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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Reduce USD Long Positions Revealed in Latest COT Report Data 12 06 2011
Submitted by Ralph Shell
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5:18 PM Dec 09 2011
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2968 Views |
0 Comments
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 (5 Votes)
Currency traders reduced their total net USD longs from 227,925 to 189,772 contracts, In the euro, the most active contract, the euro short was reduced, but still remains quite high at 120,408 contracts.
There was a 23.6K shift to the long side of the Australian Dollar by speculators. The small spec did flip from the short to long side in the A$. The total open interest (OI) was up 18.2K contracts.
The pound remains a very popular trading contract, and the total OI was up 18.6K contracts. Speculators remain big bears in the pound, but did marginally reduce their positions to 59.9K contracts.
There was some increase in the commercial activity in the pound, yen and Canadian Dollar. This is probably pricing of contracts ahead of expiration in the December contracts.
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US Dollar Index: The small reduction in the OI was the result of position reductions by the commercials and the small specs. Large specs increased their net long to a 5.3 ratio. Small specs are also long by about a 3.5 ratio.
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Euro (EUR/USD): The total spec net short in the euro decreased slightly to 120,408 down from last week's 133,237 contracts. Large specs modestly reduced their short position but remain a 3.7 ratio short, and the small spec is about a 2 to 1 short. Spreading (option traders) have a total of 13.5% of the total market.
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British Pound Sterling (GBP/USD): Both size spec groups remain shorts in the pound but did little to alter their positions, about a 2.5 ratio, in the period. There was a small net total reduction in the spec short. The OI is large in the pound and soared even more as the commercials added to both longs and shorts. It will be interest to see how big the reduction in the OI is with expiration of the Dec contract.
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Japanese Yen (JPY/USD): The OI grew by 11.1K as the commercial added to the positions on both sides os the market. Large specs remain long the yen and the small specs are short. The total net spec long has been reduced to about 30K.
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Swiss Franc (CHF/USD): The OI grew by over 10% as both the large and small specs increased their short positions. Large specs are now a 3 ratio long and the small specs are better than 2 to 1 long. Option trading is 6.6% of the total market.
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Canadian Dollar (CAD/USD): Small specs are long the C$ and the large specs are short. The total net spec short decreased in period from 21.9K to 15.3K. Commercials increased both longs and shorts.
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New Zealand Dollar (NZD/USD): There was modest reduction of positions by all participants in this tiny market. Large specs are long the Kiwi, and the small specs are short. Neither have unbalanced positions.
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Australian Dollar (AUD/USD): There was a 11.7 increase in the OI as the large specs bought and the commercials sold. Total spec longs in the A$ went from 6.5K to 30.1K in the period.The small spec, by covering his short positions flipped to the long side of the A$ by a mere 400 contracts.
| Currency Commitments of Traders with Delta-adjusted Options and Futures Combined, data through December 6, 2011 |
| US Dollar Index (USD/EUR,JPY,GBP,CAD,CHF,SEK) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
58,532
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40,291
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7,559
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6,514
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1,751
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10,206
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47,701
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| Change:
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-1,091
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1,418
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-184
|
-822
|
-620
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-1,694
|
-293
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| % Open Interest:
|
|
68.8
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12.9
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11.1
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3.0
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17.4
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81.5
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| Euro (EUR/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
339,915
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33,011
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122,946
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34,022
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64,504
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226,904
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106,486
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| Change:
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5,696
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5,043
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-1,951
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-1,115
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-6,930
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-1,965
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10,844
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| % Open Interest:
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9.7
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36.2
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10.0
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19.0
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66.8
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31.3
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| British Pound Sterling (GBP/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
217,598
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26,321
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68,637
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14,267
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31,863
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172,749
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112,838
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| Change:
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18,640
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2,676
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-123
|
239
|
687
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16,467
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18,818
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| % Open Interest:
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|
12.1
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31.5
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6.6
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14.6
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79.4
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51.9
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| Japanese Yen (JPY/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
189,968
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56,250
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18,909
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20,499
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27,930
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108,528
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138,438
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| Change:
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11,189
|
697
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3,138
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-1,347
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-307
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12,350
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8,870
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| % Open Interest:
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29.6
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10.0
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10.8
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14.7
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57.1
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72.9
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| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
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| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
49,521
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5,036
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15,384
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8,858
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18,620
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32,360
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12,250
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| Change:
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5,976
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-176
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1,521
|
90
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2,356
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6,136
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2,173
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| % Open Interest:
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10.2
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31.1
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17.9
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37.6
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65.3
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24.7
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
162,858
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30,786
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49,452
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29,240
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25,852
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96,497
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81,218
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| Change:
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7,270
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838
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-5,841
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290
|
384
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5,438
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12,024
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| % Open Interest:
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18.9
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30.4
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18.0
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15.9
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59.3
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49.9
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| New Zealand Dollar (NZD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
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| Contracts: |
27,597
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10,745
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6,888
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1,475
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2,211
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15,376
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18,497
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| Change:
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-680
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-273
|
-412
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35
|
-154
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-443
|
-115
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| % Open Interest:
|
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38.9
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25.0
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5.3
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8.0
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55.7
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67.0
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| Australian Dollar (AUD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
155,487
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53,016
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23,313
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19,612
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19,186
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74,026
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104,156
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| Change:
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18,232
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18,878
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1,831
|
164
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-5,493
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-4,030
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18,674
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| % Open Interest:
|
|
34.1
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15.0
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12.6
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12.3
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47.6
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67.0
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To view the COT report released by the CFTC please see the attached file.
For general information about the COT report please see the article The CFTC Commitment of Trader Report
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Comments
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Shortcuts and Syndication
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Author Bios
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Ralph Shell: Ralph did his graduate studies in economics and history at Duke University. He has ten years experience trading cash commodities in domestic and export markets and is a former commodity analyst with Merrill Lynch in Chicago. He was a member of and floor trader at the Chicago Board of Trade for 18 years.
Forex Captain: The Forex Captain has been a strategy developer and forex trader since 1998. From 2002 till 2009 he ran a successful managed account based on his tradestation coded strategies at FXCM. In 2007 his managed fund was ranked in BarclayHedge Rankings as one of the Top 10 Currency Traders managing less than $10M & more than $1M. Since 2009 he has been developing Expert Advisors in MQL4 for private trading, and from June 2010 he has joined the Project Triumph team as a currency analyst and project manager.
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