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

  #41 (permalink)
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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


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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  #42 (permalink)
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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

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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  #43 (permalink)
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ZFM6 5 year T-Notes "Nearing the end of Q1 2016"


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Left: Weekly DVA Analysis Right: Monthly DVA Analysis

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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.


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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

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  #44 (permalink)
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ZFM6 5 year T-Notes "Into Q2"

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  • 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

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  #45 (permalink)
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zf

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

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  #46 (permalink)
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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


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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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  #47 (permalink)
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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.

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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
 
  #48 (permalink)
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SMCJB View Post
Greetings. I'm an energy trader not a Bond trader but I like to continually learn as much as I can about every market, hence I found myself reading this thread and particularly found your post interesting. As such I know what NOBs are but have never traded them. I do trade a large amount of energy spreads, and butterflies though, which made me think. Did you ever look at trading NOB Butterflies?

It's been a year since you posted this and I think I never replied. Sorry. I have traded some butterflies but not NOB calendar butterflies (as you said, there are not many back month contracts with liquidity). The preferred butterfly of NOB traders is the 5-10-30 butterfly, but my experience is that most of the pros who traded it did so defensively, which is a strategy I HATED. In other words, they'd get stuck in a questionable NOB or FITE trade (ZF/ZN) and "hedge" it by doing the opposite in the other spread. E.G. long the NOB and stuck, so sold the FITE. If the NOB traded 2/1 and the Fite traded 3/2, they'd be short 1 ZB, long 4 ZN, and short 3 ZF. Personally I thing defensive spreading is stupid. It takes you out of the market until you exit the whole thing, with a good chance you'll still never break even on the spread. That being said, some truly great traders including Frank Brumfield (brother of TT founder Harris Brumfield) traded the butterfly a lot.

"You don't need a weatherman to know which way the wind blows..."
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  #49 (permalink)
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Lets see if this thread can get any traction......

I always have these ZF charts up....same charts for ZN and ZB too as well as ES, YM and NQ for that matter......

Week
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Day
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120min
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125000 vol
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I like short Interest Rates they are all about the same chart. ZF has been in this range since November 2016...Currently at its top edge of value.... looking for the start of a down move back toward value to exploit.

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)
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