Holiday Delay

Holiday delay today means this week's Commitments of Traders report will be issued Monday afternoon instead of today. Happy New Year!

Bullish Natural Gas

Happy holidays! Welcome to an abbreviated Xmas version of COTs Timer. I've just updated my latest signals table based on today's holiday-delayed Commitments of Traders release from the CFTC. No new signals again this week. Taking effect on this week's open of trading were two previously announced signals: bullish for natural gas and cash for the Nikkei Stock Average. Tune back in tomorrow or the day after for a portfolio update, and best wishes in 2011! Now back to my eggnog.

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil,Treasury, bond, 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

Treasury Bond Signal From Bearish to Bullish

Not much to report this week from the Commitments of Traders data. See my latest signals table for the details. The only new trade to take effect on Monday's open of trading is to sell my bearish position in the 30-year Treasury bond and go long. That one's worked out pretty nicely. So has my bearish position in natural gas, which has one more week to run; that setup then goes bullish on the open of the week of Dec. 27.

Hope you have a great weekend and good luck next week. Tune back in early next week for a portfolio update. Happy Holidays!

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil,Treasury, bond, 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

Bullish: Gold; Cash: Financials; Bearish: Gas

I've just updated my latest signals table based on this afternoon's Commitments of Traders data from the Commodity Futures Trading Commission. U.S. financials go from bearish to cash. Gold goes from cash to bullish. Natural gas goes from cash to bearish. See the table for all the details, and check back in after the weekend for a portfolio update. Have a good weekend!

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil,Treasury, bond, 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

Stopped Out of S&P 500 Short Trade

I've been stopped out of my S&P 500 short position. As usual when something like this happens, I'll be looking at the charts to go in the opposite direction because it means an unusually strong trend.

Slew of Red

Woah. What a mess of red showing up this week on my latest signals table! Although I'm quite long in my discretionary trades based on the sweet price action lately, the Commitments of Traders data just hates this market. I've just updated my table based on this afternoon's data from the CFTC. Some highlights:

- U.S. financials: My trading setup for the BKX U.S. Bank Index has gone bearish after 11 weeks in cash. This is due to huge declines in the total open interest of the large speculators and small traders in the three-month Eurodollar contract, plus declining net positioning of the large specs. The bearish signal takes effect on Monday's open of trading.

- Nikkei: My Nikkei setup also goes bearish on Monday's open.

- S&P 500: My S&P 500 setup has been bearish since Oct. 4, and the data remains steadfastly negatory despite the recent market action.

- Natural gas: Even natural gas is jumping into the bearish camp. This, even after its collapse over the last few eons. The signal takes effect with a week's trade delay - i.e. on Monday, Dec. 13.

Hope you had a good week and that you have an even better weekend. Tune back in early next week for a portfolio update.

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil,Treasury, bond, 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

New COT Data Up

I've just updated my latest signals table based on this afternoon's holiday-delayed Commitments of Traders data from the CFTC. No new signals to report, but some interesting shifts in trader positioning, including in natural gas and the three-month Eurodollar data. The latter, which gives me signals for U.S. financials, is now quite depressed, though I still haven't gotten a bearish signal for the BKX U.S. Bank Index. Have a good week!

Holiday Delay

This week's Commitments of Traders report is delayed until Monday afternoon because of Thanksgiving. I'll update the signals table and write up a post Monday. Hope U.S. readers had a good Thanksgiving, and good weekend to all!

Selloff May Not be Over

So is that it? Is the selloff over now and market nirvana on the horizon? Not according to my read of this afternoon's Commitments of Traders numbers, issued weekly by the Commodity Futures Trading Commission. I've just updated my latest signals table with the details. Here's the Coles Notes version:

- S&P 500: My trading setup goes into its eighth straight week being bearish, and it shows no signs of letting up. In fact, the "smart money" commercial hedgers are only a tad less net short relative to recent data than last week, while the wrong-way small traders are going bananas in their bullishness. Not sure how much that matters since week-to-week fluctuations in this market have little correlation with market prices, but the COT data is clearly very far from flipping to bullish.

- BKX U.S. Bank Index: U.S. financials don't look like a good bet, according to Friday's data. My setup remains in cash for a 10th consecutive week, but the COT data shows major panic among large speculators and small traders in three-month Eurodollars (the liquidity measure, not the currency). All three component signals in this setup are now bearish (though with their varying trade delays, the setup remains in cash for now).

- Crude oil: My setup is bearish for a sixth week in a row. The small traders, whom I follow in this market, have, however, significantly boosted their net futures and options position as a portion of the total open interest. Their signal has gone bullish with an eight-week trade delay, so the setup will go to cash or bullish in eights weeks' time. The bearish signal could end sooner depending on what the commercial traders do, but regardless, the setup will stay bearish for at least the next four weeks based on the commercial signal's trade delay.

- Gold: Will the gold and silver rally continue? Silver looks pretty hot right now on the charts, with a nice breakout in the SLV:GLD ratio, for example. My gold setup will be in cash for its seventh straight week, but as the latest signals table shows, the COT data suggests serious capitulation among the large speculators, whom I fade in this market. So that could be bullish for gold.

