Sunday, 17 July 2011
S&P 500 to Bullish
Just updated my latest signals table with the Commitments of Traders data from Friday's weekly release on trader positioning by the U.S. Commodity Futures Trading Commission. My S&P 500 trading setup based on the COT data is going from cash to bullish on this coming week's open of trading (i.e. on Monday). The COT data for this market looks good for at least the next three weeks (the trade delay for this setup) - meaning it's going to be bullish at least three weeks out.
I've now also updated my S&P 500 setup based on new backtesting to include data since 2007. The new setup is the one I'm using for the new signal. Like my old setup, the new one uses the same two component signals: trading alongside the commercial traders when they hit certain extremes of trader positioning and fading (trading opposite to) the small traders, who are usually wrong at extremes of positioning. The new setup uses slightly different parameter values.
I've updated the latest signals table to include the new stop and portfolio allocations I'm using for the new setup. Please ignore the parameter values now listed on my backtesting results page, which I haven't updated yet. Please also ignore for the time being the parameter value information on the DIY page. I've disabled the spreadsheet linked there and will soon replace it with a new one using the new parameter values.
In other markets:
- BKX Bank Index: My setup for U.S. financials goes from bearish to cash on the coming week's open of trading.
- Copper: My new setup is in cash but goes to bullish on Aug. 8.
- Gold: Don't get too comfortable with the bullion rally. At least not if the COT data is right. My gold setup remains bullish one more week, then goes either to cash or bearish on July 25.
- 30-year U.S. Treasury: My setup goes to bullish on Monday's open after three weeks in cash.
See my latest signals table for more details on the other markets I'm following. Good luck this coming week.