Wednesday, 3 October 2007

Record Nikkei Position: Mega-Bullish

Some dramatic moves in the last Commitments of Traders report. Here are some highlights:

- The "dumb money" large speculators in Nikkei futures and options have dramatically increased their net short position, giving me a second straight bullish signal. In fact, they've never held such a large net short position as a percentage of the total interest since the data began in 1995. The extreme positioning coincides with my new bullish signal from the Aug. 28 COTs report. My Nikkei trading setup based on the COTs data has a five-week trade delay, and I will execute it for the open of trading next week. (Click "How It Works" and "Latest Signals" in the Navigation bar for more info.)

- S&P 500 small traders suddenly reversed course from a fairly bullish net long position to a near-record of bearishness - 3.24 standard deviations below the 17-week moving average. This flipped my signal for this setup from bearish to bullish. That's based on fading the small traders when they hit extremes in their net positioning.

- My setup for the 13-week T-Bill gave its 10th consecutive bullish signal. That's based on trading on the same side as the small traders in 3-Month Eurodollars. The run started with the July 24 COTs report, at the beginning of the Credit Crunch of 2007.


Michael Viking said...

Hi, I'm new to this site and I've been up nearly all night, so I should probably understand "My Nikkei trading setup based on the COTs data has a five-week trade delay, and I will execute it for the open of trading next week.", but I don't :-)

How does one enter a "five-week trade delay" next week? I only know about buying and selling a stock, not futures, etc. Is a five-week delay related to "futures"?

Thanks for the info. I'm very interested in monitoring your site and seeing how it works/how you do. Thanks for sharing!

Alex Roslin said...

Hi Michael,

Thanks for your comment. All the trade setups have a delay that you can check in the table on the "Latest Signals" page. This is the delay between the signal and when I execute the trade, based on my testing of past results. The Nikkei signal happened several weeks ago for execution on the open of next week's trading.

All this and other details are explained in the explanatory links in the Navigation bar.


Michael Viking said...

Hi Alex, thanks for the quick response. I did read all the explanatory links before posting, and even after your comment, I think I'm still confused :-)

You say:
"My Nikkei trading setup based on the COTs data"...

I guess the COTs data you're talking about in the above quote is from August 28th, and not the "dramatic moves in the last Commitments of Traders report" COTs data your post is about?


Alex Roslin said...

Hi Michael,

That's right. The setup worked best in the testing with a five-week delay after new signals. For some more details on this new signal for the Nikkei, you can read this post:

All the best,