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.

Tuesday, 1 September 2009

New FAQs Page, Portfolio Page Updated

I've just updated my portfolio page with results as of Friday's close of trading. I've also just added link to a new Frequently Asked Questions page to my Navigation bar on the right. Most of those are questions I've gotten asked numerous times, and I guess I'm just getting lazy about not wanting to repeat myself over and over! That page also includes a step-by-step breakdown of my backtesting process.

6 comments:

Anonymous said...: are you currently long ES/markets?

thanks; 1 September 2009 at 21:27
Alex Roslin said...: My positions are indicated on my portfolio page. I don't have a setup for the emini S&P 500 data.

Regards,
Alex; 1 September 2009 at 21:52
In Debt We Trust said...: What do you think of the Chalkin Money Flow (CMF) indicator?

It seems to be more accurate on longer time scales - see UUP vs. FXA on the daily and weekly charts.

I have been wondering if it could be used as a substitute or complement to COT timing.; 2 September 2009 at 12:18
Alex Roslin said...: Hi In Debt...,

CMF is based on an interesting concept, and I have looked at it from time to time, but I've never done or seen any backtesting on it. It could be interesting to study further, and it certainly has potential to be integrated into the system. The question is what parameter values would work best for CMF in relation to the COT data. That's important to find out before integrating it. Also, does it really improve results or not? Other indicators I've tested actually degrade results and robustness, so we can't assume it will improve things.

Regards,
Alex; 2 September 2009 at 12:48
In Debt We Trust said...: Well, CMF seems to work best on a longer macro time scale - certainly not week to week.

But if you add in volume and throw in a 10 day SMA then things get interesting:

PS, what do you think of this week's upcoming CFTC changest to the COT timing?

http://debtsofanation.blogspot.com/; 2 September 2009 at 18:54
Alex Roslin said...: Hi In Debt...,

Yeah, I like the concept behind the CMF. It's something worth studying to see if it could be integrated. Maybe CMF can even function in a trading system on its own - or perhaps in combination with a moving average? Btw, I found the slope of some moving average periods gave some of the best signals of any technical price-based indicators I did study.

Regarding the CFTC changes, I want to study them a little more to figure out how they will impact things. The CFTC has said it might keep publishing the current version of the COT report at the same time. Obviously, whatever they do could have a huge impact on continuing to trade these signals, unless the four new categories are merely two new groups of traders from within the commercial and non-commercial categories. The CFTC's detailed explanatory notes seem to indicate that that's the case, but I'd like to get more clarification.

I believe it would be preferable to keep having the existing report as well as the new broken-out data. The CFTC says it will provide three years of historic data for the new categories, but that's far from being enough for any kind of analysis purposes. You'd need data going back at least 10 years and ideally all the way back to 1995 for it to have any usefulness beyond unscientific eyeballing of charts.

If you have concerns, I strongly suggest you let the CFTC know. They have invited comments on their proposed changed. Those can be sent to secretary@cftc.gov. Deadline: Oct. 1, 2009.

Regards,
Alex; 3 September 2009 at 10:14

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.