Friday, 2 December 2011

Late December Awash in Bearish Red

I somehow missed doing my promised update after Monday's holiday-delayed Commitments of Traders report came out. Very sorry! All the latest data based on today's new COT report has now been crunched by my chastized yet keen team here at COTs Timer central, and my latest signals table has been updated.

As it happens, last Monday's data didn't add any other signals than the ones I mentioned in last Saturday's post. 

The new data from today, however, is a different story, as you'll see on my signals table. No new signals to report for next week's open, but after that, watch out. I think the best way to describe the latest COT data is "Yikes." Or perhaps "bahumbug." Santa will not be pleased. Late December is awash in bearish red. But try not to think about that right now! Tis the season to be jolly. Hope you have a great weekend, and good luck this coming week.


I_Got_Prechterized said...


not trying to hate on you because I appreciate you maintaining this site. but I warned that there is something seriously flawed about the entry system, at least currently. It went bearish last week prior to the biggest rally week in 2 years. With this morning's move, that's almost 9% in the wrong direction quickly. However, if it went bearish the week prior, it would have been a decent trade. I take it you continually backtest different entry/exit timeframes?

Alex Roslin said...

Hi I Got Prechterized,

Thanks for your message. Yes, it's clear that particular signal isn't in the money right now. But one potentially missed signal doesn't mean an entire mechanical system is "seriously flawed." See my FAQs page for more details on why that's so.

I am currently retesting my setups, including trade delays. That's something worth doing every couple of years, but not more frequently. A few weeks of new data would make no difference in the kind of backtesting that's appropriate to generate a mechanical trading system.


CC said...

What is the verdict

Alex Roslin said...

Hi CC,

Retesting all my new setups is going to take a few weeks or months. I need to incorporate all the new data since 2007, update various spreadsheets, evaluate what worked and what didn't, etc. I've got a couple of new tentative setups for the S&P 500 and copper based on the new data, but I'm still going over those ones to make improvements.