Saturday, 25 September 2010

"Smart Money" S&P 500 Traders Abandon Ship

It sure does look like we've put most of the worries about a "fall fall" well behind us. The S&P 500 has topped its highs of the summer, while NDX and copper are testing their highs of the year. But some sectors still can't shake off trouble - crude oil and financials among them. What, oh, what do the wise Commitments of Traders numbers foretell, you ask? Friday's data is gloomy indeed. I've just updated my latest signals table based on the latest COT report from the CFTC. Some highlights:
- S&P 500: Still on track to go bearish Oct. 4 and stay that way for three weeks at least. As you can see from my latest signals table, the "smart money" commercials have hit the panic button and are bailing out. They are now more relatively bearish than at any time since early Dec. 2008, which with their customary three-week trade delay was good timing for the early 2009 final leg down of the market crash.

- Crude oil: My trading setup remains bearish one more week, then goes to cash.

- 30-year U.S. Treasury: My setup goes bullish on this Monday's open of trading (not bearish as I had previously indicated!) That means bullish for the bond (i.e. the yield would fall). Another possible sign of market problems as bond yields tend to drop when equities go down.

- Natural gas: One more week bullish, then to cash on Oct. 4.

- Gold: Bullion has had a sweet run to all-new highs, and my setup is still bullish this coming week. The week following is a little in the air. It could go to cash on Oct. 4, but only if the large speculators go absolutely insanely over the top in their bullishness. Based on the COT positioning, the signal will definitely go either to cash or bearish on Oct. 11.

Hope you fare well this week, and be sure to check back in early in the week to see my updated portfolio page.

11 comments:

George said...

Do you see the same thing for US dollar as in

US dollar net shorts hit six-week high - CFTC
http://www.reuters.com/article/idUSN1027426720100924

?

Sound Money said...

Hey Alex.

Thanks for your work, it's good stuff.

I just added your site to my blogroll, it's only been going for 2 weeks.

I hope you are correct, I am short!

Denali92 said...

COT does seem to be working well. The past week was a good one to go neutral - though maybe at the close - not the open!

Have you done any work on the currencies? The COT data supposedly works quite well with the currencies.

THANKS for your useful perspective.

-D

PA said...

Hi Alex, just wondering about your methodology. For the S&P you seem focused on the large contract, but what about the more popular EMIni? It shows a large commercial net long position.

Reza said...

Hi Alex,

If time permits, please post updates today.

Thanks for your advise.

Reza

Reza said...

Hi Alex

Which ones do we follow in the traders commitment.

Dealer, Asset Manager, Leveraged : Other : Nonreportable :

Thanks

Ray said...

Alex,

Looking forward to your update this weekend and thanks very much for all you do.

Ray

Alex Roslin said...

Hi George,

I don't have a setup at present for the U.S. dollar, but it's on my to-do list.

Regards,
Alex

Alex Roslin said...

Hi Denali92,

Is this COT data working well? Do you mean this week? If so, that's immaterial - please see my FAQs page where I address failed signals at length.

I've previously studied COT data for currencies, but I don't have any current setups for any. On my to-do list.

Regards,
Alex

Alex Roslin said...

Hi PA,

Regarding the mini data, please see my FAQs page where this is addressed at length.

Regards,
Alex

Alex Roslin said...

Hi Reza,

I don't use the disaggregated data as it goes back only three or four years, which I don't believe would produce statistically robust trading setups (i.e. ones that can be expected to work with confidence in real life).

Regards,
Alex