Friday, 8 July 2011

S&P 500, Crude to Cash... Plus, See What My New Setup Says About Copper

A couple of signals take effect on Monday's open of trading in my COTs Timer system: My S&P 500 setup goes from bearish to cash for a single week (then it goes to bullish the week following), and my crude oil signal goes from bullish to cash. Check out my newly updated latest signals page for details on trader positioning in these and the other markets I follow based on the CFTC's nifty little weekly Commitments of Traders reports.

In other news, I've developed a new trading setup for copper. I haven't included it yet in my signals or backtesting results pages, but I'll do so soon. The setup was bearish for two weeks in mid-June, then went to cash last week and will remain in cash four more weeks before going bullish. It's based on trading on the same side as the large speculators and small traders in copper futures and options (their net position as a percentage of the total open interest, to be exact).

This is my first setup from a new round of backtesting I'm doing on all my setups to incorporate COT and market data since 2007. My existing setups are based on backtesting data from 1995 to 2007, so I'm working now on bringing all that great new data - including a wild bear market and just-as-wild recovery - into my testing. It's lots of fun. Have a good weekend, and good luck next week.


Dave said...

The last three COT reports have omitted the NASDAQ - 100 Sock Index data set from the CME. Alex, do you know what would cause this?

Dave said...

The COTs Report CME section has not reported the NASDAQ - 100 Stock Index dataset for the last 3 weeks. Alex, do you know why this is the case? Thank you for your May2007 article in the TSofS&C magazine.

Henry said...


Thank you for doing all these. I been reading your Blog for 6 months now. just beginning to understand your way of the doing business and more importantly 'Why'. I am a slow learner; what could I say !!!

Also I read about your fascination about the Eastern Townships. I been to Granby, Magot, Sherbooke, and Beauceville a few times.

Keep up the good work, and thnaks again !!

dd said...

Hi Alex,

thank you for youre inspiring work. Can you tell me where you get youre price data (historical and current) from? Did you gather the data manually from different sources or is there some kind of web interface you use. Thank you in advance.


Alex Roslin said...

Hi all,

Sorry for not getting to these comments sooner. Dave, the COT reports often omit a market because the number of traders has fallen below 20, which is the threshold for reporting the positioning in that market. See:

I don't know if that's the case in this situation, but it's the most common reason I've seen.

Henry, thanks for your kind words. Glad you've enjoyed the 'hood.

Florian, I get the price data from Yahoo Finance or when unavailable there I buy data discs from the CRB for some markets.