HedgeForward - Tim Mazanec on Foreign Exchange and Global Markets

Tim Mazanec, CMT, 617-835-0708 hedgeforward@comcast.net

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Intra-day model

Daily model

Model samples

Presentation

Prior postings

December

Dec 16 - FOMC

Dec 10 - Jobs

Dec 9 - Trade

Dec 7 - Diverg

Dec 5 - NFP

Dec 3 - Can

Dec 2 - '70s

Dec 1 - COT

November

Nov 26 - Turkey

Nov 25 - Gold

Nov 24 - GDP

Nov 20 - Doji

Nov 18 - Homes

Nov 17 - RPIX

Nov 16 - Retail

Nov 13 - Trade

Nov 12 - Budget

Nov 11 - UK

Nov 10 - Charts

Nov 6 - NFP

Nov 5 - Data

Nov. 4 - Jobs wk

Nov 2 - Aus.

October

Oct 30 - GDP

Oct 29 - Euros

Oct 28 - RBA

Oct 27 - M3

Oct 26 - Stocks

Oct 23 - Sell?

Oct 13 - Baby

Sept 21 - 10k

Sept 2 - Long

July 28 - Buy

 
Below are sample snapshots of the intra-day model for EURUSD. 

Date / EURUSD / Barrier Target / Pivot level / Barrier Target
2009.11.16 1.4832 1.4921 1.5009
2009.11.17 1.4830 1.4918 1.5006
2009.11.18 1.4823 1.4911 1.5000
2009.11.19 1.4825 1.4914 1.5002
2009.11.20 1.4715 1.4900 1.5086
2009.11.23 1.4712 1.4899 1.5086
2009.11.24 1.4714 1.4902 1.5089
2009.11.25 1.4737 1.4925 1.5113
2009.11.26 1.4849 1.5016 1.5183
2009.11.27 1.4823 1.4988 1.5153
2009.11.30 1.4821 1.4988 1.5154
2009.12.01 1.4806 1.4972 1.5139
2009.12.02 1.4824 1.4991 1.5157
2009.12.03 1.4877 1.5044 1.5211
2009.12.04 1.4945 1.5034 1.5122
2009.12.07 1.4791 1.4954 1.5117
2009.12.08 1.4706 1.4890 1.5074
2009.12.09 1.4630 1.4814 1.4999
2009.12.10 1.4596 1.4780 1.4965
2009.12.11 1.4512 1.4695 1.4878
2009.12.14 1.4496 1.4680 1.4864




Below is a sample snapshot of the Daily model for EURUSD.
Longs are Blue
Shorts are Red
Gaps reflect Neutral periods


The results since 1999 (10 years):

90% cumulative return
2.0 Sharpe Ratio
47% profit-to-loss ratio
90 trades total in 10 years
2% max drawdown (once)
Average trade: 21 days


