Friday, 11 July 2008

S&P 500, NASDAQ 100 Go to Cash; Banks Long: Data

Pure craziness in the markets this week, wasn't it? With crude and gold looking like they're breaking back up and the BKX U.S. Bank Index dropping to lows not seen since before the 1998 Asian crisis, not to mention insane volatility, you've got to get a little worried about all the poor folks blowing up these days. I've just updated my Latest Signals page table with this week's calls from my trading setups based on the Commitments of Traders reports. The new signals include going to cash for the S&P 500 and NASDAQ 100. Also, recall that my BKX setup, which has been very happily short since June 16, went long with last week's report; that setup has a one-week trade delay, meaning I'll go long U.S. financials on Monday's open of trading. (See my post from Tuesday, July 8 for more details on that.) I've also got some other really interesting new developments to talk about from this week's data. I'll do that with a more detailed post Monday, at which time I'll also update my portfolio page. Also early next week I hope to announce a new trading setup for the Russell 2000 index, based on combining the best signals for two groups of traders in the CFTC's weekly COT report. Hope you have a good weekend.

TAGS: COT, Commitments of Traders, market timing, trading system development, CFTC, Commodity Futures Trading Commission, S&P 500, Russell 2000, gold, crude, BKX, Bank Index, NASDAQ 100, NDX


Guo Ying said...

It seems to me that your signals for silver, and banks are wrong. It may not from your system, but from the COT data itself. The past week we had a big rally in silver, but your system got bearish last weekend, and last week bank sector got a big down week, but your system got bullish 7 days ago.
I think sometimes the big Institutions may make mistakes. In markets like today's, it is possible.

Alex Roslin said...

Hi Guo,

Thanks for your comment. My BKX Bank Index setup uses a one-week trade delay, so the signal of last week was not to be executed until this Monday, July 14. In the intervening week, the signal was hugely profitable as banks took a massive nosedive. As for silver, yes, you're right that last week the market went against the signal, but you have to remember two things: (1) the signal is not yet over, and my setups are meant to give a high-probability profitable, market-beating trade over the length of the entire signal, and (2) I make no pretense that each signal will be a winning one.


Bora Kizilirmak said...

hi again Alex,

What are your closest markets that you are watching for somebody who is following only Canadian indexes such as finance, materials, energy, trust, real estate, bonds or in another terms xfn, xeg, xma, xre, xtr, xsb etc.

for example you can say for xfn it is possible to use your us banks signal..

Alex Roslin said...

Hi Bora,

Thanks for your message. I frequently use the commodity leveraged ETFs from Horizons BetaPro trading in Toronto, which are the largest group of leveraged commodity funds anywhere.

Occasionally in a registered account, I might use a fund like XSP to track SPX in C$, but generally I've found the closer the traded security is to the market represented by the COT data, the better things work out. Each step away introduces other variables, including currency cross fluctuations and the impacts of those on stocks in certain markets.