Using Predictive Analytics for Fixed Income (Bond Yield) Trading

 Using Predictive Analytics for Fixed Income (Bond Yield) Trading


Bond Markets are much bigger than the Stock Market in terms of Volume. The movement of Bond Yields also impacts the Stock Markets. As can be seen in last couple of days that US bond yields have been moving in upward direction, with the benchmark 10-year Treasury yield reaching a three-month high which has impacted global stock markets move in downward direction.

In this post, I share some examples on How Predictive Analytics can help us predict the direction of the Bond Yield as well as the likely Quantum of the movement next 1 month (22 trading days). Two matching patterns are identified that are nearest to the current pattern. i.e. One record above the current pattern and one record below the current pattern.

Example 1 For Sep-17-2024 The US 10 years Bond Yield matched the pattern of April-11-2008 of US 10 Year Bond Yields and March-14-2016 of US 30 years Bond Yield. All other parameters indicated that Pattern of Sep-17-2024 was likely to match with that of April-11-2008.
For Sep-17-2024, The Yields had moved higher compared to next day's high maximum by +13.36% and minimum by +1.91%. The projected yield for 1st Pattern of April-11-2008 was +12.68% and +0.22% respectively. The second pattern of March-14-2006 that did not match with had -0.19% and -6.84%.

Example 2 For Sep 24-2024 The US 10 years Bond Yield matched the pattern of US 30 years Bond Yield on Nov-02-2020 and Dow Jones Transportation of Aug-9-1935. All other parameters indicated that Pattern of Sep-24-2024 was likely to match that of Aug-9-1935.
For Sep-24-2024. The Yields had moved higher compared to next day's high maximum by+10.77% and minimum by -0.44%. The projected yield for 1st Pattern ofAug-9-1935 was +5.66%, and -0.89% respectively. The second pattern of Nov-02-2020 had +9.54% and -3.04%
Note-The prediction can be done for all Bond Yields of varying duration of 1 month, 3 months, 1 year, 10 years, 30 years etc. This can be used by the Fixed Income Trading Companies as second opinion or as an information to their trading decisions. Companies interested in Prediction can contact me.
PredictiveAnalytics patterns prediction bond yields

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