backtest / rates / 2-Year Treasury Note · UST 10YUST 5YUST BOND
2-Year Treasury Note the file, every extreme since 2006
★ FREE SAMPLE FILEseparate extremes on file (back-to-back extreme weeks count once), numbered on the chart, none hidden
3y percentile
99.4
cot index
100.0
z-score · 156w
2.19
weeks in zone
7
report as of
2026-09-15
the 2-Year Treasury Note report →is 2-Year Treasury Note stretched now? →
Every UST 2Y trade on file · 30 since 2006+
Historical analysis for information and education only, not advice, not a recommendation, not a solicitation. Results are model-based (front-month price proxies, weekly data), can contain errors, and would differ with costs, slippage and live execution. Past performance is no indicator of future results.
Every trade on file
30 extremes · back-to-back weeks count once · numbered on the tapearrows = the trade we take (numbered #): ▲ green = fade long (below the bars, crowd is short), ▼ red = fade short (above the bars, crowd is long) · ● = the turn, else the selected trade’s W13 window close marks where it ended · tap a numbered arrow to open its trade file
trade #30 · crowd short → fade long · confirm
report 2026-03-24 · entry 2026-03-30 · no turn within 13w
needed for a “turn”
0.4%
4w outcome
✓ 0.0%
8w outcome
✗ -0.3%
13w outcome
✗ -0.5%
26w outcome
open
peak fade, best case, in hindsight
+0.0%
days to the turn
—
dip to sit through first
—
crowd first cut
week 1
top-4 concentration
13 pctl
VIX regime
95 pctl
dollar / rates 26w
↓ / ↑
● trend w/ crowd ○ divergence ● OI expanding ○ high vol ○ fast build ○ H2
the exit is the clock, not a choice: every trade is graded at fixed gates (W1 / W2 / W4 / W8 / W13) and the window simply closes at W13, win or lose · no stops, no targets · 26w = aftermath, tracked but not part of the test
| # | report | entry | crowd → fade | 4w | 8w | 13w | 26w | turned | peak fade (hindsight) |
|---|---|---|---|---|---|---|---|---|---|
| #30 | 2026-03-24 | 2026-03-30 | short → long | ✓ 0.0% | ✗ -0.3% | ✗ -0.5% | open | — | +0.0% |
| #29 | 2024-11-05 | 2024-11-11 | short → long | ✗ +0.3% | ✗ 0.0% | ✗ 0.0% | ✓ +0.6% | — | +0.6% |
| #28 | 2023-12-05 | 2023-12-11 | short → long | ✓ +0.8% | ✓ +0.5% | ✓ +0.1% | ✗ +0.2% | 2023-12-22 | +0.8% |
| #27 | 2023-05-09 | 2023-05-15 | short → long | ✗ -1.3% | ✗ -1.0% | ✗ -1.8% | ✗ -1.6% | — | — |
| #26 | 2022-12-06 | 2022-12-12 | short → long | ✗ +0.4% | ✗ -0.3% | ✓ +1.0% | ✗ -0.5% | 2023-03-17 | +1.0% |
| #25 | 2022-09-06 | 2022-09-12 | short → long | ✗ -1.5% | ✗ -2.3% | ✗ -1.2% | ✗ -0.6% | — | — |
| #24 | 2021-11-09 | 2021-11-15 | long → short | ✓ +0.1% | ✓ +0.8% | ✓ +1.7% | ✓ +3.6% | 2021-12-07 | +3.6% |
| #23 | 2021-08-03 | 2021-08-09 | long → short | ✗ 0.0% | ✓ +0.2% | ✓ +0.4% | ✓ +2.3% | 2021-10-01 | +2.3% |
| #22 | 2021-03-09 | 2021-03-15 | short → long | ✗ 0.0% | ✗ 0.0% | ✗ -0.1% | ✗ -0.1% | — | — |
| #21 | 2020-11-03 | 2020-11-09 | short → long | ✗ 0.0% | ✗ 0.0% | ✗ +0.1% | ✗ 0.0% | — | +0.1% |
| #20 | 2017-10-03 | 2017-10-09 | short → long | ✗ -0.1% | ✗ -0.4% | ✗ -0.8% | ✗ -1.5% | — | — |
