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Mon, November 24, 2025

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – November 21, 2025)

  • Closed Positions: The Cigna (Baa1/A-) CI 2.4 03/15/30 (short) and Amazon (A1/AA) AMZN 4.35 03/20/33 (long) both reached their avoid trading levels Wednesday November 19.

  • Enter New Longs: The trading model added Meta (AA3/ AA-) META 4 7/8 11/15/35 and META 5 1/2 11/15/45 new supply long trade indicators on 11/7. The new Amazon (A1/AA) AMZN 4.35 03/20/33 was added to the Model Trade on Monday 11/17.

  • Enter New Short Trades: The trading model added General Motors (Baa2/BBB) GM 3.6 06/21/30 as a short trade on Monday 11/17. The trading model added BP (A2/A) BPLN 4.893 09/11/33 as a short trade on Thursday 11/20 and the Toyota (A2/A) TOYOTA 4.8 01/05/34 Friday 11/21.

Current Sample Systematic Basket bond trades based on trading strategy November 24

Systematic Trading Indicators Friday: The Truist Bank (Bank Sub A3/A-) TFC 2 ¼ 3/11/30 short trade indicator reached its avoid trading level. The Systematic trading model replaces the closed out trade adding the Toyota (A2/A) short trade indicator TOYOTA 4.8 01/05/34. 6

G-255 Credit Basket Trade Statistics

Fru=iday's Basket Trade Long/Short Ratio: 70%

Systematic Long/Short Basket Trade Performance Report (January 4, 2025 – November 21, 2025)

Performance Summary: Total Trades: 186 (1% of total trade indicators).

  • Long Indicators: 126/145 reached avoid-trading levels, tightening by -9.2 bp.

  • Short Indicators: 34/41 reached avoid-trading levels, widening by +5.71 bp.

  • Remaining Longs: 19 widened by +5.73 bp.

  • Remaining Shorts: 7 tightened by -9.59 bp.

  • Average Spread Movement: ± 6.33 bp in the recommended direction.

  • Success Rate: 86% of indicators reached avoid-trading levels, which is slightly below normal.

  • Average trade holding period: 22.8 days (above average)

Disclaimer - This report is not intended as, and does not constitute an offer, or a solicitation to buy or sell any securities or financial instruments. All data, levels, opinions, and representations herein are provided for informational purposes only and should not be relied upon for making investment decisions. Past performance is not indicative of future results. The authors of this report assume no liability for losses or damages arising from the use of this information. Investors should consult with a qualified financial advisor before making any investment decisions. The information in this report is based on sources believed to be reliable, but no guarantee is made as to its accuracy, completeness, or timeliness.