Friday, 10 September 2010

Bank Signal Bullish Next Week... But S&P 500 Smart Money Gets Bearish

Some new signals and interesting data coming out of today's Commitments of Traders report from the CFTC. Check my latest signals table for the details. Some highlights:
- S&P 500: The "smart money" commercial hedgers have followed the wrong-way small traders in giving a bearish signal for my S&P 500 setup. That signal is to take effect on the open the week of Oct. 4.

- BKX U.S. Bank Index: The data for BKX, based on the three-month Eurodollar contract, has flipped to bullish for next week. (The trade is to go into effect on Monday's open.) But it's a short-term trade only, lasting just a single week, as the small trader total open interest went bearish last week. Their signal will kick in with a two-week trade delay the week of Sept. 20. This means my setup will go to cash or bearish that week.

- Nikkei: My setup goes bearish on Monday's open (Sept. 13).

- 30-year Treasury bond: My setup, which was bearish for two weeks, goes to cash on Monday's open. It will then go back to bearish on the open the week of Sept. 27.

- Crude oil: My setup went bearish Aug. 30 and will remain so until Oct. 4, when it goes to cash.

- Gold: My setup went bullish Aug. 30.

- Natural gas: The setup went bullish on Aug. 23 and remains so for at least one more week.

Hope you survived the last week and have a great weekend. Check back in early next week for an update to my portfolio page.


Pi said...


Another thing i wanted to ask you. For the open interest in eurodollar futures which you use for setups in BKX, is that data provided for individual contracts( cause there are around 20 calendar contracts actively traded) or just as a whole? Also, logically what could be the connection between eurodollar positions and banking stocks?

Also, can the positioning in eurodollar be used to take setups in eurodollar itself.

I am asking all this cause i trade eurodollar intraday as a scalper.


Alex Roslin said...

Hi Pi,

Thanks for your message. For the total open interest for large speculators, I add columns I and J of the COT report. For the small traders, I add columns P and Q.

I can only speculate about the connection between Eurodollar positions and banking stocks, but I imagine it has to do with the fact that Eurodollars reflect liquidity in the financial system.

I wouldn't apply the signals for BKX to any other market without going through appropriate backtesting.

But one could get a preliminary idea of the usefulness by simply generating a spreadsheet and putting in the values for Eurodollars. Of course the signals would come only on a weekly basis too, but this could be useful if combined with other, technical market signals.



Reza said...

Thanks Alex for the updates

tommassini said...


Should the stop loss percentages in the tables be changed depending on whether one uses a 3X, 2X or unleveraged ETF?

Thank you

Alex Roslin said...

Hi Tommassini,

Yes, that is what I do.