ZF, 5-Year T-Notes notes - Bonds and Interest Rates Trading | futures.io
futures.io futures trading


ZF, 5-Year T-Notes notes
Started: by Blash Views / Replies:5,047 / 46
Last Reply: Attachments:14

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 14  
 
Thread Tools Search this Thread
 

ZF, 5-Year T-Notes notes

  #41 (permalink)
Risk--->0 $--->∞
Chicago, IL
 
Futures Experience: None
Platform: NinjaTrader, TWS, FXCM's
Broker/Data: InteractiveBrokers, NinjaTrader Brokerage FXCM, IQFeed
Favorite Futures: ZF, ZN, ZB, ES, FX pairs
 
Blash's Avatar
 
Posts: 1,196 since Nov 2011
Thanks: 3,160 given, 1,617 received
Forum Reputation: Legendary

In the post quoted below made in this very thread relating to the ZF study in the link to the Master Homework and Statistics thread I made a mistake and thought I was using only RTH data. In Ninja if you use daily bars the chart will pull down the entire ETH data for OHLC & vol no matter what session template you are using. I knew this but forgot about it for this study and it just occurred to me what I did.

Turns out the data is correct on the entire day bar but not for RTH alone as I stated. My apologies.

What this does to me for me is bring the realization clearer that swing trades, of this type, have a higher probability than similar trades of a day trade nature. These swings will require greater risk parameters, meaning bigger stops at the least. Which I feel good about but can not be over looked.

Doing the 2 day study last night is what helped me to realize my error. Gap fill probabilities on 2 day bars is just over 80%. I badly need to figure out the gap sizes to make sure we are not talking about tiny little gaps that would not make a lot of sense trading. Anecdotal evidence points to this being a good trade idea but the facts will reign supreme.

Ron


Blash View Post
Just posted my ZF study here with details

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

Ron


We must be like the fountain or spring that is continually emptying itself of all that it has and is continually being refilled from an invisible source

Quoting 
The steed of this Valley is patience; without patience the wayfarer on this journey will reach nowhere and attain no goal.

Buy Low And Sell High (read left to right or right to left....lol)
Reply With Quote
The following user says Thank You to Blash for this post:
 
  #42 (permalink)
Risk--->0 $--->∞
Chicago, IL
 
Futures Experience: None
Platform: NinjaTrader, TWS, FXCM's
Broker/Data: InteractiveBrokers, NinjaTrader Brokerage FXCM, IQFeed
Favorite Futures: ZF, ZN, ZB, ES, FX pairs
 
Blash's Avatar
 
Posts: 1,196 since Nov 2011
Thanks: 3,160 given, 1,617 received
Forum Reputation: Legendary

ZN rotation study....

Posting a ZN rotation study I have done a little work on. 5 min and 30 min data 5 years back. Even though this is a ZF thread these Treasuries are all so closely related I feel all of them can be discussed and work with in this thread. I have not yet pulled out any probabilities high or otherwise from this data. But it is the idea.

Please find it here....
https://futures.io/bonds-interest-rates-trading/38882-spreadsheet-advice-zn-pricing.html#post562529

Ron

We must be like the fountain or spring that is continually emptying itself of all that it has and is continually being refilled from an invisible source

Quoting 
The steed of this Valley is patience; without patience the wayfarer on this journey will reach nowhere and attain no goal.

Buy Low And Sell High (read left to right or right to left....lol)
Reply With Quote
The following 3 users say Thank You to Blash for this post:
 
  #43 (permalink)
Elite Member
Winnipeg, Canada
 
Futures Experience: Intermediate
Platform: Sierra Chart
Favorite Futures: ES/ZB
 
Posts: 96 since Apr 2015
Thanks: 85 given, 153 received


ZFM6 5 year T-Notes "Nearing the end of Q1 2016"


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Left: Weekly DVA Analysis Right: Monthly DVA Analysis

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Left: Annual DVA Analysis Right: Monthly DVA Analysis



Price Action Analysis
  • We have a swing low in place for March @ the 119'17 levels. If we look at the profile at the year to date at the area we see a difference of at least 2:1 in volume trade above and below those prices. (highlighted in the green zone box on the monthly charts)
  • So far this month prices are being accepted near the upper range of the month as more volume continues to trade there. I can anticipate a potential break of the Monthly DVA High around the 120'14s. Seeing prices cross and seeming to hold above the Monthly VWAP is bullish as well.
  • Looking at the Annual DVA on the Daily chart of the 5 years prices in the first half of the month broke underneath the DVA low, but as I mentioned before volume didn't accompany the move and we've moved back into balance and so far have had a successful retest of the support of the DVA Low.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Left: Market Correlations between S&P, Bonds, Commodities, Yen Right: Bonds, 10s and 5s.


This is a list of market correlations I am seeing so far in Q1.
  • - Still a strong correlation between Stocks (S&P) and Commodities (GSCI) Bottom
    - The highest correlation I am seeing for US Interest Rates (30yr Bonds) is the Japanese Yen 2nd from top
    - Watching Stocks im looking at Commodities. Watching Bonds I'm looking at the Yen. In the 3rd chart from the top (Yen and Commodities) it looks like a stronger correlation has been forming just recently.
  • With stocks being bullish lately sitting at the highs of 2016 and the the correlation between commodities and the yen being stronger.. Bullish signals in stocks may also mean bullish signals for the Treasuries. So while overall we are seeing prices in a range/balance at the moment I have a slight Long bias for a potential next move in the US Treasuries, that being a break above 120'14.00 for the 5 year T Notes.



