I'm puzzled - sanity check

[Stefan Schulz <prog1@xxxxxxxxxxxxxx>]

Hi,

I'm playing with a swing trading idea for bond futures and noticed 
something odd while backtesting.  The U00, Z00 and H01 contracts produce 
uniformly lousy results in T-bonds, Long Gilt and Bund.  Contracts before 
and after produce decent results.  This appears to be because the system 
thrives on volatility and because volatility was comparatively low during 
the three quarters concerned.

I cannot find any other period over the last ten years or so in which this 
happens but still suspect there was a fundamental reason for it.

Anyone care to guess what went on or why ?

Regards,
Stefan Schulz
Suaviter Limited