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ZF, 5-Year T-Notes notes
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ZF, 5-Year T-Notes notes

  #11 (permalink)
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Took a look at ZN last week and saw it in a new light I guess because I really liked what I saw. I tend to love lots of depth on the book and ZN is king at least for what I saw. Going to be adding ZN research to this thread as well as ZF. Some simpler type studies coming soon, less time consuming ones basically. But other full studies also just not til end of February.

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
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  #12 (permalink)
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My instruments of focus right now are the US Treasuries specifically the 5yr T Note. Would you mind if I also contributed my analysis to this thread?

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  #13 (permalink)
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ZF, 5-Year T-Notes notes



RielA View Post
My instruments of focus right now are the US Treasuries specifically the 5yr T Note. Would you mind if I also contributed my analysis to this thread?


No of course not please by all means. I'm about to post a ZF RTH range study I have 95% complete. I just need to do one more small piece. It's on seven years of data. Hopefully tonight I will have some time.

Ron


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It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
Reply With Quote
 
  #14 (permalink)
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My analysis of market prices is fairly straightforward. Its based off Wyckoff Methods and Auction Theory.

I start by simply determining the environment of the market:

1) In Balance. This is your typical ranging or consolidation phases with higher liquidity at all prices because there is a general agreement in price between buyers and sellers.
2) Out of Balance. This is the more trending or volatile market phase. The difference in opinion between buyers and sellers creates a relative lapse in liquidity on one side of the bid/offer creating a directional move in prices.

To analyze these phases I use a combination of 3 market indicators: The Volume Profile, Developing Value Area and the VWAP. I spread these over Daily, Weekly, Monthly and Annual time frames. Though my analysis here will focus on Weekly and Monthly.



ZFH6 (5 Year T-Notes March) Going into the first week of February 2016

Weekly on Left, Monthly on Right
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  • January has seen a relatively strong directional move to the upside for the duration of most of the month.
    The last two weeks have seen a balance form between 19'28 and 20'13.
    However overnight from Thursday to Friday saw prices move up from this balance and approach the Highs of 2015.
  • It may take some time for prices to move above last years highs' but so long as we're seeing prices hold above the 19'28 balance low I feel is a bullish signal for ZF prices in Feb.
    Even more so if prices hold above the balance highs of 20'13.
  • With employment numbers ahead this week I dont expect the recent volatility seen in the ZF to decrease.
    We might see some nice swings occur early in Feb as the Average Daily Range throughout Jan remained pretty consistent between 10-15 points.

- Alexander

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  #15 (permalink)
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I was up somewhat late last night working some more on this ZF study l will post but finding it a bit hard to believe what I am finding so I expanded it out to all the ZF data I could get my hands on, about 11 years and feel I might of made a few slight errors due in part to the lateness of the hour and just me and my lack of superb skills. That being said I hope I didn't...lol... Because I like the results. Tomorrow I will finish it up or work like heck to and post it. I also added a gap study (the part I like a lot) and OIR OOR, time references as well as a pivot table for crunching.

Ron


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It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
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  #16 (permalink)
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ZFH6 (5 Year T-Notes March) Mid Week Feb 1 - 5

Weekly Left, Monthly Right
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  • Monday we saw prices retrace down to the Balance high of '13.00 and hold. Tuesday we have pushed off of that level into new highs.
    As long as prices remain above last months Value High ('13.00) I believe in a strong bullish bias for the ZF.
  • Intraday Tuesday we see prices move above Mondays high of '24.75 and hold through three retests during the afternoon. I will watch this level throughout the week as mild support in this uptrend.
  • So long as the US Dollar remains at relatively high levels, doing business in the US is going to be more expensive for international companies and investors.
    If the performance of the stock market in January is a good indicator of how the rest of the year may go, I think that amid all these global economic concerns US money will flow out of stocks and into bonds. This may be the dominant correlation we see throughout 2016.


- Alexander


Last edited by RielA; February 2nd, 2016 at 04:03 PM.
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ZF, 5-Year T-Notes notes

Still working on ZF study.... Ready soon

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)

Last edited by Blash; February 3rd, 2016 at 02:58 AM.
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  #18 (permalink)
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Well with our vacation coming up in a few days I did not have much time to devote to this ZF study today. But I did have sometime and researched though the Excel functions and found the MATCH function and it's going to be easier, more accurate and just better for calculating off these crazy ways a point is chopped up in 5yr notes. ZN will go much faster too now that I have this generic way. It's so much easier in Index Futures and straight forward to calculate ranges between levels (high-low etc) it sick but the trade off (pun intended) is the probabilities are turning out so much better in interest rates. So now looking to post it tomorrow....

Ron


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It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
Reply With Quote
 
  #19 (permalink)
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Just posted my ZF study here with details

Its not done yet but zero time ...leaving tomm morning super early......

Ron

It is an axiomatic fact that while you meditate you are speaking with your own spirit. In that state of mind you put certain questions to your spirit and the spirit answers: the light breaks forth and the reality is revealed.
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
Reply With Quote
 
  #20 (permalink)
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ZFH6 (5 Year T-Notes March) End of Week Feb 1-5

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  • This week has seen the 5 year rise to new highs of 121'11.50. Prices were rising steady Tuesday and Wednesday and now has found some temporary balance up here roughly between the 120'24.75 low and 121'7.75 high.
  • In the coming week I'm primarily anticipating prices to hold in this balance area. If we fall off I expect a move down to last months Value High @ 120'13.75 and potentially as low as 119'28s.
    We could also see prices break from this balance and continue higher. For this id like to see some solid volume accumulate above the highs before confirming a clean push higher again.
  • On a side note its nice to see we're having some great trends in the Treasuries so far 2016. This is an exciting market at the moment.


- Alexander

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