- Alexander

Reply With Quote
The following 2 users say Thank You to RielA for this post:
 
  #44 (permalink)
Elite Member
Winnipeg, Canada
 
Futures Experience: Intermediate
Platform: Sierra Chart
Favorite Futures: ES/ZB
 
Posts: 96 since Apr 2015
Thanks: 85 given, 153 received

ZFM6 5 year T-Notes "Into Q2"

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



  • We've seen prices have a pretty strong rally as we moved above last months VAH and up to Feburarys resistance levels. Prices are currently trading above March's VA and VWAP and we've seen a test of the Weekly DVA Low on Wednesday that held, signally a swing low to keep and eye on for support.
  • Swing High in place @ 121'19.25 and a swing Low @ 121'1.00. I'll be watching how price trades relative to this week's DVA and if prices can break lower and through the swing low, a likely projected move would be down to the Support area that held throughout Feb. If prices can break above the swing high put in place last week I may declare the bullish trend resumed.





- Alexander

Reply With Quote
The following user says Thank You to RielA for this post:
 
  #45 (permalink)
Zb Trader
midwest
 
Futures Experience: Intermediate
Platform: ninja trader+tws
Broker/Data: amp/cqg
Favorite Futures: zb and es
 
tbondtrader's Avatar
 
Posts: 372 since Jul 2009
Thanks: 822 given, 406 received

zf

Futures Edge on FIO
hi ron

i started looking at zf......

what targets and stops are you looking at ?

i get 7.81 tick is a good way/ method to start irioning out the kinks in a trading system

thank you for the excelll spreadsheet for zf


tb

Reply With Quote
The following user says Thank You to tbondtrader for this post:
 
  #46 (permalink)
Risk--->0 $--->∞
Chicago, IL
 
Futures Experience: None
Platform: NinjaTrader, TWS, FXCM's
Broker/Data: InteractiveBrokers, NinjaTrader Brokerage FXCM, IQFeed
Favorite Futures: ZF, ZN, ZB, ES, FX pairs
 
Blash's Avatar
 
Posts: 1,196 since Nov 2011
Thanks: 3,160 given, 1,617 received
Forum Reputation: Legendary


tbondtrader View Post
hi ron



i started looking at zf......



what targets and stops are you looking at ?



i get 7.81 tick is a good way/ method to start irioning out the kinks in a trading system



thank you for the excelll spreadsheet for zf





tb



I will be creating soonish some studies for this for my trade plan and will post them here too.

Ron


Sent from my iPhone using Tapatalk

We must be like the fountain or spring that is continually emptying itself of all that it has and is continually being refilled from an invisible source

Quoting 
The steed of this Valley is patience; without patience the wayfarer on this journey will reach nowhere and attain no goal.

Buy Low And Sell High (read left to right or right to left....lol)
Reply With Quote
 
  #47 (permalink)
Risk--->0 $--->∞
Chicago, IL
 
Futures Experience: None
Platform: NinjaTrader, TWS, FXCM's
Broker/Data: InteractiveBrokers, NinjaTrader Brokerage FXCM, IQFeed
Favorite Futures: ZF, ZN, ZB, ES, FX pairs
 
Blash's Avatar
 
Posts: 1,196 since Nov 2011
Thanks: 3,160 given, 1,617 received
Forum Reputation: Legendary

ZF clean break...

ZF made a nice clean break higher today closing out today at 122'017. I see moving toward value in the yellow ellipse with 5 potential target areas as outlined. Breaking the 121'235 high of 7/22/2016, a support and resistances area, as marked by the gold line, in a big way like this tells me there is some momentum behind this move toward value.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Ron

We must be like the fountain or spring that is continually emptying itself of all that it has and is continually being refilled from an invisible source

Quoting 
The steed of this Valley is patience; without patience the wayfarer on this journey will reach nowhere and attain no goal.

Buy Low And Sell High (read left to right or right to left....lol)
Reply With Quote

Reply



futures.io > > > > ZF, 5-Year T-Notes notes

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

2016 True Edge Awards: Voting is open until Jan 21!

Now
 

Bookmap New Indicator Panel, Cumulative Delta, Order Flow demo

Jan 17
 

An Afternoon with FIO member Massive l

Elite only

Leo Murphy: Making sense of Technical Analysis and Random Walk

Elite only
 

FuturesTrader71: Ask Me Anything

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
THE CLIFFS NOTES VERSION OF MY APPROACH TO TRADING tigertrader Beginners and Introductions 3 July 8th, 2015 03:28 PM
NinjaTrader 7 release notes Big Mike NinjaTrader 156 February 28th, 2014 03:42 PM
Notes From the Edge of Life... kbit Jokes 0 March 23rd, 2012 01:53 PM
Research Notes for Traders sysot1t Beginners and Introductions 2 June 10th, 2011 12:23 PM


All times are GMT -4. The time now is 05:35 PM.

no new posts
Page generated 2017-01-17 in 0.13 seconds with 20 queries on phoenix via your IP 174.129.120.155