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.