Rates and treasuries

7 published documents · Canli Capital research, by Arhan Canli

Auction concession, pre-FOMC drift, swap-spread dislocation and curve carry — including the identities that turned out not to be observable as pre-registered.

Economic-Trend Sleeve, macro-fundamental trend (campaign): a killed candidateTrend on first-release macro vintages (payrolls, CPI, IP, credit spreads, yields, dollar) driving the 17-ETF basket by a pre-committed economic sign matrix.
Point-in-time cash and collateral financing replayAlphaForge can now accrue explicit cash-credit, margin-debit, and short-collateral rates inside the event-driven backtester.
Pre-FOMC announcement drift — no-return feasibility protocolCan the scheduled FOMC decision calendar and exact statement-release clock be reconstructed from official Federal Reserve sources without using market…
PRE-REGISTRATION — post-publication pre-FOMC announcement driftDeclared 2026-08-16 after official schedule-lineage PASS and before opening any market return associated with this identity.
Rates-Curve Carry (campaign): a killed candidateRobustly NEGATIVE, not fragile-positive: the signal points the wrong way — steepest curves preceded the worst duration drawdowns (2022).
Treasury auction concession — no-return feasibility protocolThis stage reads only official US Treasury auction metadata. It does not load prices, calculate returns, select an entry window, or spend a return identity.
Treasury auction concession — published-identity timing auditThe official event manifest passed its metadata gates, but the primary paper's tradable identity starts ten trading days before a 2-year note auction.