|The TU 2 year US Treasury note feature exhibits momentum. Initially, correlations are run for different time frames and holding days. The optimal lookback and holding days combination is selected and a momentum strategy is structure where the investor s buys (sells) future if it has positive (negative) 12-month return, and holds position for 1 month.
Since time series momentum of futures is due to persistence of signs of roll returns, the lagged roll return is used by the strategy and it goes long when return higher than threshold and short when return is negative than threshold and exit any existing position otherwise.
This strategy is applicable to other futures as well.