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
+13.46%
Cash (3M T-bill) +0.30%
Max drawdown
-4.21%
peak to trough
Running
20 days
since 2026-09-18
Trades
4 closed
7 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 | +$10,680 |
| Open unrealised P&L | +$3,616 |
| Trading costs | −$836 |
| Roll costs | $0 |
Open positions
| Tenor | Side | Contract | Entry | Entry px | Last px | Unrealised |
|---|---|---|---|---|---|---|
| Canada 10-year | Short · yields up | XGB.TO | 2026-09-18 | 18.689 | 18.750 | −$82 |
| Canada 2-year | Short · yields up | XSB.TO | 2026-09-18 | 26.512 | 26.600 | −$83 |
| Canada 30-year | Short · yields up | ZFL.TO | 2026-09-18 | 11.403 | 11.410 | −$16 |
| US 10-year | Short · yields up | ZNZ26.CBT | 2026-10-07 | 104.484 | 105.516 | −$3,094 |
| US 2-year | Long · yields down | ZTZ26.CBT | 2026-10-12 | 101.801 | 101.953 | +$1,828 |
| US 30-year | Long · yields down | ZBZ26.CBT | 2026-10-09 | 103.125 | 105.531 | +$2,406 |
| US 5-year | Long · yields down | ZFZ26.CBT | 2026-10-06 | 103.578 | 104.109 | +$2,656 |
Closed trades
| Tenor | Side | Held | Entry → exit | Exit reason | Net P&L |
|---|---|---|---|---|---|
| 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 |
|---|---|---|---|---|---|
| 2026-10-12 | 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 |
| 2026-09-18 | 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 |
| 2026-09-18 | Open | Canada 2-year | Short · yields up | XSB.TO | 26.512 |
| 2026-09-18 | Open | Canada 10-year | Short · yields up | XGB.TO | 18.689 |
| 2026-09-18 | Open | Canada 30-year | Short · yields up | ZFL.TO | 11.403 |
Page 1 / 1
Simulated research, not investment advice.