Friday, 5 October 2007

COTs Content With Market Rise

Just updated my "Latest Signals" page with this afternoon's data from the lovely and talented Commitments of Traders reports. A nice array of renewed bullish signals for equities confirms the market's optimistic tilt of late. My U.S. Composite Equity Indicator, based on four of my trading setups built around the COTs reports, has given a second straight bullish signal, though it's fallen from a super-bullish 1.22 to a merely quite bullish 0.98. For those of you not in the know, a "1" reading or higher means all four setups have just given a bullish signal for execution on the open of next week's trading.

I'll be back here early next week with more details on this latest data from the Commodity Futures Trading Commission, which reports on trillions in futures and options holdings in 100-odd markets.

Note to Self: My Nikkei bullish signal from the Aug. 28 COTs report calls for being executed on the open of trading next week. (This is based on the setup's five-week trade delay. For more details on this setup and how all this works, check the "Latest Signals" and "How It Works" links.) Hope you did well this week and have a great weekend.

11 comments:

Anonymous said...

Alex,

Thanks for sharing all of your amazing research. I noticed that as of today both Gold and the Gold Bugs HUI are listed as Bullish dating back a few months. Last week they both had switched to bearish. What did I miss along the way?

Thanks,

Rod

Anonymous said...

For the last 2 weeks I was following your posts trying to gain some insight. I failed miserably. For instance, gold. I thought the gold flashed a strong bearish signal last week. Now, COT position is even shorter (if I may say that), yet you are bullish on gold in your table.

About Alex Roslin said...

Hi guys,

Oops. In my haste to post that table, I forgot to update the table with the latest data, I forgot to update the previous week's new signals. Sorry, folks!

If there's anything else that's still confusing you, Anonymous, I'm happy to answer any questions you'd like to post.

Regards,
Alex

About Alex Roslin said...

Yikes - must be a ghost in my keyboard. That last response should have said "... I forgot to update the previous week's new signals."

Regards,
Alex

Dave said...

Hi Alex,
Just wanted to share this tidbit with you. I like to download your setups so I can view them offline. I found this tip for doing that. Don't know if you would find it handy, or not, or if you want to share it. But you can download your spreadsheets in Excel, CSV, or PDF format. Here are the links:

Excel
http://spreadsheets.google.com/pub?key=pfhv09UXvNevDcAIvvDaSOw&output=xls

CSV
http://spreadsheets.google.com/pub?key=pfhv09UXvNevDcAIvvDaSOw&output=csv

PDF
http://spreadsheets.google.com/pub?key=pfhv09UXvNevDcAIvvDaSOw&output=pdf

TXT
http://spreadsheets.google.com/pub?key=pfhv09UXvNevDcAIvvDaSOw&output=txt

Open Office Spreadsheet
http://spreadsheets.google.com/pub?key=pfhv09UXvNevDcAIvvDaSOw&output=ods

Also, I sent you an email to your yahoo account, don't know if you saw it or not.

Cheers!
Dave

Anonymous said...

Thanks for clarification on gold. We will see how it plays.
Are you planning to reevaluate your system on oil and gas? My COT reading is bullish on those commodities. I'm long on those and energy since early to mid August with good results so far. I'm surprised you keep getting bearish signals.

About Alex Roslin said...

Very nice, Dave. Thanks!

Best regards,
Alex

About Alex Roslin said...

Dear Anonymous,

No plans to reevaluate the energy setups right now. The natural gas setup has been correctly bearish (in cash) since the March 27 COTs report. The crude setup has historically not been profitable on the short side, so the current situation may be frustrating in that I'm not participating in potential profits, but that's always going to happen in the markets. It doesn't necessarily cause a problem for this setup, and since it's in cash right now (rather than short crude), I'm not too worried about it. The XEG Canadian Energy iUnits setup is just slightly down, so I'm not too worried about that one either. The OIH Oil Services Holders setup is close to the stop as I've mentioned in a recent post, but it hasn't hit it yet. I am watching that trade closely.

Generally, I do plan to reevaluate all my setups at least yearly, so that will take place in a few months. I don't believe making money on every trade is a realistic objective. The goal is to minimize losses, control risk and try to catch the major moves.

Regards,
Alex

Dave said...

Hi Alex,
I was looking at your S&P setup again, and trying to verify some of your numbers.

At the top of one of the columns, I see MA+1.25SD and MA-1.25SD, which I'm assuming is the MovingAverge +- 1.25*Standard Deviation.

However, in your Excel spreadsheet, I can't see any calculation where you used the 1.25 number.

Am I missing something?

Thanks!
Dave

About Alex Roslin said...

Hi Dave,

Thanks for your message. The calculation you're talking about is in the "Signal" column (EG). Check the cells there.

Those other two columns don't really serve any purpose, unless you want to chart the data. They delineate one standard deviation above and below the moving average, but it would probably be most useful to alter the formulas to 1.25 standard deviations, which is the setup parameter for the S&P 500.

The formulas for this would be ==EC20+EB20*1.25 and =EC20-EB20*1.25. I'll modify the sample spreadsheet with these new values. Thanks for pointing this out.

Regards,
Alex

Dave said...

Thanks for the clarrification.

Cheers!
Dave