TST levels

Commitments Of Traders

Information from the COT (Commitments Of Traders) is the base for direction detecting of analyzing financial instrument for next week. The short way for useful analyzing of the information, is create specific digital coefficients, and with help of this calculations I am making assumptions about the direction for next week on a particular pair. For example on GBP.USD release of these expectations is quite high and is equal to more than 90%.

What means COT for sell or buy?

If COT shows the direction of Sale, it does not mean that the price of a financial asset will be all week fall down - (but is more often the case). It just means that deals for sales for next week more PROFITABLE than in the Buy. Also with the direction for Buy, if COT shows the direction of Buy, then get up in the Buy positions during next week more profitable.

This is important especially when an open position does not have stop loss (SL) order (90% of my transactions – without SL) and if there something went wrong, then the analyzing of COT and other parts of my analysis help me to make right decision about my next trade decisions.

How COT is usually works over?

There are 2 variants to use the COT:
1. Immediately on Monday in the direction of COT and on Wednesday-Thursday the pair is determined, continue the direction or then turn around (I call it not the best variant);
2. I have found it the best: when Monday we go against signal of the COT and from Wednesday the price goes on direction showed by COT at beginning of the week.

An important parameter here is the price level of opening of the week. At this level, the price often stopped and turns around, as well as level price opening of the week is a target conservative strategies.

See pictures: Red variants - "cool". Green - "not like very much"

What affects the quality of the analysis?

Periods of options or futures expiration (as the current week), and very significant fundamental information on markets.

Have a good week!

In this topic will also be analyzed intraday movement GBP.USD on the basis of the author's system "Analysis of options balance". The system is based on the special calculations options levels and zones of the initial data on which are taken from the Daily Bulletin (DB) exchange CME.

The system was developed and tested in a period of 6 years. Analysis is conducted on a daily basis (every day on the basis of the report of the CME - ftp://ftp.cmegroup.com) and monthly (at option expiration day). Let's start with the daily forecasts, and later on I will show the monthly forecasts.

That will be issued at morning every day:
(see figure TST_indi_10.03_last)

1. Day borders of options balance
- topline
- downline
(in the illustration red solid)

2. The level of balance of the day
(on the picture white)

3. Mandatory zone
(figure blue rectangle)

4. Levels of TST
(dotted levels)

5. The direction of the day

6. Zone
- BUY
- SELL

7. Indices of TST
(figure idex_TST_19.03.2012)

In the first post, I will give a short description of levels and their interpretation. But since each parameter has lots of interesting properties - I will disclose them in the course of this topic.

1. Day borders of options balance

Strong levels. Often work on the rebound. The remarkable fact is that in the breakdown case - 99% will be return and retest this level. This especially applies to the strong dramatic breakdowns. This can often make a good profit. Also if the breakdown was in the second half of the American session current day very often close on this level or +/- 10-20 pips. In the example shown in the figure (TST_indi_10.03_last), had been punctured two borders. 8 March was breakdown level of 7 March and was a return to it, and the 8th of March was also breached the upper level and there was not explicit return to the level. In the analysis of directions for 9 March the factor of return on breakdown level at 8 March was the decisive one. 9 of March the directional signal were for sell. On March 9, top and bottom levels are matched - this is a 100% signal for sell.

These same borders give a very interesting signal on Thursdays. Not often. But working out of 100% over 3 years of trading and there not a single failure. I call these days of Clear Day. The signal is always for SELL. How looks that day? The upper boundary, after settlement, is lower than price of day opening. In these days are fulfilled and the Mandatory Zone and the Level of Balance of the day. I repeat: for 3 years there was not a single failure. Deterioration is 100% within 2-5 days. And in these days there is an interesting character: first, the growth of prices up, and then drop down to the target. When the price of such days is growing, I use it for sell deals. On figure (ponatnyj_den.gif) a typical Clear Day (11 may 2011). As you can see on May 12 were worked out the Mandatory zone and the Level of Day Balance.

