Last Updated on July 16, 2022 by Quantified Trading
The Euro Bund futures contract shows weak seasonal performance during the futures expiration week.
The contract has ticker code FGBL, is issued by Germany, has a maturity between 8.5 and 10.5 years, and one contract has a value of 100 000 EUR. It’s a heavily traded futures contract that expires four times per year: on the third Friday of March, June. September, and December.
The expiration weeks in the US
We have previously covered the options expiration weeks in both the US and EU:
Trading the futures expiration week in Euro Bund
Let’s go straight to our backtest of the Euro Bund:
We test the futures contracts – not the cash index – and we use a 100% margin. 100 000 is invested in March 2000 and reinvested into the next quarterly futures expiration week. Thus, there are four trades a year.
We invest at the close of the Friday one week before the futures contracts expire, and we hold for one week and sell at the close the next Friday at settlement/expiration day. No commissions or slippage.
This is the equity chart of the Euro Bund during the futures expiration week:
The average gain is a negative 0.06% and the win ratio is 57%. The average gain of any random week is 0.1%.
If we look at the performance for each separate month, we get these results:
The first column shows the respective months. All months are negative except for an outlier (?) in December when most markets have a Santa Claus Rally.