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I'm looking to test some strategies built to react to long term changes in interest rates, corporate earnings, and inflation. I've built the infastructure and have tested SPY & TLT back to 2000's but I'd like to find assets that go further back like the SPX index and a treasury bond product.
I know the SPX data from S&P goes back to the 1800's; & I can find constant maturity bond index data going back to the 1960's (FRED: DGS10), but does anyone know of an index/product to use to backtest for treasuries further back than 1999? For example, TLT only goes back to about 2003.
Best,
Josh
Louis Szeto
Hi Josh
Although there is no equity directly provide pricing information before 2003, there is an indirect method of using the US Treasury Yield Curve dataset for approximating the corresponding bond price. Since the US Treasury is a zero-coupon bond, and the yield rate is already annualized. Its price could be calculated by discount rate:
payoff value * e^(-rt)
where r is the yield rate, t is its maturity in year
Interest rate models can also be applied (e.g. Vasicek) or bond model (e.g. LIBOR forward market model) for making r stochastic and deterministic.
This dataset dates back to 1990.
Best
Louis Szeto
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Josh M
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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