2. The level of balance of the day

Performs the role of the "middle" of the pendulum. This is the price that would be arranged and the bears and the bulls. Often work in the current day. Often use to set the Take Profit.

In working with this I use the three properties of this level.
1. As the direction of the day. Moreover, if we go to the level from the bottom to up, it is often the case breakout and continue the direction. If we go to the level from up to bottom - often bounces up or even turn up. Most often the market is moving in the direction of untreated Balance of Wednesday and Friday. That is, most of these levels are checked.
2. As well as at the border of the range - in the breakdown should be return.
3. Another great feature: it is patterns of the Balance of the day for Wednesday, Thursday and Friday. Distinguish between three patterns: “ladder up”, “hill” and “pit” (“ladder down” - there can be but does not work).

The drawings show all three of the pattern (hill.gif, pit.gif, ladder up.gif). The properties of the patterns:
1. If the balances of the Wednesday-Thursday-Friday form the hill, the high probability, that Friday will show the bottom.
2. If the balances of the Wednesday -Thursday-Friday form the pit, then a very high probability that Friday will show the top.
3. Well and the most wonderful pattern – ladder up. He is remarkable facts that if we can see this pattern, then NO DOUBT to put a buy limit on the level of Thursday. And it works at the Buy. Very often the "distant" strong buy starts from this level, the Potential move can reach up to 150 points to 600 points.

The main condition for patterns - up to Friday none of the levels should not be done. For example 7,8 and 9 March, ladder up. But the Balance of the day was done at the same day, this means that the buy limit is not set. See figure 7_8_9_mart.gif

3. Mandatory zone

Used to set the take profit or partial closing of the transaction. The Level of the Balance of the day has the property to rebound from the level if it goes from top and go through the level if the price goes from the bottom.

4. Levels of TST

Used to place the order. They are often a reversal levels. They can be used for orders with a very short stops. On these levels and the tactics of work with them, we will talk separately later.

5. The direction of the day

Estimated direction. The calculation based on complex formulas with taking into account the various factors: from the Level of the Balance and the Mandatory zone, up to the values of special Indices TST (about them below).

What I mean by the direction of the day? If the day for SELL that does not mean that the asset price will fall down, this means that the sell trade during the day is likely to be more profitable than to buy trade. Accordingly for BUY the same.

Moreover, it is noticed that very often the price at SELL day first goes up and then fall down. This is similar to the logic of orders opening on more of the "best" price. Why sell at the current, when you can sell above, at more profitable price. Also for BUY day: before going up the price of the first sits down.

There are often very strong signals. I will describe about this signals with mark “VERY STRONG SIGNAL”. These signals are often win on period next day. They are based on the TST Indices. I will show an Example in the section about Indexes TST.

6. Zone

Buy and Sell zone - settlement zone. Most likely in these areas are the set of limit orders. Breakdown of one of the zones leads to a return to the area and coup from its borders in the reverse transaction (figure buy_sell_zone.jng). Usually zones are very strong and the bounces can be caught as for scalping, as well as for medium-term transactions.

If market with low volatility, the price may visit Buy area after Sell area, and then can go through one of zone. If market is high volatility the price will go through one zone. (See figure neotrab_buy.JPG).

7. Indices of TST

How to read them? In the figure you can see the two curves of indices. Index TST Buy and Index TST Sell. For an example, the figure shows how indexes gave the signal in December 2011 (See figure index_TST_dekabr.jpg)

Green curve is the Index of the TST Buy - responsible for Buy, red is the Index of the TST Sell - responsible for cell. So, how to interpret the signals?

If the green above a red - looking for buy day. Buy day on 99% of it when the red will fall and the green grow (it would Sell factors are weakening and Buy factors are amplified).

See drawing below are days: December 7, December 9, 22 and 23 December.

Not sure Buy is when the green is growing and the red is "dangling" - for example the day on 5 December.

This is very weak Buy when the green is "dangling" and the red going down.

In these days I am using serious volume for market entry, considering that these days very clear and it is quite understandable. Especially good signal when the indexes "disagree" in different directions.

