COTs Timer

Ever wonder what the smart money is doing in the markets? You don’t need to pay big bucks to find out. Just read the Commodity Futures Trading Commission’s free weekly Commitments of Traders report. The CFTC’s COT data is a Holy Grail of market info, listing trillions of dollars in positions in 200+ markets – gold, crude oil, natural gas, silver, forex, equity indexes and lots more. My trading system, which I posted about here for seven years, gave weekly trading signals based on the COT data.

Sunday, 15 July 2007

Blog Update: COTs & CFTC in the News

I've just added a new feature to this blog with news items on the Commitments of Traders and Commodity Futures Trading Commission (see new link in the Table of Contents above). I'll update it regularly, so check back often. I hope to make it a fairly comprehensive listing of items of interest.

18 comments:

JGilly said...: Hi Alex,

Where do I get your spreadsheet to get started? Why isn't this on the site, am I missing something?

Thanks for the great site,

-john; 16 July 2007 at 10:47
JGilly said...: Great. I sent you an email. Can't wait to look over your work.

Thanks again.

-John; 16 July 2007 at 13:30
Richard said...: Hi Alex,

Can I also have a copy of your XLS?
(richpach@gmail.com)

Charting in XLS is very difficult. Is there a toll to take column input (date, OI, %Long, etc) from XLS and create a line chart?

Kind Regards

Richard; 17 July 2007 at 02:17
Richard said...: Alex,

Can I also have a copy of your spreadsheet please?
(richpach@gmail.com)

Is there a tool to create charts from spreadsheet data? Doing it in XLS is very clumsy.

Regards
Richard; 17 July 2007 at 02:21
Anonymous said...: The COT is still bearish on the NASDAQ Composite? That's not consistent with the current market, is it?; 17 July 2007 at 09:08
Alex Roslin said...: Hi Richard,

Thanks for your interest. No problem for a line chart, but I've found they're not as precise when the data is right at or very close to the signal line. If you can devise one that gives the needed precision, the chart is certainly useful because of the added visual input.

Regards,
Alex; 17 July 2007 at 09:08
JGilly said...: Hi Alex,

I didn't seem to receive the excel spreadhsheet email. I'm wondering if my email didn't go through to you, my email is jgilly97@gmail.com.

If you haven't had time to send it yet, I apologize, I'm just a bit exctied about this COT thing.

Sincerely,

-John; 17 July 2007 at 09:40
Alex Roslin said...: Hi John,

Thanks for your interest. Probably just hadn't gotten to it yet. Just sent it now.

Regards,
Alex; 17 July 2007 at 09:43
JGilly said...: Wow. This is very interesting. One question: Do the calculations apply for all indexes and commodities? Same buy/sell signals etc? Great work.

Thanks so much,

-John; 17 July 2007 at 10:32
Alex Roslin said...: Hi John,

Thanks. Each setup has somewhat different parameter values. Please check out the explanatory links up top for more details, including "The Trading Setups," which gives the parameter values for several other setups.

Regards,
Alex; 17 July 2007 at 10:45
JGilly said...: I looked that over, and I'm trying to make sense of how to apply it to the excel spreadsheet. For example, I'm most interested in natural gas, since most other COT sites are very bullish on it, while you are bearish.

It says to go with Large specs. Now, what do I need to change on the original sp500 spreadsheet you sent to make it work with natural gas.

I'm guessing I would change the calculation in column EA to reflect the Large traders. From there it will calculate the standard deviation and moving averages. Now, are the buy/sell signals in column EG correct, or do I have to change the parameters, or read the opposite parameters since I'm going with the Large traders.

I apologize if this question has been already asked.

Thanks,

-John; 17 July 2007 at 11:01
Alex Roslin said...: Hi John,

For the natural gas setup, I haven't posted the details yet. I'm still contemplating when and how to release the details of the remaining setups. Should I write a book? Should I just post them here?

For now, I've taken the go-slow approach. I've been publishing new setup details regularly in magazine stories in the past couple of months as well as on this blog - most recently the gold and HUI setups. A new magazine story is coming out in Active Trader's next issue, followed by one in the journal of the International Federation of Technical Analysts.

