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.

Thursday, 3 January 2008

Sorry, Gold Bugs! Improved Gold and HUI Setups Still Bearish

I've got new trading setups for gold and the HUI Gold Bugs Index based, like all my other setups, on the nifty little Commitments of Traders reports issued weekly by the U.S. Commodity Futures Trading Commission. These improved setups really blow me away, especially the one for HUI. (Thanks again to reader Dave for his invaluable input!) Take a look at the results on my Latest Signals page, where I've posted the setup numbers on the main table and the running results for the gold setup in a separate table lower down.

Sadly for you wacky gold bugs out there, both setups flipped to bearish on the same date as my old gold and HUI setups did - Sept. 25 - and remain bearish right now. Sorry, folks! Let the hate mail begin. You'll also notice from the updated Latest Signals table I've dropped my setup for the USERX U.S. Gold Fund, which had virtually the same signals as my old gold and HUI setups and was starting to feel a little redundant. Still holding onto my XGD Canadian Gold iUnits setup for the time being though, which has been on a bullish signal since May 22. (I'm personally long XGD too.) But I might trim some of my precious-metals position soon in accordance with new rules I'm developing to limit portfolio allocations in correlated markets like gold and silver. I've also been long silver since my setup flipped to bullish from the July 3 COTs report, and my total precious-metals position is nearly 30 percent of my total assets. My new rule will set a maximum allocation of 20 percent in any one highly correlated market.

9 comments:

Anonymous said...: New and Improved???...huh...let's see. Since Sept.25 the HUI is up nearly 100 pts....gold is up nearly $200!!!!!!.....and USERX is with a hares breath of breaking to new highs....AM I MISSING SOMETHING?

I suggest you have talk with Mr Steven Kaplan who has been bearish on Gold and the HUI since July also.
Maybe the two of you can work it out together.; 4 January 2008 at 01:20
Anonymous said...: hi Alex

does that mean you are abandoning your previous Gold Setup (i.e. trading the same side as Commercials, with a 2 standard deviation and 18 week moving average)?

will you still show this old setup?

Thanks
Fred; 4 January 2008 at 06:22
Alex Roslin said...: Hi Fred,

Yes, I'll be dropping the old setup parameter values and won't be showing those signals any more. I believe these ones are superior. Apologies! But you may easily reproduce the old setup using my S&P 500 spreadsheet as a model and substituting another setup's parameter values. Also, as I mentioned in my post, the new setup's bearish signal on Sept. 25 came on the same date as the old setup's bearish signal, so this doesn't affect any current trade.

Best regards,
Alex; 4 January 2008 at 09:14
Alex Roslin said...: Hi Anonymous,

Thanks for your comment. As I've mentioned elsewhere on this blog, the idea isn't to catch every single minor fluctuation, but to get good-probability, longer-term trades. It's not going to produce 100% winning results either. No trading system has done that. Do you know of one that has?

Regards,
Alex; 4 January 2008 at 09:15
Anonymous said...: Oh NO! Alex.

Let's not to mention the super bull run of Gold from the bearish signal.

Let's see sterling:
Since the signal of Bullish of Sterling, how much have it depreciated against yen or even the Dollar (Set Bullsh by your signal).

The only thing I can say that your signal about Gold and Sterling completely lose or even against the market......or maybe you traced the wrong side...

If you are really not sure about whom to trace, please set the signal for blank. It's not a bad idea.

Sincerely,; 4 January 2008 at 09:38
Alex Roslin said...: Hi Lyu,

Thanks for your comment. See my previous response above.

Regards,
Alex; 4 January 2008 at 09:42
Alex Roslin said...: As an addendum to Lyu's comment about the British pound, sterling is about flat with the U.S. dollar since the bullish signal of the Dec. 18 COTs report. The COTs data is for the pound/U.S. dollar cross. There isn't any COTs data for pound/yen.

Regards,
Alex; 4 January 2008 at 14:13
Anonymous said...: Alex,

"the idea isn't to catch every single minor fluctuation"

I would hardly call a 30% rise in gold a "minor fluctuation" and nor has the run finished yet so it would seem.; 4 January 2008 at 16:49
Alex Roslin said...: Hi Al,

My gold setup caught part of that move with a bullish signal in June Since the bearish signal in September took effect, gold is up 15 percent (not 30% as you suggest).

Meanwhile, input on creating a magical system that catches every top and bottom and never loses money is highly appreciated!

Regards,
Alex; 4 January 2008 at 17:08

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.