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| JUN 1989
U.S. Treasury auctions and technical analysis by Gerald S. Celaya
U.S. Treasury auctions and technical analysis by Gerald S. Celaya The auction process in the Treasury bond market creates a problem for technical analysts—the newly auctioned issue has none of the historical price data needed for technical analysis and prices for the new bond are usually quite different from prices of the old bond due to different maturities and coupons. Charts, as well as databases, are affected by the bond auction. Technical indicators—trend-following or momentum oscillators—require historical data. Thus, the lack of data limits the usefulness of most technical trading systems for the new issue. There are many methods that attempt to solve this rollover problem, but I believe keeping a database of yields and then converting the yields to price for the newly auctioned issue will solve the rollover problem quite well.
by Gerald S. Celaya
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