Feature: As already mentioned very often the signal is executed on the next day. And in the day of the appearance of the signal, the market makes opposite impulse. Example, signals December 22 and 23, worked out the 27th.

Chronology of testing was the following. Signal was issued 22 December, flat price, 23 price down and 27 go up. It seems that after the signal is issued and there is orders gathering (that is, if the signal is buy, then first we're going down), the signal is amplified, amplified and the next day - voila... There are "breaking" of the signal some days. The drawdown in those days, may reach up to 220 points, but the market always gives close position as a minimum to zero.

When the analysis is not working?

A week before the expiration of the option until the expiration of the analysis may give the "failures". 1.5-2 weeks prior to the expiration of futures, as well as 1-2 weeks after the expiration of the futures. This does not mean that work in these days it is impossible. This means that in these days the risks must be reduced and conservative Many Management has to be applied. Expiration Calendar needs to have on hand. You can have a look at the link: http://www.cmegroup.com/trading/fx/g...r_futures.html

For example, on March 19- futures expiration, in virtue of its specificity, is a serious stress for the market, as in these days is the forced closure of all transactions for expired contracts. For example options expiration, closure of position happens at the request of the holder of the option contract. In this period are possible unpredictable movements and very often we can see it. If you look closely - all week Mandatory zone and the Level of the day Balance were at the top and not done (except Tuesday), so the Friday’s flight up was very likely. Even despite the fact that all of the levels and the zone of Friday far below.

In subsequent posts I gradually lay out the templates and screenshots of other important issues in working with the analysis, as well as the explanation of a very interesting medium-term monthly analysis.

хорошее начало. продолжай.

Day borders of options balance
UP 1,5963
DOWN 1,5595

The level of balance of the day 1,5716

Index TST Buy 0,2131
Index TST Sell 0,2212

Mandatory zone
1,5785
1,5748

Day direction SELL

Zone
BUY 1,5807 1,5740
SELL 1,5913 1,5980

TST Levels

SELL
S6 1,5991
S5 1,5969
S4 1,5947
S3 1,5925
S2 1,5904
S1 1,5844

BUY
B1 1,5801
B2 1,5816
B3 1,5795
B4 1,5773
B5 1,5751
B6 1,5729

Now is an interesting situation from the point of view of the direction. All movements are associated with collection of positions in futures and hedging of existing long positions.

TST Indices say about the weakening of sales, which is a desire to players go up, and the net optional advantage talks about price will reduce. It turns out that jump up will be with the desire to fall. It does not contradict to the fact that today is Wednesday and COT - SELL - everything is on the right path for the signal of the COT.

So expect either up and then fall (maybe even "good" up and tomorrow fall) or straight down.

Good luck to all and remember: MM - all of us!

Day borders of options balance
UP 1,5825
DOWN 1,5592

The level of balance of the day1,5731

Index TST Buy 0,2281
Index TST Sell 0,2366

Mandatory zone
1,5743
1,5682

Day direction SELL

Zone
BUY 1,5833 1,5790
SELL 1,5899 1,5942

TST Levels

SELL
S6 1,5991
S5 1,5969
S4 1,5947
S3 1,5925
S2 1,5904
S1 1,5844

BUY
B1 1,5801
B2 1,5816
B3 1,5795
B4 1,5773
B5 1,5751
B6 1,5729

Clear day! (the day when tested 100% goal! For 3 years of all of the goals have been worked out in the course of 2-6 sessions)

Today the nature of the day - Clear day - that is to spit up and then down.

The target of Clear day is 1,5755 and I recommend to seek enter in the area of:
6268
6165
5951
5918

And exits (conservative) - from the top edge of the mandatory zone + 5 pips + point forward (it is now 7 pips). More aggressive - close a part on the edge of Mandatory zone and fall to the bottom of the optional channel.

Indices TST and net optional advantage given the weak buy. Confirming that the probability of weak spitting up.

