Monday, June 27, 2011
Good news for bulls in the latest Commitments of Traders report issued Friday afternoon by the CFTC. "Smart money" commercial hedgers remain net bullish in their S&P 500 futures and options positioning, while wrong-way small traders have suddenly gotten hugely net bearish. See my newly updated latest signals table for details. Readers might recall I reported last week that my S&P 500 signal had gone from bearish to cash with a three-week trade delay (i.e. for execution on July 11). Now, the latest data has pushed the signal into the bullish column for the week following - i.e. on July 18.
But there's also good news for bears. Everyone can be happy! Trader positioning in the three-month Eurodollars has soured considerably. It's given my BKX U.S. Bank Index setup a bearish signal for execution on Monday's (tomorrow's) open of trading. This signal tends to be shorter-term and on average has lasted 2.6 weeks in real-time trading (as opposed to 6.5 weeks on average for my S&P 500 signals). So it's entirely possible that both of these signals will turn out to be right.
Also, my 30-year Treasury signal goes from bearish to cash on Monday's open.
In housekeeping notes, I've started an update of my backtesting of my system - a necessary step after real-time trading a mechanical system for 20 to 30 percent of the original dataset, since the robustness of the signals tends to deteriorate the longer they're used. The original dataset was 1995 to 2007 for most of the signals, so they're due for an update.
My real-time trading experiences and all this juicy new data should help me come up with a more robust series of setups to replace the existing ones. I should start introducing new setups in the coming weeks. I've also been able to speed up a few aspects of my testing, which should allow me to find time to bring in setups for a few new markets.
Good luck this week!
Sunday, June 19, 2011
New signals taking effect on the coming week's open of trading: My trading setup for the benchmark BKX U.S. Bank Index goes from bullish to cash, and my signal for natural gas goes from bearish to cash. I just updated my latest signals table with these signals and other new details based on Friday's Commitments of Traders report issued by the U.S. Commodity Futures Trading Commission.
Here's something interesting: The "smart money" commercial hedgers in S&P 500 futures and options have gotten substantially more bullish in their positioning in the latest COT report. Their signal has gone from bearish to bullish. Meanwhile, the wrong-way small traders are slowly unwinding their excessively bullish positioning, but they've yet to come anywhere close to a bearish extreme.
In my trading setup for this market, both groups of traders must give the same signal for me to take a trade. In backtesting, this gave the most statistically robust and profitable trades. The result? My setup, which uses a three-week trade delay, will go to cash in three weeks' time because the two signals don't agree.
Good luck this week!
Sunday, June 12, 2011
One new signal based on Friday's Commitments of Traders data issued by the Commodity Futures Trading Commission. My trading setup for crude oil goes from cash to bullish on Monday's open of trading (June 13). See the details on the crude data and the trader positioning in other markets I'm following on my latest signals table. Good luck this week!
Monday, June 6, 2011
Is it all over for the bull market rally since... how long has it been now?... since 2009! And what a rally it was. Trader positioning in the futures and options markets gives me a bullish signal for the BKX U.S. Bank Index, taking effect on today's open of trading. On the other hand, my bearish signal for the S&P 500 is still in effect, too. In fact, the latest COT data from the CFTC shows trader positioning in that market getting even worse.
The explanation could be simple: My BKX trading setup uses three component signals and thus tends to go in and out of positions on a shorter time frame than my S&P 500 setup, which is based on just two signals. In other words, both setups could be right. If that's the case, we could see a little rally within a larger decline.
See my newly updated latest signals table for more details on these and my other signals. Good luck this week!