Performance · Rates futures
Expresses the per-tenor rate calls with US and Canadian government bond futures, sizing each tenor by DV01 (P&L per basis point). Canadian tenors use same-maturity bond ETFs in place of futures.
Return
+11.57%
Cash (3M T-bill) +0.37%
Max drawdown
-4.23%
peak to trough
Running
25 days
since 2026-09-18
Trades
6 closed
6 open
Under 30 trading days: Sharpe and win rate are not computed yet and the figures prove nothing. Net of trading costs.
Equity curve
Benchmark: Cash (3M T-bill). The last point may be an intraday mark and is rewritten after settlement.
P&L breakdown
| Closed price P&L | +$13,992 |
| Open unrealised P&L | −$1,435 |
| Trading costs | −$991 |
| Roll costs | $0 |
Open positions
| Tenor | Side | Contract | Entry | Entry px | Last px | Unrealised |
|---|---|---|---|---|---|---|
| Canada 10-year | Short · yields up | XGB.TO | 2026-09-23 | 18.609 | 18.770 | −$216 |
| Canada 2-year | Short · yields up | XSB.TO | 2026-09-23 | 26.452 | 26.560 | −$102 |
| Canada 30-year | Short · yields up | ZFL.TO | 2026-09-23 | 11.303 | 11.490 | −$414 |
| US 10-year | Short · yields up | ZNZ26.CBT | 2026-10-07 | 104.484 | 105.641 | −$3,469 |
| US 2-year | Short · yields up | ZTZ26.CBT | 2026-10-19 | 101.926 | 101.930 | −$47 |
| US 5-year | Long · yields down | ZFZ26.CBT | 2026-10-06 | 103.578 | 104.141 | +$2,812 |
Closed trades
| Tenor | Side | Held | Entry → exit | Exit reason | Net P&L |
|---|---|---|---|---|---|
| US 2-year | Long · yields down | 2026-10-12 → 2026-10-19 | 101.801 → 101.926 | call flipped | +$1,382 |
| US 30-year | Long · yields down | 2026-10-09 → 2026-10-19 | 103.125 → 104.938 | call flipped | +$1,746 |
| US 2-year | Short · yields up | 2026-09-18 → 2026-10-12 | 101.879 → 101.801 | call flipped | +$820 |
| US 30-year | Short · yields up | 2026-09-18 → 2026-10-07 | 107.031 → 102.219 | call flipped | +$4,746 |
| US 5-year | Short · yields up | 2026-09-23 → 2026-10-05 | 103.586 → 103.406 | call flipped | +$800 |
| US 10-year | Short · yields up | 2026-09-18 → 2026-09-28 | 105.828 → 104.484 | call flipped | +$3,926 |
Trade log
| Date | Action | Tenor | Side | Contract | Price |
|---|---|---|---|---|---|
| 2026-10-19 | Open | US 2-year | Short · yields up | ZTZ26.CBT | 101.926 |
| 2026-10-19 | Close | US 2-year | Long · yields down | ZTZ26.CBT | 101.926 |
| 2026-10-19 | Close | US 30-year | Long · yields down | ZBZ26.CBT | 104.938 |
| 2026-10-12 | Open | US 2-year | Long · yields down | ZTZ26.CBT | 101.801 |
| 2026-10-12 | Close | US 2-year | Short · yields up | ZTZ26.CBT | 101.801 |
| 2026-10-09 | Open | US 30-year | Long · yields down | ZBZ26.CBT | 103.125 |
| 2026-10-07 | Open | US 10-year | Short · yields up | ZNZ26.CBT | 104.484 |
| 2026-10-07 | Close | US 30-year | Short · yields up | ZBZ26.CBT | 102.219 |
| 2026-10-06 | Open | US 5-year | Long · yields down | ZFZ26.CBT | 103.578 |
| 2026-10-05 | Close | US 5-year | Short · yields up | ZFZ26.CBT | 103.406 |
| 2026-09-28 | Close | US 10-year | Short · yields up | ZNZ26.CBT | 104.484 |
| 2026-09-23 | Open | US 5-year | Short · yields up | ZFZ26.CBT | 103.586 |
| 2026-09-23 | Open | Canada 2-year | Short · yields up | XSB.TO | 26.452 |
| 2026-09-23 | Open | Canada 10-year | Short · yields up | XGB.TO | 18.609 |
| 2026-09-23 | Open | Canada 30-year | Short · yields up | ZFL.TO | 11.303 |
| 2026-09-18 | Open | US 2-year | Short · yields up | ZTZ26.CBT | 101.879 |
| 2026-09-18 | Open | US 10-year | Short · yields up | ZNZ26.CBT | 105.828 |
| 2026-09-18 | Open | US 30-year | Short · yields up | ZBZ26.CBT | 107.031 |
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Simulated research, not investment advice.