Day borders of options balance
UP 1,5847
DOWN 1,5649

The level of balance of the day 1,5767

Index TST Buy 0,2267
Index TST Sell 0,2432

Mandatory zone
1,5767
1,5743

Day direction SELL

Zone
BUY 1,5786 1,5750
SELL 1,5842 1,5878

TST Levels

SELL
S6 1,5924
S5 1,5906
S4 1,5887
S3 1,5869
S2 1,5851
S1 1,5809

BUY
B1 1,5772
B2 1,5777
B3 1,5759
B4 1,5741
B5 1,5722
B6 1,5704

Common thought for today: work in the continuation of the purposes of clear day.

Signal the SELL, not bright and strong, but confirmed on two of the three main attributes. Especially well it might not much, but the Index TST there's difference indices and signal for Sell

In addition to the patterns of balances Wednesday, Thursday and Friday there is my favorite pattern Ladder. This means that on the balance of Thursday it is possible to put a buy limit. The bounces at such pattern have the potentials from 75 to (attention!) 600 points. Put a buy limit on 1,5748. It's just balance on Thursday, got inside the Mandatory zone, and there is overcrowding buy levels of TST, forward point is 9 points. On 1,5756 I put a take profit for yesterday's sales.

Day borders of options balance
UP 1.5968
DOWN 1.5626

The level of balance of the day 1.5837

Index TST Buy 0.2271
Index TST Sell 0.2608

Mandatory zone
1.5834
1.5818

Day direction SELL

Zone
BUY 1.5819 1.5726
SELL 1.5917 1.5980

TST Levels

SELL
S6 1.6018
S5 1.5993
S4 1.5968
S3 1.5943
S2 1.5918
S1 1.5876

BUY
B1 1.5826
B2 1.5818
B3 1.5793
B4 1.5768
B5 1.5743
B6 1.5718

COT direction BUY (all week)

Descent to the beginning of the week and the recovery in the second half of the week. Forecast of the direction confirms the refinement of goals for Clear day and the target of the pattern Ladder.

Indirect signs SELL: the upper limit of the channel to sell zone - first, and the indices TST talk about the sell - two. In the case if the price is grows on beginning of the week - sell limit from 1,5960.

Yellow variant - really good!

Day borders of options balance


Верх 1,6033
Низ 1,5923



The level of balance of the day 1,5816




Index TST Buy 0,2293
Index TST Sell 0,2591



Mandatory zone


1,5932
1,5916



Day direction SELL



Zone


BUY 1,5947 1,5928
SELL 1,5979 1,5998

TST Levels

SELL
S6 1,6086
S5 1,6066
S4 1,6045
S3 1,6025
S2 1,6004
S1 1,5968


BUY
B1 1,5927
B2 1,5922
B3 1,5901
B4 1,5881
B5 1,5860
B6 1,5840

http://zukkerro.ru/wp-content/upload...t_27032012.jpg

Day borders of options balance

UP 1,6004
DOWN 1,5809

The level of balance of the day 1,5849


Index TST Buy 0,2288
Index TST Sell 0,2873

Mandatory zone
1,5892
1,5865

Day direction SELL

Zone
BUY 1,5919 1,5884
SELL 1,5975 1,6010

TST Levels

SELL
S6 1,6128
S5 1,6097
S4 1,6067
S3 1,6037
S2 1,6007
S1 1,5950

BUY
B1 1,5890
B2 1,5887
B3 1,5857
B4 1,5827
B5 1,5797
B6 1,5766

Ladder and the target of Clear day - in force.

GBP.USD - Clear day again. Expecting to spit up and then fall.

The target of today Clear day is №1 – 1,5862 and №2 – 1, 5817

Sell is confirmed also by Indices of TST and an absolute preponderance.

