I've updated my main table on the Latest Signals page with more newly revised trading setups based on the Commitments of Traders reports, which detail trillions of dollars in futures and options positions in the major markets. I'm looking back at all my setups as part of an exercize of refinement that's good to do periodically for mechanical trading systems. I've found some much-improved setups for all four of the U.S. equity markets in the COTs reports: the S&P 500, NASDAQ 100, Dow Jones industrials and Russell 2000. I've also found another, even better setup for the HUI Gold Bugs Index, which really blew me away. I actually had to widen the columns in the table to accommodate the huge returns.
My new Russell 2000 setup was in bearish mode between mid-February 2007 and just two weeks ago, when it flipped to bullish. This setup operates with a seven-week delay, however, so it's not necessarily saying the coast is clear right now.
As well, you'll also notice I've temporarily removed my signal for my COTs U.S. Equity Composite Index, which combines the four U.S. equity setups into a signal for the broader stock market. I'm still testing the best parameter values to use to get signals for this index, but I can say the most robust and profitable setups I've found so far turned bearish on Dec. 18 or Dec. 24.
Finally, apologies for any confusion these revisions may be causing and interruptions in the signals from any replaced setups. Once this process is done in the coming weeks, I think the results will speak for themselves in terms of more accurate calls.
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