Friday, 20 July 2007

COTs More Upbeat on Equities, Still Depressed On Energy

Energy is again getting a slew of bearish renewed signals, while the equity forecast looks a little more upbeat, according to Friday's Commitments of Traders report released by the Commodity Futures Trading Commission.

My COTs composite equity indicator has improved slightly to a reading of -0.1. Plus or minus 1 means a historic sell or buy signal. A "-1," for example, would mean that on average all of my U.S. equity setups just gave a sell signal. It's happened only a handful of times since 1995, when the CFTC started releasing combined futures-and-options data for free.

I've adjusted my indicator to drop the S&P 400 setup because the COTs reports have failed to update futures and options holdings in this market since the report dated June 12. Thus adjusted, last week's reading of my composite equity indicator was a decidedly gloomier -0.23.

As well, the latest report gives two renewed bullish signals in equities and no bearish ones. The report didn't give me any new signals.

On a personal note, I've been in the midst of moving house so that's taken away some of my attention from working on developing my COTs Timer system and answering your emails. I should get back into it as things settle down in the coming couple of weeks. Thanks for your patience.

New Signals*


Renewed Signals**
-Dow Jones Industrial Average

-Soybean Oil
-Natural Gas***
-Crude Oil, Light Sweet***
-S&P/TSE Canadian Energy iUnits ETF, XEG.TO
-Oil Service Holders, OIH

Existing signals (date of original signal in parentheses)****

-30-Year Treasury Yield (3-Jan-07)
-10-Year Treasury Yield (17-Apr-07)
-S&P/TSX Composite (15-Aug-06)
-NASDAQ 100 (27-Mar-07)
-Dow Jones Industrial Average (20-Mar-07)
-Russell 2000 (1-Aug-06)
-Silver (3-Jul-07)
-Gold (29-May-07)
-US Global Investors Funds US Gold Fund, USERX (12-Jun-07)
-S&P/TSE Canadian Gold iUnits ETF, XGD.TO (22-May-07)
-Gold Bugs Index, HUI (29-May-07)

-13-Week Treasury Bill (27-Feb-07)
-S&P/TSE Canadian Energy iUnits ETF, XEG.TO (3-Apr-07)
-Oil Service Holders, OIH (3-Apr-07)
-S&P 500 (26-Jun-07)
-NASDAQ Composite (26-Dec-06)
-Semiconductor Index, SOX (20-Mar-07)
-S&P 400 Mid Cap (3-Jan-07)
-Nikkei Average (19-Dec-06)
-Soybean Oil (11-Nov-06)
-Copper (10-Apr-07)
-Canadian Dollar (10-Apr-07)
-U.S. Dollar Index (3-Oct-06)

-Crude Oil, Light Sweet (3-Apr-07)***
-Natural Gas (27-Mar-07)***

* For an explanation of what I do after a new signal, click “How It Works” above.
** A “renewed” signal is when a market is already on a bullish or bearish signal, and traders again register an extreme net trading position in the same direction. I normally ignore renewed signals unless I don't already have a trade on in this market. I haven't studied the profitability of trading on renewed signals.
*** See my special caveats for my Crude Oil and Natural Gas setups (click “The Trading Setups” above and check the table footnotes).
**** The date in parentheses is the date of the COTs report that gave this signal - not the date I would have executed the trade (which can be up to five weeks later). The existing signals are often several months old and are listed here as references, not trading recommendations.


Anonymous said...

Interesting website. Just wondering if you have any ideas why the COTS have consistently shown bearish signals for energy, yet oil continues to trade at record levels. Thanks,

Joe said...


Thanks for sharing your ideas with us. Very interesting. I've just spend a week of vacation in Montreal and really liked it a lot. I'm from Germany originally and lived in France for some time before going to the US. Old Montreal reminds me a lot of old French or Belge cities, including the festivals and sometimes bizar forms of art.

Anyway, do I understand it correct you are still long equities or did your system actually generate short signal?

Thanks, Joe

Alex Roslin said...

Thanks for your comment. I'm going to make a post to the blog on this because I think it's an interesting question.


Alex Roslin said...

Hi Joe,

Thanks for your message. I love Montreal. Best city in the world! My system is bullish some equities and bearish others. Check the "Existing Signals" sections in my Friday posts to see which is which.


Anonymous said...

Alex -

Thanks for the post regarding my question on energy. It's interesting, since my post on Monday, oil has actually tanked a couple of points so maybe this is the start of a larger down move, so maybe this setup will ultimately prove profitable. Keep up the good work on the site.