COTs Timer: S&P 500, Gold in Cash

Tuesday, 6 January 2009

S&P 500, Gold in Cash

I updated my latest signals table this morning based on yesterday's holiday-delayed Commitments of Traders data. Some highlights:

- My new S&P 500 setup is in cash this week for a single week. It then goes back to bearish for at least the next two weeks starting the open of trading Monday, Jan. 12. The downer signal is based on: (1) the commercial traders, who have sat at extremes of bearish net positioning since the end of November (they're highly dubious about the current rally, with their net position at 1.47 standard deviations below the moving average for this setup) and (2) a sudden drop in the small trader total open futures and options positioning in the past two weeks.

- My new gold trading setup is in cash for a second week. In this market, the large speculator total open interest has hit exuberant extremes for the past three weeks, suggesting the recent rally was a little overbought.

Disclaimer messages: Anyone who has taken a look at my new or past spreadsheets for my S&P 500 trading setup - as well as all other readers of this blog - should be sure to read the disclaimer messages I've posted more prominently on the page where the spreadsheet is posted and on every other webpage on this site. That disclaimer was already posted on every page, but I've now made it more prominent because I don't want any mistakes about the risks I'm taking when trading my signals and the fact that these aren't recommendations to readers to buy or sell anything. I'm not a certified financial advisor and created this blog as a way to track my own system development, share information about the COT data and learn from readers. The last part has actually been the best surprise from all this - meeting other people with similar interests and learning from them. Thanks to all and best wishes in 2009!

TAGS: S&P 500, SPX, gold, COT, Commitments of Traders, derivatives, Black Swans, market timing, trading system development, CFTC, Commodity Futures Trading Commission, COTs Timer, out-of-sample testing, walk-around testing

1 comment:

Anonymous said...: Alex,

Thanks for the updated figures. Hope you had a great Christmas!
Still working on the backtesting - pretty sure it will show that std dev will be useful on stop losses. Will keep you posted.

Tim; 6 January 2009 at 14:24

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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.