| #19 | 2017-07-03 | 2017-07-10 | short → long | ✓ +0.2% | ✓ +0.3% | ✓ -0.2% | ✗ -1.1% | 2017-09-05 | +0.3% |
| #18 | 2016-03-22 | 2016-03-28 | short → long | ✓ 0.0% | ✗ -0.1% | ✓ +0.5% | ✓ +0.2% | 2016-06-24 | +0.5% |
| #17 | 2015-11-24 | 2015-11-30 | short → long | ✗ -0.2% | ✗ +0.1% | ✓ +0.1% | ✓ +0.2% | 2016-02-04 | +0.2% |
| #16 | 2014-09-16 | 2014-09-22 | short → long | ✓ +0.1% | ✓ -0.1% | ✗ -0.2% | ✗ 0.0% | — | +0.1% |
| #15 | 2014-04-15 | 2014-04-21 | short → long | ✓ +0.2% | ✓ 0.0% | ✓ -0.1% | ✗ 0.0% | 2014-05-20 | +0.2% |
| #14 | 2014-01-14 | 2014-01-21 | short → long | ✓ +0.2% | ✓ +0.1% | ✓ 0.0% | ✗ -0.2% | 2014-02-03 | +0.2% |
| #13 | 2013-09-17 | 2013-09-23 | short → long | ✗ 0.0% | ✗ +0.1% | ✗ 0.0% | ✗ -0.1% | — | +0.1% |
| #12 | 2012-07-31 | 2012-08-06 | long → short | ✗ 0.0% | ✗ 0.0% | ✗ 0.0% | ✗ +0.1% | — | +0.1% |
| #11 | 2012-03-27 | 2012-04-02 | short → long | ✓ +0.2% | ✗ +0.2% | ✗ +0.1% | ✗ +0.1% | — | +0.2% |
| #10 | 2010-12-14 | 2010-12-20 | short → long | ✗ -0.1% | ✗ -0.5% | ✗ 0.0% | ✗ +0.4% | — | +0.4% |
| #9 | 2010-09-14 | 2010-09-20 | short → long | ✗ +0.1% | ✗ -0.1% | ✗ -0.2% | ✗ -0.3% | — | +0.1% |
| #8 | 2009-12-01 | 2009-12-07 | long → short | ✓ +0.6% | ✓ +0.1% | ✓ +0.1% | ✗ -0.2% | 2010-01-04 | +0.6% |
| #7 | 2009-06-23 | 2009-06-29 | long → short | ✓ +0.5% | ✓ +0.2% | ✓ -0.2% | ✗ +0.5% | 2009-08-07 | +0.5% |
| #6 | 2009-03-17 | 2009-03-23 | long → short | ✗ +0.4% | ✗ +0.1% | ✓ +0.3% | ✗ 0.0% | 2009-06-08 | +0.4% |
| #5 | 2007-12-04 | 2007-12-10 | long → short | ✓ -0.9% | ✗ -1.9% | ✗ -3.0% | ✗ -0.4% | — | — |
| #4 | 2007-01-16 | 2007-01-22 | short → long | ✗ +0.2% | ✓ +0.5% | ✓ +0.5% | ✓ +0.7% | 2007-02-27 | +0.7% |
| #3 | 2006-09-19 | 2006-09-25 | short → long | ✓ -0.3% | ✗ -0.1% | ✗ -0.1% | ✗ +0.2% | — | +0.2% |
| #2 | 2006-06-20 | 2006-06-26 | short → long | ✓ +0.3% | ✓ +0.7% | ✓ +0.9% | ✓ +0.8% | 2006-07-28 | +0.9% |
| #1 | 2006-01-31 | 2006-02-06 | short → long | ✗ -0.3% | ✗ -0.4% | ✗ -0.7% | ✗ -0.6% | — | — |
✓/✗ = counter-crowd move ≥ the vol-scaled threshold within the horizon · green rows = the turns · peak fade = the best the fade paid at any horizon (known only in hindsight, not an entry claim) · worst-case runs live under timing & risk · data: release r2
What the file says
Speculators have been this long 7 times here since 2006, every case counted, through today. Price reversed within 8 weeks in 4 of 7 (57%), against a 42% chance of the same move in any random week. History alone doesn’t settle this one. That is where your read comes in.
n=7 de-clustered episodes 2006→today · CI [—, —] · inference split: 2/5 stated on 2006–2018, 2/2 receipted on 2019→ · placebo p=— · FDR family: 930 cells, q=0.10
Anatomy
how the reversals here actually unfolded14 of 30 extremes here ended in a reversal within 13 weeks. The ones that turned took a median 5.3 weeks and first ran 0.1% further against the fade (the bet against the crowd). The ones that never turned cost a median 0.1% over 26 weeks, the price of fading a crowd that was simply right.
