Friday, 17 October 2008

Derivatives Data Bulls Banks & Crude

Hope you fared well this week. A few new signals today from my trading setups based on the Commitments of Traders data. Today's update on derivatives positions gives me bullish signals for the BKX Bank Index and crude oil, while my S&P 500 setup is going from a bearish signal back to cash. Note, however, that I'll be ignoring the two new bullish signals because both of those setups are on a four-week time-out due to my new Black Swan risk-control rule. (See this post earlier this week for more details.) See my latest signals table for more from the latest COT data. I hope to provide a more detailed update early next week. Have a good weekend.

TAGS: S&P 500, BKX, crude oil, COT, Commitments of Traders, derivatives, market timing, trading system development, CFTC, Commodity Futures Trading Commission, COTs Timer, out-of-sample testing, walk-around testing


Anonymous said...

Looking at the signals table, "Trade delay" column. What is the interpretation of "3/3" or "2/0"?

Alex Roslin said...

Hi there -

I realize that may be a little confusing. Those are for setups in which I have a combined signal based on two groups of traders. You can see which groups those are in the "Traders to Watch" column. The first number in the trade delay column applies to the first of those groups of traders. So in the case of "0/5" for NDX, the delay is zero weeks for the small traders signal and five weeks for the commercial traders signal.