Date / EURUSD / Closing Price / Position
5/20/2009 EURUSD 1.3782 Long
5/21/2009 EURUSD 1.3940 Long
5/22/2009 EURUSD 1.3996 Long
5/25/2009 EURUSD 1.4009 Long
5/26/2009 EURUSD 1.3990 Long
5/27/2009 EURUSD 1.3830 Long
5/28/2009 EURUSD 1.3948 Long
5/29/2009 EURUSD 1.4157 Long
6/1/2009 EURUSD 1.4180 Long
6/2/2009 EURUSD 1.4289 Long
6/3/2009 EURUSD 1.4142 Long
6/4/2009 EURUSD 1.4167 Long
6/5/2009 EURUSD 1.3967 Long
6/8/2009 EURUSD 1.3928 Long
6/9/2009 EURUSD 1.4061 Long
6/10/2009 EURUSD 1.3988 Long
6/11/2009 EURUSD 1.4125 Long
6/12/2009 EURUSD 1.4015 Long
6/15/2009 EURUSD 1.3773 Long
6/16/2009 EURUSD 1.3815 Long
6/17/2009 EURUSD 1.3968 Long
6/18/2009 EURUSD 1.3909 Long
6/19/2009 EURUSD 1.3935 Long
6/22/2009 EURUSD 1.3849 Long
6/23/2009 EURUSD 1.4069 Long
6/24/2009 EURUSD 1.3942 Long
6/25/2009 EURUSD 1.4010 Long
6/26/2009 EURUSD 1.4054 Long
6/29/2009 EURUSD 1.4098 Long
6/30/2009 EURUSD 1.4039 Long
7/1/2009 EURUSD 1.4146 Long
7/2/2009 EURUSD 1.3962 Long
7/3/2009 EURUSD 1.3979 Long
7/6/2009 EURUSD 1.3991 Long
7/7/2009 EURUSD 1.3896 Long
7/8/2009 EURUSD 1.3863 Neutral
7/9/2009 EURUSD 1.4010 Long
7/10/2009 EURUSD 1.3935 Long
7/13/2009 EURUSD 1.4004 Long
7/14/2009 EURUSD 1.3979 Long
7/15/2009 EURUSD 1.4092 Long
7/16/2009 EURUSD 1.4131 Long
7/17/2009 EURUSD 1.4100 Long
7/20/2009 EURUSD 1.4215 Long
7/21/2009 EURUSD 1.4196 Long
7/22/2009 EURUSD 1.4203 Long
7/23/2009 EURUSD 1.4162 Long
7/24/2009 EURUSD 1.4200 Long
7/27/2009 EURUSD 1.4244 Long
7/28/2009 EURUSD 1.4146 Long
7/29/2009 EURUSD 1.4014 Long
7/30/2009 EURUSD 1.4084 Long
7/31/2009 EURUSD 1.4255 Long
8/3/2009 EURUSD 1.4408 Long
8/4/2009 EURUSD 1.4415 Long
8/5/2009 EURUSD 1.4409 Long
8/6/2009 EURUSD 1.4371 Long
8/7/2009 EURUSD 1.4182 Long
8/10/2009 EURUSD 1.4129 Long
8/11/2009 EURUSD 1.4151 Long
8/12/2009 EURUSD 1.4216 Long
8/13/2009 EURUSD 1.4273 Long
8/14/2009 EURUSD 1.4202 Long
8/17/2009 EURUSD 1.4107 Neutral
8/18/2009 EURUSD 1.4166 Long
8/19/2009 EURUSD 1.4249 Long
8/20/2009 EURUSD 1.4254 Long
8/21/2009 EURUSD 1.4324 Long
8/24/2009 EURUSD 1.4292 Long
8/25/2009 EURUSD 1.4283 Long
8/26/2009 EURUSD 1.4236 Long
8/27/2009 EURUSD 1.4370 Long
8/28/2009 EURUSD 1.4301 Long
8/31/2009 EURUSD 1.4334 Long
9/1/2009 EURUSD 1.4207 Long
9/2/2009 EURUSD 1.4272 Long
9/3/2009 EURUSD 1.4254 Long
9/4/2009 EURUSD 1.4293 Long
9/7/2009 EURUSD 1.4334 Long
9/8/2009 EURUSD 1.4501 Long
9/9/2009 EURUSD 1.4547 Long
9/10/2009 EURUSD 1.4581 Long
9/11/2009 EURUSD 1.4569 Long
9/14/2009 EURUSD 1.4639 Long
9/15/2009 EURUSD 1.4670 Long
9/16/2009 EURUSD 1.4708 Long
9/17/2009 EURUSD 1.4732 Long
9/18/2009 EURUSD 1.4710 Long
9/21/2009 EURUSD 1.4683 Long
9/22/2009 EURUSD 1.4809 Long
9/23/2009 EURUSD 1.4727 Long
9/24/2009 EURUSD 1.4651 Long
9/25/2009 EURUSD 1.4688 Long
9/28/2009 EURUSD 1.4621 Long
9/29/2009 EURUSD 1.4594 Long
9/30/2009 EURUSD 1.4654 Long
10/1/2009 EURUSD 1.4515 Long
10/2/2009 EURUSD 1.4575 Long
10/5/2009 EURUSD 1.4657 Long
10/6/2009 EURUSD 1.4720 Long
10/7/2009 EURUSD 1.4714 Long
10/8/2009 EURUSD 1.4773 Long
10/9/2009 EURUSD 1.4731 Long
10/12/2009 EURUSD 1.4791 Long
10/13/2009 EURUSD 1.4848 Long
10/14/2009 EURUSD 1.4930 Long
10/15/2009 EURUSD 1.4953 Long
10/16/2009 EURUSD 1.4904 Long
10/19/2009 EURUSD 1.4967 Long
10/20/2009 EURUSD 1.4931 Long
10/21/2009 EURUSD 1.5012 Long
10/22/2009 EURUSD 1.5038 Long
10/23/2009 EURUSD 1.5006 Long
10/26/2009 EURUSD 1.4857 Long
10/27/2009 EURUSD 1.4820 Long
10/28/2009 EURUSD 1.4716 Long
10/29/2009 EURUSD 1.4838 Long
10/30/2009 EURUSD 1.4717 Long
11/2/2009 EURUSD 1.4772 Long
11/3/2009 EURUSD 1.4731 Long
11/4/2009 EURUSD 1.4866 Long
11/5/2009 EURUSD 1.4876 Long
11/6/2009 EURUSD 1.4846 Long
11/9/2009 EURUSD 1.5004 Long
11/10/2009 EURUSD 1.4992 Long
11/11/2009 EURUSD 1.4982 Long
11/12/2009 EURUSD 1.4849 Long
11/13/2009 EURUSD 1.4903 Long
11/16/2009 EURUSD 1.4969 Long
11/17/2009 EURUSD 1.4875 Long
11/18/2009 EURUSD 1.4963 Long
11/19/2009 EURUSD 1.4924 Long
11/20/2009 EURUSD 1.4861 Long
11/23/2009 EURUSD 1.4961 Long
11/24/2009 EURUSD 1.4968 Long
11/25/2009 EURUSD 1.5134 Long
11/26/2009 EURUSD 1.5019 Long
11/27/2009 EURUSD 1.4989 Long
11/30/2009 EURUSD 1.5004 Long
12/1/2009 EURUSD 1.5080 Long
12/2/2009 EURUSD 1.5052 Long
12/3/2009 EURUSD 1.4858 Long
12/4/2009 EURUSD 1.4857 Long
12/7/2009 EURUSD 1.4826 Neutral
12/8/2009 EURUSD 1.4702 Neutral
12/9/2009 EURUSD 1.4725 Neutral
12/10/2009 EURUSD 1.4731 Neutral
12/11/2009 EURUSD 1.4612 Neutral
12/14/2009 EURUSD 1.4655 Neutral
12/15/2009 EURUSD 1.4536 Neutral
12/16/2009 EURUSD 1.4531 Neutral
12/17/2009 EURUSD 1.4337 Neutral




HedgeForward, 2009.

This report is for your information only and does not constitute investment or business advice or an offer to buy or sell securities.

 

Timothy J. Mazanec, CMT  (Tim)
617-835-0708
hedgeforward@comcast.net

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