THE TURN FINGERPRINT · UST 2Y
its own 14 real turns vs 16 times the crowd was right · each condition on a 0–100 scale of its own 3-year history
● when it turned ● when it ran on now · a map for your read, not a rule
Fingerprint at the extreme
When it turned, the wait was 5.3 weeks (median).
5.3 vs —Before turning, the fade first ran 0.1% against you: the shakeout you had to sit through.
0.1% vs —How dominant were the four biggest traders when it turned, vs when the crowd was right?
34 vs 70How many speculator accounts were crowding the extreme?
56 vs 72How hard were the commercials (the hedgers) leaning the other way?
87 vs 96Where did the small (retail) accounts sit?
29 vs 44Was the market already moving hard (realized volatility)?
51 vs 11How far did price sit from its 52-week extreme?
0.4% vs 0.4%What was the equity-fear backdrop (VIX)?
27 vs 35How often was the dollar rising into the extreme?
64% vs 38%How often did the crowd start cutting within 4 weeks?
93% vs 100%What did fading pay over 26 weeks: when it turned, and when the crowd was simply right?
+0.2% vs -0.1%green = the 14 that turned · red = the 16 that ran on · switch to the raw table for the full grid
This market’s own cases, taken apart: a map for your read, not a rule.
What marked the turns
measured at the actual top or bottom of every reversalFor each of the 489 reversals on file we located the actual top or bottom in the daily data, then measured which everyday events showed up first. The catch, printed with it: these events also fire in normal weeks. Only the crowded extreme makes them worth listening to.
| event after the top/bottom | marked the turn | typically after | move still ahead | false alarms |
|---|---|---|---|---|
| first close beyond the 5-day level, against the crowd | 100% of turns | 2 days | 81% | ~57× / year |
| first close beyond the 10-day level | 100% of turns | 5 days | 72% | ~40× / year |
| first report where the specs cut | 100% of turns | 5 days | 63% | weekly report |
| open interest drains (≥2% in a week) | 79% of turns | 8 days | 75% | weekly report |
this market’s 14 turns · What marked past turns, measured at the actual swing point of every reversal. The same price triggers fire all year · the extreme is what makes them worth listening to. Descriptive forensics, receipted across eras like everything else.
The record
reversals / episodes vs baseline, 2006 → todayA reversal = a move against the crowd too big to be this market’s normal noise: 0.75× its own volatility, scaled to each window, measured from the first open you could trade. Thin cells hold only a handful of cases, read them as war stories, not statistics.
CROWD LONG → FADE SHORT
| definition | 1w | 2w | 4w | 8w | 13w | 26w |
|---|---|---|---|---|---|---|
| COT index ≥95/≤5 | 6/10 vs 32% | 4/10 vs 35% | 2/10 vs 37% | 4/10 vs 42% | 5/10 vs 43% | 4/10 vs 41% |
| net %OI percentile ≥95/≤5 | 5/7 vs 32% | 6/7 vs 35% | 4/7 vs 37% | 4/7 vs 42% | 5/7 vs 43% | 2/7 vs 41% |
| z-score beyond ±2 | 4/6 vs 32% | 4/6 vs 35% | 2/6 vs 37% | 4/6 vs 42% | 3/6 vs 43% | 2/6 vs 41% |
| flush at the extreme | — | — | — | — | — | — |
| extreme + price divergence | 3/5 vs 32% | 4/5 vs 35% | 2/5 vs 37% | 3/5 vs 42% | 4/5 vs 43% | 2/5 vs 41% |
| extreme + 4-week price failure | 3/7 vs 32% | 2/7 vs 35% | 2/7 vs 37% | 3/7 vs 42% | 2/7 vs 43% | 2/7 vs 41% |
| commercial capitulation | 1/2 vs 32% | 1/2 vs 35% | 2/2 vs 37% | 2/2 vs 42% | 2/2 vs 43% | 2/2 vs 41% |
CROWD SHORT → FADE LONG
| definition | 1w | 2w | 4w | 8w | 13w | 26w |
|---|---|---|---|---|---|---|
| COT index ≥95/≤5 | 8/19 vs 31% | 9/19 vs 34% | 10/19 vs 34% | 10/19 vs 33% | 8/19 vs 32% | 6/18 vs 34% |
