Thursday, 14 June 2007

Yields Have Topped, According to New 10-Year Treasury Setup

I've just posted the results of a new improved trading setup for the 10-year Treasury note. It's based on trading the same side as the small traders, not the usual practice of fading this group.

I've validated this setup at the 95-percent confidence level. (Ninety-five percent of the time, the average trade is expected to be profitable given a normal distribution of results.)

Also interesting is the fact the setup just gave a "bearish" signal for the 10-year yield - meaning yields may have just topped. The signal came in the COTs report dated May 22. My trade delay for this setup is one week, meaning the trade was to be executed for the open of trading on Monday, June 4.


Anonymous said...


Fascinating stuff...especially re: treasuries.

I'd like to ask a crass question if I may. Where are we going with all this? I know it's none of my business, but are you planning any of the following:

1. sharing your work in detail with readers; or
2. starting a pay to play newsletter with recommendations; or
3. just continuing your blog and posting "signals?

Thanks in advance for the input. I for one would love to make heads or tails of the COT reports, but don't have the time or programming knowledge/ability to sift through all that data.

In any event, your blog has made me rethink of the way I look at these reports.


Alex Roslin said...

Hi Jeff,

Thanks for your comment and for asking this question. I don't know what the future holds! I like the idea of sharing all this for free on this blog and don't plan to change that.

As for the details, I've been posting as many as I have time for. I'm thinking about how to publish the rest of the moving average values, but I'm still not sure. Perhaps here, in magazine stories or, who knows, maybe a book. As you may have seen, the setups are still in a bit of a state of flux as I refine and validate all this, plus find time to analyze new markets. So much to do, so little time!

Take care,

Robert said...


Please, if possible, take a look at whether a method can be applied to the Yen.

I use similar methods to the ones you describe, but I have yet to find a system that works for the yen. My personal opinion is that this is due to the fact that the yen is so heavily manipulated that COT is not as helpful.

I know that you are busy with this project, but if you do decide to take on other contracts, the yen would most likely interest many of your readers due to the huge effect of the carry trade on many other asset classes.

Alex Roslin said...

Hi Robert,

Thanks for your suggestion. It's a great one. I really would love to see what we can tell about the Yen, not to mention Euro, Pound and Swissie. It's definitely on my to-do list!

Take care,