The Treasury auction cycle, out of sample
Lou, Yan, and Zhang found that Treasuries cheapen in the days before an auction and recover after it. In Treasury futures from 2010 to 2026, the daily gaps around the late-month auctions line up with the month-end rally, and a trade on the month-end calendar alone did better. Intraday, the futures still move by about half a basis point of yield around the close of bidding, but no intraday trade we tested shows a reliable profit after a tick of cost per round trip.