Morning from France !

I was watching a very interesting video a couple of months ago about a quant researcher working for a HF doing some data analysis on TBonds.

It appears that there's is a known seasonality pattern on most bonds called "windows covering" (or something similar forget my English I'm not native I learned English the baguette way).

Basically, at the end of every month, managers have to hand their reports to investors. Of course assets like TBonds have a great risk reputation and are respected in this field.

So they'll always be a preferred asset to show to investors on reports. So a lot of HF and Investment companies will tend to balance their portfolio at the end of the month : buy T Bonds and get (temporarily) rid of their "shit coins" as they end in the reports, and get rid of their positions (so sell) at the start of the following month.

I'm looking for sharing ideas strategies insights and more on this strategy with this fantastic place. I'm on NT8 but everyone is welcome to join the discussion of course it's an interesting topic.

Wish you all a great day,

Arthur

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Good morning, @Arthurtrades! (Actually, it's afternoon where I am, but welcome, in any case.

I see that you are fairly new to the forum. I am glad to see that you are posting, and your enthusiasm and attitude are positive. I hope you have a good experience on the forum.

However, I want to let you know a few things about how to best use the forum.

For one, you have made this same identical post three times today, one after another, in three different locations.

1. The first time was in the "Want your NinjaTrader STRATEGY created for free?" thread, which is an existing thread for specific ideas that traders ask programmers to implement as a NinjaTrader strategy, that is, as a program that will run automatically, sending buy and sell orders to the exchange, within NinjaTrader. Usually, these need to be very specific requests to have a system built for them.

2. Within approximately a minute, you made the same post in a new thread in the "Elite Algorithmic NinjaTrader Trading" section. This section is for the creation and discussion of "algorithmic" trading for NT, and is typically for technical discussions of algorithmic trading, that is, purely automated systems that traders are suggesting, or working on, or using.

3. About a minute after that, you made the same post in a new thread in "Elite Quantitative GenAI/LLM", which is intended, as the name may suggest, specifically for the subject "Generative Artificial Intelligence and Large Language Model" Artificial Intelligence systems. This topic includes the new Artificial Intelligence methods that have created so much attention in recent months. This is the thread that moderator @xplorer deleted as a duplicate, and notified you about.

It is completely understandable that you might have some confusion about the best location for your post. If you are not sure, you can always just ask, in the post if you like, and if one of the moderators sees the question, we may suggest a spot or may simply move it.

But one thing we will insist on is simply do not make duplicate posts. Sometimes people will post several times to make sure their post finds readers, or because they are enthusiastic about its importance, or because they are not sure where it should go. But duplicate posts just clog up the forum by creating discussions in different locations on the same topic, so someone who is interested in the topic may not be able to find all discussions in the different locations.

Also, you've placed what is actually a very general post about a common topic -- which I think is actually meant to be "window dressing" instead of "window covering" -- within locations that typically are meant for technical programming-related questions. You can read more about window dressing, and see if it's the same as what you mean, here: https://www.investopedia.com/terms/w/windowdressing.asp . Window dressing has existed for as long as there have been investment managers who wanted to make their portfolios look good when they have to issue their reports.

So, there is an issue with the duplicate posts, and another with the best location for what should be just one post.

I am deleting your first post as listed above, as it is not actually a request for someone to create a new automated strategy. It is more just about the general practice of window dressing, which could be used in some way in a strategy, but the post is still a very general one.

I am moving your second post from the "Elite Algorithmic NinjaTrader Trading" section to the more generic "Traders Hideout" area, which is meant for general discussions. It could actually be fitted into other areas as well, but this is a good fit for a general topic of discussion.

I have altered the thread title slightly to "TBonds Window Dressing," which will be more clear to more members.

Do not take any of this as negative criticism. It takes a while to learn how to use the forum, and I must tell you that your English is far better than my non-existent French.

I hope you enjoy the forum.

Bob.

Thank you Bob for taking some time to read my post and for the polite and useful advices here ! I'm indeed a bit new and I try to do the best I can to understand what is where and in that case, it was certainly a mistake on my hand !

Will do my best to avoid repeating it in the future !

Do you have other threads that you would be aware of that mention windows dressing ? that way I can have a look at what's already there !

I'm sure the french will become better overtime monsieur il suffit juste d'un peu de bonne volonté nothing is impossible !

Good evening

Arthur

I'm afraid the French will not become better. It's been a long time, since college, which was a very long time ago.



Also, there is Google Translate now, so there's less incentive to learn.



As to window dressing, it happens whenever there is any mutual fund or other investment-manager reporting period coming up. Typically, at least in stock funds, that would be at the end of the quarter, and of course the year. So since both times are almost here, there will probably be a lot of it soon.



I do not have any idea how to capitalize on this recurrent and reliable phenomenon. Probably there are people who do, but I think you would see the effect most in the year-end strength of the currently-popular major stocks making up the stock averages, since the funds that invest in them will of course attempt to make themselves look better at those times. Anything that affects the equity (stock) markets will also affect the equity futures markets, so there may be some opportunity there as well.



As to where to look for more information on this within the forum, I can only suggest that, as with anything else that interests you, the best idea may simply be to read widely and see if there is anything you can pick up and make use of.



For what it's worth, one of the best threads on the forum that is focused on the equity futures, particularly the ES (the S&P 500 futures contract) is the "spoos" thread (which stands for S&P):

Spoo-nalysis ES e-mini futures S&P 500 I was inclined to think the same thing on Nov 30 before we got end of month buying (the day I was loaded up short ready for the "crash"). Today was convincing as perhaps the start of something more sustained precisely because it seemed to take …

You may find this thread overwhelming, and the posts in it tend to be very in-depth, but it is also one of the richest and most valuable threads in the forum. Don't try to absorb everything, because there is too much. Just sample it and see what you can learn, over time. Window dressing may not be a major topic, except of course when the calendar brings us around to one of the times when it takes place, which might be end of month, end of quarter and end of year. Traders post about what is currently occupying their attention in their trading, so the topics will simply be what has interested someone.



Whether there will be anything in particular about window dressing, this thread is one of the best places to learn more about trading and the equity markets. It may be difficult, but it repays reading.



Bob.

(I'd juste love to feed that thread to a MLM ...)