Day borders of options balance
UP 1,5920
DOWN 1,5797

The level of balance of the day 1,5803

Index TST Buy 0,2456
Index TST Sell 0,3513

Mandatory zone
1,5849
1,5796

Day direction SELL

Zone
BUY 1,5935 1,5914
SELL 1,5971 1,5992

TST levels

SELL
S6 1,6033
S5 1,6020
S4 1,6007
S3 1,5993
S2 1,5980
S1 1,5914

BUY
B1 1,5887
B2 1,5926
B3 1,5913
B4 1,5899
B5 1,5886
B6 1,5873

Day borders of options balance
UP 1,6049
DOWN 1,5866

The level of balance of the day 1,6047

Index TST Buy 0,2245
Index TST Sell 0,5277

Mandatory zone
1,6010
1,6005

Day direction SELL

Zone
BUY 1,5995 1,5962
SELL 1,6047 1,6080

TST levels

SELL
S6 1,6117
S5 1,6101
S4 1,6085
S3 1,6069
S2 1,6053
S1 1,6032

BUY
B1 1,6000
B2 1,5989
B3 1,5973
B4 1,5957
B5 1,5941
B6 1,5925

A strong signal to sell. So today it is possible another jump up (on 1,6110 - 1,6120) there can be sold again.

The Index of the TST (the morning forecast) was not deceived, abnormal signal on sale - worked.

On the screenshot with Index TST see how powerful was the signal.

I recommend to close a part of sales. And I continue to expect a decline in the objectives of Clear Days.

EUR.USD signal to sell just worked out. When the signal of Clear Day for GBP.USD I selling EUR.USD in parallel. 1,3256 was identified as the goal of the day.

There are again Clear Day!

Day borders of options balance
UP1,5897
DOWN 1,5821

The level of balance of the day 1,5838

Index TST Buy 0,2460
Index TST Sell 0,5268

Mandatory zone
1,5860
1,5834

Day direction SELL weak

Zone

BUY1,5901 1,5888
SELL 1,5923 1,5936

TST levels

SELL
S6 1,5981
S5 1,5969
S4 1,5958
S3 1,5946
S2 1,5935
S1 1,5897

BUY
B1 1,5874
B2 1,5889
B3 1,5878
B4 1,5866
B5 1,5855
B6 1,5843

I recommend offload some of sales at this level and with a small amount of to go to the levels of 1,5803 and 1,5731. Buy Limit of 1,5731there are pattern Ladder. And also... don't forget about the nature of the day - today it is possible ascent and descent. If the goals of today's Clear Day before go up did not work and the mandatory zone also - recommend adding sale with a small volume – on the level opening of the week. I have put Sell Limit on 1,6000.

Indices TST give a signal (the convergence of curves in a sell position is rolled up). Absolute advantage gave a faint sell.

Good luck and don't forget that tomorrow expiration. Keep the MM and do not ignore my advice to offload sales position.

Today’s forecast for Clear Day is worked. Completely. The mandatory zone and the balance of the day also well. It is done without jumping up.

The sale of the top closed almost completely - because now completed and the mandatory zone of Friday's Clear Day (yellow rectangle).

Now I am waiting for expiration tomorrow and will calculate the levels for next month. After will be seen where they will do balance of Friday's Clear day and Thursday's.

Expectations for the purposes of Clear Days in force.


Day borders of options balance
UP 1,5902
DOWN 1,5777

The level of balance of the day 1,5871

Index TST Buy 0,2906
Index TST Sell 0,5254

Mandatory zone
1,5861
1,5847

Day direction not detected

Zone

BUY 1,5872 1,5850
SELL 1,5908 1,5930

TST Levels

SELL
S6 1,5937
S5 1,5929
S4 1,5921
S3 1,5913
S2 1,5906
S1 1,5884

BUY
B1 1,5868
B2 1,5874
B3 1,5867
B4 1,5859
B5 1,5851
B6 1,5843

EUR.USD - After analyzing COT for April 3, we can make the following conclusion.

The main advantage of positions is Sell. But we can see how much was entries in BUY and out of the SELL positions. For the next week COT is – BUY.

I am consider BUY till Wednesday.

Analysis of COT for the week from April 9. EUR.USD.