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Refunding auctions start today
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Refunding auctions start today

  #11 (permalink)
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Auction Results Bonds, Notes and Bills 1997-2011

The auction results are here, but you need to open each file individually to get hold of the information.

Institutional - Previous Announcements and Results

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  #12 (permalink)
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Fat Tails View Post

This is nothing more than a seasonal analysis for agricultures, just that the season analyzed is not several months, but several days long. If I can identify a specific pattern, I can use it as a filter to improve my entry and exit signals.

I completely agree. A known pattern of events repeated on a schedule.

"You don't need a weatherman to know which way the wind blows..."
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  #13 (permalink)
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jstnbrg View Post
I completely agree. A known pattern of events repeated on a schedule.

Anybody has an idea how to avoid copying that stuff by hand?

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  #14 (permalink)
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Fat Tails View Post
Anybody has an idea how to avoid copying that stuff by hand?

You mean each .pdf, or each .xml file ?

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  #15 (permalink)
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sam028 View Post
You mean each .pdf, or each .xml file ?

Maybe somebody has already put together the results of the auctions over the last years.

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Fat Tails View Post
Maybe somebody has already put together the results of the auctions over the last years.

I'll do it. The two year note auction is not the same week as the 3/10/30. I'm thinking you want that one because it corresponds to ZT?

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  #17 (permalink)
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jstnbrg View Post
I'll do it. The two year note auction is not the same week as the 3/10/30. I'm thinking you want that one because it corresponds to ZT?

Here are the Two Year Note auction results from 2008 through 2010. There has not yet been a Two Year auction in 2011.

It's late. I'm going to bed, I'll finish tomorrow.

"You don't need a weatherman to know which way the wind blows..."
Attached Files
Register to download File Type: xls Treasury Auction Results 2008 to 2011.xls (17.5 KB, 10 views)
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  #18 (permalink)
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jstnbrg View Post
Ok, but it will take awhile, and I'm trading now. I'll work on it this evening. On another topic, if you think floor pivots give good entry levels, I'll definitely take a look at them.

It is always difficult to draw a line somewhere and declare it an entry or exit level. So you need something to increase the probability further.

-> if the level is situated outside a Keltner Channel or other volatility band
-> if it is reinforced by yesterday's high or low, or a fibonacci line
-> if price is in a trading range (night session or ranging days)

The levels PP, R2 and S2 are stronger that the other values.

Pivots depend on the volatility of the prior day, so if the prior day was a narrow range day, the pivots are closely clusted and you may need to watch out for S3, S4 and R3, R4 to have significant support or resistance.

Here are some examples, I use RTH pivots for all instruments except for currencies, for which I use ETH pivots.

Attached Thumbnails
Refunding auctions start today-pivots-6e.jpg   Refunding auctions start today-pivots-cl.jpg   Refunding auctions start today-pivots-es.jpg   Refunding auctions start today-pivots-gc.jpg   Refunding auctions start today-pivots-tf.jpg   Refunding auctions start today-pivots-zb.jpg   Refunding auctions start today-pivots-zn.jpg  
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Auction Data

Attached is the most recent update of my auction results spreadsheet. It includes 2,3,5,7 year note auctions from 2008 through 2010. I'll probably finish this tomorrow, with 10 and 30 yr. auctions. I'm not planning on doing TIPS auctions. Since this project is primarily about seeing how Treasury auctions impact price behavior before and after the auctions, probably the most important data is the auction date. I'll double check these before posting the final version. I have found one error already, there may be others.

"You don't need a weatherman to know which way the wind blows..."
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Register to download File Type: xls Treasury Auction Results 2008 to 2011.xls (25.0 KB, 6 views)
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  #20 (permalink)
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Final Update auction results 2008-2011


Here's the final update, all non TIPS coupon auction results from 2008 to 2011. The dates are all proofread, the numbers are not. The dates are what are most important IMO.

"You don't need a weatherman to know which way the wind blows..."
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Register to download File Type: xls Treasury Auction Results 2008 to 2011.xls (34.5 KB, 8 views)
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