Saturday, 7 April 2012

Announcing: New Trading Signals!

Just updated my latest signals table with the signals from my four brand spanking new trading setups (S&P 500, gold, copper and crude oil) based on the weekly Commitments of Traders data issued by the CFTC.

Two signals take effect on the open of next week: bearish for my new crude oil setup, and bullish for gold. Also note that my new copper setup is in cash.

And my new SPX setup remains bullish based on strong bullish positioning by the commercial hedgers.

Also see my signals table for new parameter values for those new setups. I'll update my backtesting results table soon with more details.

I'll be on the road for a few days next week going back to Canada after a beautiful three-month stay in Costa Rica's Nicoya peninsula (highly recommended!)

But after we get settled back in, I'll get back to work updating my other existing setups, which shouldn't take too long now that I've improved the automation of a bunch of my backtesting.

And I'll be aiming to add new setups in markets I'm not trading now. Your suggestions for which ones to cover are welcome. Good luck next week.


jeff said...

Regarding new correlations these are my suggestions
1. VIX
2. An agriculture commodity (ideally to invest in a diversified agri index fund)
3. Currency (US or CDN or Aussie $)
4. MCSI emerging markets index

Also came across these COT studies that show how commercial positioning correlate to other assets. You may want to look at them for your studies. I included them if you are interested.

1. Eurodollar COT positioning is a 52 week leading predictor to the S&P

2. Japanese yen positioning as a predictor of Treasury

3. Lumber to housing stocks

4. Oil as a predictor of S&P

jeff said...

Also I tried to replicate the regression but I couldn't get this to work. I have some basic questions like do you look at % changes in price to % change in positioning or OI. If you have posted a sample spreadsheet of how you did one study I would be interested to review.

suchir said...


I was wondering what duration you were using to compute your averages and standard deviation for the Crude Oil setup? (ex. 4 week average)

Alex Roslin said...

Hi Suchir,

Thanks for your question. I haven't posted that information.

Best regards,