Just updated my table on the "Latest Signals" page with results from my new trading setup for sugar. The setup has just flipped to cash as of the Sept. 25 COTs report. Sugar, alas, is a hard one to trade, it seems. No wonder, too. Prices have been all over the map, starting above $14 in 1995, dropping to $5, then careening back and forth like a drunk driver for a while to arrive at $12 by the start of 2007. My sugar setup works by trading on the same side as the commercial traders when their net futures and options position hits specific historic extremes of bullishness and bearishness. The setup worked best following only the bullish signals with a long position and going to cash on a bearish signal. While the bearish signals were cumulatively profitable since 1995, when the data starts, they produced super-volatile results, including one drawdown of 79 percent. The setup proved to be slightly more statistically robust using only the bullish signals (though still not highly so), while being invested only 57 percent of the time.
Like all my setups, the sugar setup is based solely on the Commitments of Traders reports issued for free weekly by the U.S. Commodity Futures Trading Commission. Some analysts said it couldn't be done, suggesting this valuable government data shouldn't be relied on for trading without the use of other indicators. Not true. Most markets I've looked at have yielded setups that historically beat the underlying markets and stood up well in terms of their profitability confidence intervals.
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