Asset Class: BOND

Run: 2026-05-11T17-46-50Z · Verdict: MIXED
Schema v1 · citations: 0 verified / 3 hallucinated · candidates: 3 · backtested: 3 · independent: 3 · cost: $0.00 · wall: 0s

Citations

URLAccess dateTitleEvidenceStatus
https://www.aeaweb.org/articles?id=10.1257/0002828053828581… 2026-05-11 Bond Risk Premia peer-reviewed ✗ unverified
https://doi.org/10.1111/jofi.12188… 2026-05-11 The TIPS-Treasury Bond Puzzle peer-reviewed ✗ unverified
https://doi.org/10.1016/j.jfineco.2013.10.005… 2026-05-11 Betting Against Beta peer-reviewed ✗ unverified

Strategy candidates (P2)

spec_idEntryExitSizingUniverseSourcesSource engine
bond_curve_momentum_v1 long when 12m change in (10y - 2y) slope > 0 AND 12m realized term-premium positive reverse on slope sign flip OR 6m hold risk-parity to 10% annualized vol IEF, TLT, SHY, IEI [1] textbook_seed
bond_tips_breakeven_mr_v1 long TIP / short IEF when 10y breakeven inflation < 5y rolling mean - 1σ exit when breakeven crosses 5y rolling mean OR 90d hold duration-neutral pair, 5% portfolio risk TIP, IEF [1] textbook_seed
bond_ig_carry_low_vol_v1 long bottom-quartile 60d-vol IG bonds, short top-quartile, rebalanced monthly monthly rebalance OR vol-quartile flip dollar-neutral, leverage to 8% portfolio vol LQD, VCIT, VCSH, HYG [1] textbook_seed

Backtest (P3)

spec_idPFWR %MDD %SharpenWindowNotes
bond_curve_momentum_v1 1.03 43.6 19.3 0.61 153 2020-01-01 → 2026-05-01 v1 STUB metrics — deterministic synthetic from spec_id hash. Replace with alpha_engine.backtest.engine.BacktestEngine in
bond_tips_breakeven_mr_v1 1.00 54.4 22.4 0.68 134 2020-01-01 → 2026-05-01 v1 STUB metrics — deterministic synthetic from spec_id hash. Replace with alpha_engine.backtest.engine.BacktestEngine in
bond_ig_carry_low_vol_v1 1.86 43.5 18.1 -0.05 137 2020-01-01 → 2026-05-01 v1 STUB metrics — deterministic synthetic from spec_id hash. Replace with alpha_engine.backtest.engine.BacktestEngine in

Cross-test vs shipped strategies (P4)

spec_idmax |ρ|nearest shippedsymbol overlap %verdicttop neighbors
bond_curve_momentum_v1 0.95 leveraged_etf_decay 0.0 INDEPENDENT leveraged_etf_decay (ρ=0.95) ; multi_asset_scanner (ρ=-0.95) ; breakout_c_spike (ρ=0.94)
bond_tips_breakeven_mr_v1 0.94 auto_dna_mutation 0.0 INDEPENDENT auto_dna_mutation (ρ=0.94) ; breakout_c_spike (ρ=0.94) ; ml_bg_system_b (ρ=0.93)
bond_ig_carry_low_vol_v1 -0.95 ml_consensus 0.0 INDEPENDENT ml_consensus (ρ=-0.95) ; ai_challenge_predictable (ρ=0.94) ; fast_stocks_competition (ρ=-0.93)

Synthesis (P5)

bond_curve_momentum_v1 — MIXED
Backtest stub PF=1.03/WR=43.6/MDD=19.3/n=153. Cross-test INDEPENDENT (ρ=0.95). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
bond_tips_breakeven_mr_v1 — MIXED
Backtest stub PF=1.00/WR=54.4/MDD=22.4/n=134. Cross-test INDEPENDENT (ρ=0.94). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
bond_ig_carry_low_vol_v1 — MIXED
Backtest stub PF=1.86/WR=43.5/MDD=18.1/n=137. Cross-test INDEPENDENT (ρ=-0.95). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED