https://ohlcv.io/tags/zn/Quant trading research and writingHugoen-auFri, 30 Oct 2026 01:03:13 +1100https://ohlcv.io/posts/treasury-auction-cycle/Thu, 22 Oct 2026 00:00:00 +1100https://ohlcv.io/posts/treasury-auction-cycle/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.https://ohlcv.io/posts/obvious-and-wrong/Wed, 21 Oct 2026 00:00:00 +1100https://ohlcv.io/posts/obvious-and-wrong/We took ten things traders take for granted, from gold as a safe haven to copper as a guide to stocks, and tested them on 16 years of data in 19 futures markets.https://ohlcv.io/posts/round-numbers/Tue, 20 Oct 2026 00:00:00 +1100https://ohlcv.io/posts/round-numbers/Traders treat round prices as support and resistance. In 16 years of one-second data in six CME futures, price that reaches a round level goes through it more often than price that reaches an ordinary one, and least often turns back one tick past it. Approaches to round levels also seem to stall short of them a little more often, though that result is less firm. We checked the findings tick by tick, against placebo levels, and a dozen other ways.https://ohlcv.io/posts/ohlc-path-heuristic/Wed, 08 Jul 2026 00:00:00 +1000https://ohlcv.io/posts/ohlc-path-heuristic/Many aspiring traders are told that using daily bars is good enough for all but short-term intraday strategies. We tested the guess many backtesting engines make about the path inside a daily bar against 16 years of one-second data in six futures markets. It gets the order of the high and low right four days in five, as it would on a random walk, but for a stop and a target near the entry it's close to a coin toss, and it flatters the tight-stop, wide-target brackets an optimiser is drawn to.