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.

Tuesday, 9 October 2007

New Setup: COTs Like the Taste of Wheat

Just posted results and signals for my latest trading setup based on the Commitments of Traders reports. This one is for wheat. Check the "Latest Signals" page for the details. It's just flipped bullish with the Sept. 11, 2007, COTs report and, as of last Friday's data, has now given three straight renewed bullish signals. This is based on trading with the commercial traders - the smart money insiders in most markets, though not all! - when they hit specific extremes of bullishness and bearishness in their net futures and options positions as a percentage of the total open interest.

2 comments:

Anonymous said...: Very nice.

I really enjoy reading your entries. I know they are sometimes a pain to write, but they are appreciated.

Are you trading anything off of the wheat cot at this time? Or is more educational at this point? Also, I don't know if you saw this or not, but here is an Ag ETF.
http://finance.yahoo.com/q/hl?s=DBA

It's thinly traded, and new, but it's based upon:
Corn (Fut) 23.57%
Soybean (Fut) 31.07%
Sugar (Fut) 17.91%
Wheat (Fut) 29.94%

Also, here is an article on this ETF:
http://seekingalpha.com/article/25746-agricultural-commodity-etf-a-longer-term-look

Cheers!
Dave; 10 October 2007 at 07:17
Alex Roslin said...: Thanks, Dave! I'm enjoying writing this stuff and have learned lots from people's feedback. No pain here!

I'd heard about that ETF and was wondering whether it may be a way to trade the ag setups. It presents several problems though. One is that the four setups would all have to be aligned the same way to buy it. Also, such a setup would need need to be tested on data going back long before 1995 in order to get any kind of statistical confidence because of the added number of variables in such a system.

What may be worthwhile studying is whether an underlying ag index matches one of those commodities particularly well. Another alternative is to create a composite indicator similar to my U.S. composite indicator, and test that against some ag indexes.

Regards,
Alex; 10 October 2007 at 09:05