Thursday, 28 June 2007

New 13-Wk T-Bill Yield Setup is Bearish

I just posted results of a really interesting new setup for the 13-Week Treasury Bill Yield on my "Profit/Loss Results" page (click the link to the right). The setup is based on the Commitments of Traders data for the 3-Month Eurodollars.

Specifically, I'm fading the small traders when they hit specific historic extremes of bullishness and bearishness. (There's no COTs data for the T-Bills, but the Eurodollars give great signals for this market.)

The setup flipped to bearish on the T-Bill yield in the COTs report dated Feb. 27, 2007 (with a one-week trade delay) and remains bearish right now. (Bearish on the yield means the yield goes down.) For how this all works, click the explanatory links to the right.

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