by CFM
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Suggested foundations for rates and fixed income and trading research and honest backtests. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Use only information available at the simulated decision time.
Separate model selection from the final evaluation.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Reconcile signals, executions, positions and P&L.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.