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CashBackForex - Often Imitated, Never Duplicated!
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Speculators Remain Short the USD-COT Report Oct 30th 2012
Submitted by Ralph Shell
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8:05 AM Nov 05 2012
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2386 Views |
0 Comments
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 (6 Votes)
Speculators reduced their net short USD, as revealed in the latest COT report to 75.6K from 91.2K in the previous week. This is the 11th week specs have been short the USD.
Sometimes there are wheels within wheels, so to speak, and the aggregate number fails to reveal some subtle changes. The biggest shift in the period was in the Japanese yen where specs increased their short to 77.1K contracts, up from 51.7K contracts last week. This is quite a change from a long position of 22.6K contracts at the beginning of October.
There was also an increase in the euro short position to 80.8K contracts. Combined with the spec yen positions, the is a combined USD long versus the two of 157.9K. We also note the pound long has appeal to specs as they are now long 38.9K contracts.
The commodity currencies remain a favorite for the specs. Their combined long positions in the Canadian, New Zealand and Australian Dollar, is now 183.3K. Since these contracts are settled in the USDs, it represents a long versus a short USD, and without these big longs in the A$ and the C$, the gross USD position would not be a short.
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US Dollar Index: The total OI declined and is now only 42K contracts. Large specs hold 57.5% of the long side of the market, and 70.4% of the short side. Small specs are not big participants in the DI; their long positions amount to 9.4% and their short trades total 7.3% of the market. Al spec groups reduced their positions in the period.
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Euro (EUR/USD): Both size spec groups added to their short positions, ending the period short 80.7K versus 75.6K in the previous week. Small specs are not big net shorts but the large specs are 2.65 ratio short. Option trade is big and amounts to 9.7% of the total OI of 264.8K in the euro.
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British Pound Sterling (GBP/USD): There was an increase in small spec buying in the pound. The increase in the small spec net long position went up by about 6K contracts. Total OI was up 8.1K as the large specs also made some additions to their long pound positions. The pound trade has been lively with the total OI large at 1.74.7K.
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Japanese Yen (JPY/USD): Specs were actively adding to their short in the yen. The total OI was up only 10.4K but the total net spec short was up to 77.1K from 51.8K in the prior period. The small specs are almost a 4 ratio short, and the large spec is a 2.8 to 1 short. The pickup in the spreading to 9.9K of a total OI of 164.5K suggests a pick up in the option trade. Despite the increase in the yen OI, it still is less than the OI in the pound.
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Swiss Franc (CHF/USD): There seemed to be a lackluster trade in the SF. The specs remain long the Swissie but the long ratios are not very high. Total spec SF spec longs were reduced to 6.9K from almost 8K in the prior week.
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Canadian Dollar (CAD/USD): The OI came off 8.8K as the large specs reduced their longs by 12.1K and their shorts by 1.9K. This left the bog specs short by a 14.6 to 1 ratio. Small specs are also long the C$ but only by a 2 to 1 ratio. Despite some long liquidation in the C$, the total OI at almost 186K is the second most active currency contract we cover.
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New Zealand Dollar (NZD/USD): There was little change in this small contract. Specs remain bulls and added to their position to push the total long in the NZ$ up to 19.2K.
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Australian Dollar (AUD/USD): Once again specs were active on the buy side of the Aussie. The large spec added over 7K contracts and the small spec added about 6K. The large spec is about a 2-to-1 long but the small spec has only a 9K contract long. The total OI is less than the Canadian, so we could see the OI grow quite easily.
Currency Commitments of Traders with Delta-adjusted Options and Futures Combined,
data through October 30, 2012 |
| 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
|
| Contracts: |
42,030
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24,163
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29,587
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3,939
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3,062
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11,449
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6,902
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| Change:
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-2,729
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-1,639
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-2,673
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-199
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-192
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-1,265
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-238
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| % Open Interest:
|
|
57.5
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70.4
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9.4
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7.3
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27.2
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16.4
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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: |
264,788
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37,690
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99,794
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45,235
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63,920
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156,161
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75,373
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| Change:
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4,611
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-223
|
2,527
|
-862
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1,592
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5,492
|
287
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| % Open Interest:
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14.2
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37.7
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17.1
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24.1
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59.0
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28.5
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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: |
174,707
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58,175
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33,695
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37,099
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22,686
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73,796
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112,689
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| Change:
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8,160
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1,966
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-2,598
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4,289
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-1,804
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2,346
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13,003
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| % Open Interest:
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33.3
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19.3
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21.2
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13.0
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42.2
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64.5
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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: |
164,494
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19,724
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55,991
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13,991
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54,859
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121,105
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43,971
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| Change:
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10,407
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-5,964
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13,289
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-2,062
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4,043
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18,174
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-7,183
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| % Open Interest:
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12.0
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34.0
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8.5
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33.4
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73.6
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26.7
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| Swiss Franc (CHF/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
38,773
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11,785
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9,419
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16,401
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11,893
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10,469
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17,343
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| Change:
|
923
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1,029
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1,024
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-657
|
440
|
469
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-623
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| % Open Interest:
|
|
30.4
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24.3
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42.3
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30.7
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27.0
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44.7
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| Canadian Dollar (CAD/USD) |
| |
|
(1) Large Traders |
(2) Small Traders |
(3) Commercial
|
| |
Open Interest
|
Long |
Short |
Long |
Short |
Long |
Short
|
| Contracts: |
185,758
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87,011
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5,883
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41,702
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19,038
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46,850
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150,642
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| Change:
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-8,840
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-12,138
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-1,951
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1,776
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-1,359
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-815
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-7,867
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| % Open Interest:
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46.8
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3.2
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22.4
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10.2
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25.2
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81.1
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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: |
31,023
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20,849
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4,104
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4,475
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1,972
|
5,473
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24,721
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| Change:
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1,884
|
321
|
-75
|
6
|
-141
|
1,462
|
2,005
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| % Open Interest:
|
|
67.2
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13.2
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14.4
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6.4
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17.6
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79.7
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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: |
188,883
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90,519
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38,834
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34,066
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25,494
|
57,506
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117,763
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| Change:
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4,904
|
7,020
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28
|
5,569
|
-451
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-7,186
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5,827
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| % Open Interest:
|
|
47.9
|
20.6
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18.0
|
13.5
|
30.4
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62.3
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To view the COT report data released by the CFTC please see the attached files.
For general information about the COT report please see the article The CFTC Commitments of Traders 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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