Seasonality in the Treasury Market Part 3

[WITH CODE] An investigation into a seasonal anomaly in the Treasury market

Hello!

This is part 3 of the recent series that explores seasonality in the Treasury markets. In the past two posts, we explored intra-year and intra-month seasonality. We also showcased trading strategies that produced Sharpe ratios of 1.3.

Today, I will showcase intra-week seasonality, and also provide the code for a trading strategy that achieves a Sharpe ratio of over 2 in specific monetary policy regimes.

Let’s get into it.