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.

Monday, 7 April 2008

Filled!

Just updated my portfolio page with my asset mix as of this morning. I went long the NASDAQ 100 index on the open using a leveraged fund. This trade is based on my bullish signal from my trading setup for this index based on the trader data reported weekly by the U.S. Commodity Futures Trading Commission, in the Commitments of Traders reports. Good luck this week, and I hope see you back here in coming days with updates about my ongoing refinements of my COTs Timer setups.

3 comments:

Unknown said...: Hi Alex,

I was wondering what your stop-loss was for the Nasdaq-100 entry you made this week. I understand you use the Largest Drawdown % from your signals sheet to determine this (21%) but should I interpret that to mean that you are willing to ride a 21% loss in that position before closing it out?

Thus, if you entered on Monday at 45.76 is your stop now just below 36.15?

Thanks,

Ian; 9 April 2008 at 10:10
Alex Roslin said...: Hi Ian,

Haven't looked at the specific NDX numbers, but your understanding is correct. My position size is set such that such a loss would amount to 3% of the total portfolio.

I've experimented with filters to set a tighter stop, but that invariably reduces the strategy's performance. Curtis Faith's Way of the Turtle talks about the same issue.

Regards,
Alex; 9 April 2008 at 10:18
Unknown said...: Thanks for the explanation on that, Alex. We definitely must be willing to set wider stops to allow for the longer term trend to develop.

Best,

Ian; 9 April 2008 at 10:52

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.