10-Year Treasury Note (TY:CBOT)

Table: Descriptive Statistics Of Numerical Variable 

Date: September 28, 2009 – August 26, 2024

id

date

target

feature

coeff

185

2024-09-13 19:03:59

RatioNext

'GapAmt'

2.87

185

2024-09-13 19:03:59

RatioNext

'GapDays'

-1.30

185

2024-09-13 19:03:59

RatioNext

'Ratio'

0.0160

355

2024-09-13 21:10:31

LowNext

'relative_volume_7d'

0.0960

355

2024-09-13 21:10:31

LowNext

'Close'

1.01

355

2024-09-13 21:10:31

LowNext

'Open'

-0.0130

355

2024-09-13 21:10:31

LowNext

'HLPercent'

-0.328

355

2024-09-13 21:10:31

LowNext

'GapDays'

0.00300

10-Year Treasury Note

The 10-Year Treasury Note is a crucial benchmark for gauging interest rate expectations and economic health. It offers relatively stable yields, making it attractive to long-term investors seeking steady returns. Example: In 2024, the 10-year yield saw fluctuations as markets reacted to rising inflation concerns and Federal Reserve policy adjustments.

Predictive Variables Terms 

  • High: The highest price reached by a futures contract during a specific trading session.
  • Low: The lowest price reached by a futures contract during a specific trading session. 
  • Open: The price at which the futures contract starts trading for the day.
  • Close: The price at which the futures contract ends trading on a particular day.
  • Volume: Volume represents the total number of contracts traded during the session.
  • Ratio:  (High−Open)(Open−Low)​ represents a ratio that compares how far the opening price is from the day’s low to how far the day’s high is from the opening price. This ratio provides important insights into intraday price action in the futures market
  • HLPercent (High-Low Percent): Is ( High-Low)/Open
  • GapAmt (Gap Amount): The difference between today’s open price and yesterday’s close price.
  • GapDays: Gaps between the trading days diff (current date – last trading date)
  • Relative Volume (7-day and 2-day): The volume of trades over a specific time period relative to the average volume over the last 7 or 2 days.
  • HighOpen (High – Open): This is the difference between the high price of the trading session and the opening price.
  • OpenLow ( Open – Low): This is the difference between the opening price of the trading session and the Low price.
  • HighLow−Open: Represents the percentage range of price movement relative to the opening price in a trading session. This is a measure of volatility and intraday price action in the futures market
  • CloseOpen (Close – Open): This is the difference between the closing price and the opening price.
  • CloseLow (Close – Low): The difference between the closing price and the lowest price of the session.

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