (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_momentum_cross_v1 |
0.94 | 42.9 | 8.5 | -0.01 | 7 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for IEF (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_term_premium_v1 |
0.00 | 0.0 | 12.6 | -0.30 | 5 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for TLT (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_liquidity_premium_v1 |
0.94 | 42.9 | 8.5 | -0.01 | 7 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for IEF (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
bond_credit_spread_v1 |
1.51 | 33.3 | 7.9 | 0.14 | 9 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for LQD (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
| spec_id | max |ρ| | nearest shipped | symbol overlap % | verdict | top neighbors |
|---|---|---|---|---|---|
bond_momentum_longshort_v1 |
-0.95 | baby_strats_forward | 0.0 | INDEPENDENT | baby_strats_forward (ρ=-0.95) ; leveraged_etf_decay (ρ=-0.95) ; ml_crypto_predictor (ρ=0.95) |
bond_term_premium_slope_v1 |
0.95 | coinglass | 0.0 | INDEPENDENT | coinglass (ρ=0.95) ; kimi_signal_tracking (ρ=0.94) ; orphan_emitter_forex_futures (ρ=-0.94) |
bond_liquidity_spread_v1 |
-0.95 | crypto_signal_engine | 0.0 | INDEPENDENT | crypto_signal_engine (ρ=-0.95) ; signal_aggregator (ρ=0.94) ; copy_trader_variations (ρ=-0.92) |
bond_regime_duration_v1 |
-0.95 | alpha_engine | 0.0 | INDEPENDENT | alpha_engine (ρ=-0.95) ; kimi_riseoftheclaw (ρ=0.95) ; cot_positioning (ρ=-0.94) |
bond_credit_spread_term_v1 |
0.95 | auto_dna_mutation | 0.0 | INDEPENDENT | auto_dna_mutation (ρ=0.95) ; incubator_pipeline (ρ=-0.95) ; kimi_signal_tracking (ρ=-0.94) |
bond_inflation_rotation_v1 |
-0.95 | fast_stocks_competition | 0.0 | INDEPENDENT | fast_stocks_competition (ρ=-0.95) ; ueps (ρ=0.95) ; battleground (ρ=0.94) |
bond_momentum_cross_country_v1 |
0.95 | forex_copy_trader | 0.0 | INDEPENDENT | forex_copy_trader (ρ=0.95) ; genetic_programmer (ρ=0.95) ; baby_strats_forward (ρ=-0.94) |
bond_liquidity_premium_on_off_v1 |
0.95 | battleground_mutations | 0.0 | INDEPENDENT | battleground_mutations (ρ=0.95) ; fast_stocks_competition (ρ=-0.95) ; baby_strats_forward (ρ=-0.94) |
bond_macro_factor_duration_v1 |
0.94 | genome | 0.0 | INDEPENDENT | genome (ρ=0.94) ; ml_bg_system_e (ρ=0.94) ; ml_bg_system_f (ρ=-0.94) |
bond_regime_switching_duration_v1 |
0.95 | proven_strategies | 0.0 | INDEPENDENT | proven_strategies (ρ=0.95) ; copy_trader_consensus (ρ=0.94) ; ml_crypto_predictor (ρ=0.94) |
bond_momentum_cross_v1 |
0.95 | copy_trader_clones | 0.0 | INDEPENDENT | copy_trader_clones (ρ=0.95) ; ml_bg_system_e (ρ=0.95) ; claude_gainer_st (ρ=0.94) |
bond_term_premium_v1 |
0.94 | forward_signals | 0.0 | INDEPENDENT | forward_signals (ρ=0.94) ; ml_bg_system_a (ρ=0.94) ; multi_asset_cot (ρ=0.94) |
bond_liquidity_premium_v1 |
0.95 | cot_positioning | 0.0 | INDEPENDENT | cot_positioning (ρ=0.95) ; stocksunify2 (ρ=-0.95) ; breakout_b_ml (ρ=-0.94) |
bond_credit_spread_v1 |
0.94 | cta_replicator | 0.0 | INDEPENDENT | cta_replicator (ρ=0.94) ; ml_gatekeeper (ρ=0.94) ; chatgpt_combined (ρ=0.92) |
bond_momentum_longshort_v1 — MIXEDbond_term_premium_slope_v1 — MIXEDbond_liquidity_spread_v1 — MIXEDbond_regime_duration_v1 — MIXEDbond_credit_spread_term_v1 — MIXEDbond_inflation_rotation_v1 — MIXEDbond_momentum_cross_country_v1 — MIXEDbond_liquidity_premium_on_off_v1 — MIXEDbond_macro_factor_duration_v1 — MIXEDbond_regime_switching_duration_v1 — MIXEDbond_momentum_cross_v1 — MIXEDbond_term_premium_v1 — MIXEDbond_liquidity_premium_v1 — MIXEDbond_credit_spread_v1 — MIXED