| net %OI percentile ≥95/≤5 | 8/23 vs 31% | 9/23 vs 34% | 10/23 vs 34% | 7/23 vs 33% | 9/23 vs 32% | 5/22 vs 34% |
| z-score beyond ±2 | 5/16 vs 31% | 6/16 vs 34% | 7/16 vs 34% | 8/16 vs 33% | 8/16 vs 32% | 5/15 vs 34% |
| flush at the extreme | 1/4 vs 31% | 2/4 vs 34% | 2/4 vs 34% | 1/4 vs 33% | 2/4 vs 32% | 2/4 vs 34% |
| extreme + price divergence | 6/11 vs 31% | 6/11 vs 34% | 7/11 vs 34% | 6/11 vs 33% | 6/11 vs 32% | 4/11 vs 34% |
| extreme + 4-week price failure | 4/17 vs 31% | 3/17 vs 34% | 3/17 vs 34% | 3/17 vs 33% | 3/16 vs 32% | 5/16 vs 34% |
| commercial capitulation | — | — | — | — | — | — |
verdict on every row: open, your call · nothing here survived FDR + out-of-sample confirmation in release r2
every rate ships with its sample size and baseline · the correction machinery (FDR, placebo tests, splits) lives in the methodology
Did any condition separate the movers from the rest?
Six conditions, written down before we looked at the results. Each one tested on this market’s cases and across all 43 markets, sample sizes shown, so you can weigh them yourself. None of them is a rule. The separations are thin. The read stays yours.
| scope | condition | side | with | without | raw p |
|---|---|---|---|---|---|
| UST 2Y | momentum divergence (13w) | short | 20% (n=5) | 50% (n=10) | 0.580 |
| UST 2Y | open interest expanding | short | 60% (n=5) | 30% (n=10) | 0.329 |
| UST 2Y | second half of year | short | 25% (n=8) | 57% (n=7) | 0.315 |
| all markets | trend with crowd (26w) | long | 34% (n=317) | 35% (n=62) | 0.884 |
| all markets | momentum divergence (13w) | long | 38% (n=48) | 34% (n=331) | 0.628 |
| all markets | open interest expanding | long | 34% (n=219) | 34% (n=160) | 1.000 |
| all markets | high-vol regime | long | 31% (n=144) | 36% (n=235) | 0.373 |
| all markets | extreme reached fast | long | 33% (n=227) | 37% (n=152) | 0.440 |
| all markets | second half of year | long | 35% (n=184) | 34% (n=195) | 0.914 |
| all markets | trend with crowd (26w) | short | 43% (n=327) | 35% (n=74) | 0.240 |
| all markets | momentum divergence (13w) | short | 43% (n=82) | 42% (n=319) | 0.900 |
| all markets | open interest expanding | short | 42% (n=211) | 42% (n=190) | 1.000 |
| all markets | high-vol regime | short | 39% (n=185) | 44% (n=216) | 0.363 |
| all markets | extreme reached fast | short | 43% (n=21) | 42% (n=380) | 1.000 |
| all markets | second half of year | short | 40% (n=193) | 44% (n=208) | 0.479 |
| all markets | trend with crowd (26w) | both | 39% (n=644) | 35% (n=136) | 0.497 |
| all markets | momentum divergence (13w) | both | 41% (n=130) | 38% (n=650) | 0.553 |
| all markets | open interest expanding | both | 38% (n=430) | 39% (n=350) | 0.882 |
| all markets | high-vol regime | both | 36% (n=329) | 40% (n=451) | 0.264 |
| all markets | extreme reached fast | both | 33% (n=248) | 40% (n=532) | 0.069 |
| all markets | second half of year | both | 37% (n=377) | 39% (n=403) | 0.659 |
verdict on every row: open, your call · the read stays yours
Timing & risk
measured the same way on every marketWhen the ones that turned, turned
5.3 weeks
median across the 14 cases that turned within 13 weeks · half of the turns arrived between 3.8 and 8.8 weeks after entry. Descriptive only: no confirmation trigger and no condition survived FDR + out-of-sample confirmation in release r1. Timing stats below describe past movers; they are not a validated entry edge.
What fading this market has cost
0.2%
median worst-case
0.5%
75th percentile
3.0%
worst on record
the run against you before any turn arrived, across 30 cases. Size for the worst row, not the median.
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