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According to my sources, that isn't quite right. True halloumi, as it was originally produced in Cyprus, is made strictly from the milk of the Mouflon sheep. That was expanded, and in rural areas it is made of both sheep and goat milk.
With the tremendous international demand, factories sprang up, which do add some cow's milk. But the traditional makers do not use anything but goat and ewe milk.
Halloumi's claim to fame, of course, is that it doesn't lose it's shape when cooked. This likely results from the fact the curds are actually kneaded before being molded and cured. When cooked the natural lactose sugars rise to the surface and become carmalized, sealing the cheese. It's flavor, however, can vary greatly, depending on the type of milk used and the seasons of the year. The best is said to be made in the spring and early summer, when the free ranging sheep and goats are grazing on wild flowers, herbs, and wild grasses.