I've been busy most of the day with some virus problems, so apologies for an abbreviated Commitments of Traders update today. My two trading setups based on this weekly derivatives data are unchanged: bearish for the S&P 500 for next week and cash for gold.
My S&P 500 setup will be going to cash on the open of trading on Monday, March 9. That signal will last all of one week, then revert to bearish for at least two more weeks... and possibly more. Three weeks out is all the signal can see. The data for the S&P 500 is uniformly bearish, except for that brief respite in a week's time. In this afternoon's COT data, the commercial traders are 0.47 standard deviations below the moving average I use for their signal. And the small traders are still far too exuberant - their net percentage-of-open-interest position 1.48 standard deviations above the average. That's down from 1.61 standard deviations the week before - but still far from falling into bearish territory. Unfortunately, the little guy doesn't seem to have lost enough money yet.
In gold, still no resolution in the standoff in my trading setup. The large specs have dropped their net position as a percentage of the total interest two weeks in a row. They now sit 1.02 standard deviations above the average. That is bullish. These guys are usually wrongly positioned at market turns. However, the large spec total open interest is still alarmingly high. It's at 1.07 standard deviations above the average. We need to see that come down dramatically at least to 0.6 standard deviations below the average to flip the entire setup back to bullish. So the overall setup remains in cash for a fourth straight week. It could mean there needs to be a pullback before gold will continue on its march to $3,000 or whatever the gold bugs are predicting these days.
Hope you have a good weekend. And be sure to check out the updated post on my portfolio page.
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, Monte Carlo, out-of-sample testing, walk-around testing
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