Economic statistics

         Use the economic statistics question to examine market behavior surrounding scheduled news releases and/or Treasury auctions and announcements.

Example:

         The 5-year note auction.

Questions from Traders:

         How often does the market close lower after the five year note auction? Is it profitable to set shorts on the opening of the day of the 5-year note auction?

Setting Up the Search:

Click on the parts of the box below where appears for explanations of features.

Answers:

         We used the search shown above to find all the days on which there was a 5-year note auction. Notice that TPA also allows you to relate each release to previous releases and/or expected results; the default is "don't care." Except for six of the more widely followed releases , the performance and expectation information must be added to the database by you, using the TPA DATABASE EDITOR ; databases shipped by PTT, Inc. always have "unknown" checked. This will allow you to refine your searches so that, for example, you could find all the 5-year note auctions where the results were less aggressive than expected.

         We wanted to know the viability of short positions taken through the 5-year note auction. The results were quite interesting. Refining our search, we found that almost 57% of the time the market closed higher than the opening on the day of a 5-year note auction. Furthermore, by refining the original search using the period relationship question, we discovered that the closing price on the day of a 5-year note auction was equal to or higher than at the bidding time (use the close of <G> period) over 63% of the time. It appears that the day of the 5-year note auction is generally a good day to cover shorts rather than to set them. Suggestions for other tests: Check the closing price for the day after the 5-year note auction versus the opening price the day of the auction. Also, compare the behavior of the market around 5-year note auctions with the market’s behavior around the 10-year auction day.

Profile Analyzer Hint: Use the Details button in the Search Results window to get a quick statistical overview of all the days in the current search, as well as statistics and notes for each individual day in the search result.