Until then, you'll have to be patient. Apologies!

In relation to the natural gas setup, please read the table notes and results carefully. This setup wasn't historically profitable on the short side, so I'm in cash on a bearish signal - even though the current sell seems to have worked out quite nicely!

Regards,
Alex; 17 July 2007 at 11:15
JGilly said...: What about the other indexes: nas, djia, rut? Will those work with the sp500 spreadsheet as long as I put in the correct trader. Do the SD Index signal still work for the buy/sell signals?; 17 July 2007 at 11:28
Alex Roslin said...: Hi John,

Please check the notes for "The Trading Setups" table, above. The details of the setups I've published so far are all there. I should post soon the details for the Russell 2000 setup, which are also the subject of the Active Trader story.

Take care,
Alex; 17 July 2007 at 11:38
Alex Roslin said...: Forgot to respond to an earlier comment left by "Anonymous," who noted that the bearish NASDAQ signal isn't reflected in recent market action.

This is a good question, and it applies to all my signals. No mechanical system is perfect. As you can see from my "Trading Setups" table, none of my setups has a 100-percent win record. I don't believe any trader or investor has ever won all the time. If you find one who claims to, run away! The goal is to be as profitable as possible over the long run, while preserving your capital.

Also please take a look at the column in that table that gives the largest past intratrade drawdowns for each setup. As you can see, some of the setups had rather large drawdowns (though this wasn't necessarily the final loss for the trade).

This is why any trader who wants to stay in business uses risk-management systems to control their maximum loss in any one trade. Please read the explanatory links above for how I approach risk management in my own system.

All the best,
Alex; 18 July 2007 at 15:50
Anonymous said...: Dear Alex,

I am one of the readers of your excellent COT Timer blog.

I would like to take a look at the spreadsheet you work with to entertain some ideas your blog inspired, like looking for any pre-crash/pre-correction anomalies.

Thank you in advance,
Alex Wertheim

alexw@iloveartdeco.com; 18 July 2007 at 21:23
Anonymous said...: Alex,

Your work is very interesting... I've always wondered how best to use COT data. Would it be possible for you to send a copy of your spreadsheet to me? Also, where do you find OIH and SMH ($SOX) futures data? What exchange do they trade on?

Great site!

Jonathan Herz
jonathancherz@hotmail.com; 19 July 2007 at 10:19
Anonymous said...: sir,
Can I also have a copy of your spreadsheet .
thanks in anticipation
manojap99@gmail.com; 22 July 2007 at 06:26

About This Site

I am an active trader and award-winning investigative journalist based in Lac Brome in Quebec's Eastern Townships, just outside Montreal. I have written about investing and business for The Montreal Gazette, Investor's Digest of Canada, Technical Analysis of Stocks & Commodities, Futures & Options Trader, The Financial Post and others. I am not a certified financial advisor and am still refining my COTs Timer system. Please see more disclaimer information below. See my complete profile at the "Intro to COT" link above.

DISCLAIMER

I created this blog to record my personal, subjective observations about the markets, solely for my entertainment and that of interested readers and to foster research. Nothing on this blog should be construed as financial advice or an offer or recommendation to purchase or sell any security. I encourage anyone interested in the markets to do your own homework and/or consult a professional advisor. I am not a certified financial advisor and am still refining my trading system. I reserve the right to modify or stop publishing aspects of my system at any time or to delay updating my tables for whatever reason, or I may not do so in a timely manner. My system has resulted in very large drawdowns in some trades. Past backtested and real-time results are no guarantee of future performance. I will not be liable for any losses or damages of any kind that result from the content of this site. Although I consider the data, calculations and information on this blog to be reliable, I can't make any guarantees and won't be held liable or responsible for anything erroneous on this website. You are solely responsible for implementing safeguards of your data and system when you use this site and its content and links. It is up to the user of this site and content to protect yourself from worms, trojan horses, viruses and the like. I may hold positions in some of the securities mentioned in this blog.