Hope you did well this week and that you have a great weekend. Check back in early next week for a portfolio update.

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil,Treasury, bond, 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

No New Signals

No new signals coming out of my trading setups based on today's holiday-delayed Commitments of Traders report issued by the Commodity Futures Trading Commission. My S&P 500, crude oil and 30-year Treasury bond setups are all still bearish, while gold, natural gas, the BKX Bank Index and the Nikkei are all in cash. See my latest signals table for more details. Sorry - no time this week for a more in-depth report or portfolio update. Good luck this week.

Holiday Delay

Last week's Commitments of Traders report will be issued Monday afternoon due to a U.S. government holiday. I'll update my latest signals table Monday evening with the new data. Meanwhile, note that my Nikkei signal goes to cash on Monday's open of trading. Good luck this coming week.

Why I'm (Kind of) Bearish Despite the Rally

Nice breakouts after the U.S. congressional election Tuesday. But with some exceptions, the Commitments of Traders data remains generally bearish, according to my take. I've just updated my latest signals table based on Friday's weekly COT data from the Commodity Futures Trading Commission.

So what should I do? Ignore my signals? Well, no. The fact is signals are sometimes wrong. Actually, quite often. If you look at my backtesting results table, you'll see that my trading setups were profitable only 64 percent of the time on average in historical testing. That's actually not a bad success rate for a mechanical trading system. What's important for me is making money over the long run and cutting losses when the signal goes against me. Also, some signals are wrong for a while, then turn out to show a gain. You never know what's going to happen in the markets. And if I don't use my system with discipline and the right risk control - even when signals don't work - what's the point of having a system in the first place?

Check my FAQs page for more on the question of losing signals, risk management and how I trade my system. All that said, I am actually net long when I include my discretionary trades, so this ramp-up doesn't bother me too much anyway. I like having the COT short positions as a hedge and to help diversify my strategies.

Some highlights from my signals page:

- S&P 500: Still bearish, and no signs of changing its mind. The "smart money" commercial hedgers remain totally unimpressed with the market, while the wrong-way small traders just dig it.

- Nikkei: My trading setup for the Nikkei was bearish for eight weeks, and now it goes bullish for a single week on Monday's open of trading, then it heads to cash on the open of Nov. 15.

- Crude oil: My setup for oil is bearish for a fourth straight week and shows no signs of changing direction either.

- 30-year Treasury bond: My signal was in cash last week, but it goes to bearish for Monday's open of trading (meaning bullish for the yield). The setup will remain bearish for at least the next three weeks.

Hope you did well this past week and that you have a good weekend. Check back here early next week for a portfolio update.

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil,Treasury, bond, 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

Cash for Gas

Just updated my latest signals table based on today's Commitments of Traders data released by the Commodity Futures Trading Commission. Notable signals for next week's execution: My trading setups for natural gas and the 30-year Treasury bond both go from bullish to cash on Monday's open of trading. (The Treasury signal had already been stopped out on Thursday, as reported in my post earlier today.) I'll be back early next week with a post about the data and signals and an update to my portfolio page. Have a good weekend!

Stopped Out of Bullish Bond Trade

Got stopped out of my bullish 30-year Treasury bond position Thursday as the bond yield bounced up. I usually look for opportunities to put on a discretionary trade in the opposite direction in this kind of situation because it means the market is showing a strong trend against the historic data that could continue for a while.

Getting Gas

Natural gas has been crashing forever, it seems. My trading setup for natural gas goes bullish on Monday's open of trading. But the signal stays bullish just one week, so the carnage may not be over. This and other newly updated signals and data are now up on my latest signals table, based on Friday's Commitments of Traders data. Sorry for the shorter report this time around. Have a good week, and be sure to tune back in early this week for an update to my portfolio page.

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil, Treasury, bond, 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

Crude Times for Crude

Quite a bunch of meltdowns and meltups this week. U.S. banks and bonds got clobbered, while the S&P 500 and gold were flying. Here's how the Commitments of Traders numbers see things (check my latest signals table for more details):

- S&P 500: Third week bearish for my S&P 500 trading setup based on the weekly COT data issued by the Commodity Futures Trading Commission. As you can see on my newly updated latest signals table, the "smart money" commercial hedgers are still uber-bearish. Their net position as a portion of the total open interest is now in its fifth straight week of being one standard deviation below average or lower. The wrong-way small traders are also still fairly bullishly set.

My position is down about three percent (discounting leverage), but hey, that's trading. Could still close out with a gain. And even if not, you can't expect to win 100 percent of the time - or anywhere near that - in this business. See my FAQs page for more on how I feel about losing trades.

- Crude oil: My trading setup for crude goes to bearish on next week's open of trading. With the trade delays involved in the signals, this setup will remain bearish for at least the next four weeks. As Stephen Vita noted today on his excellent Alchemy of Trading site (see free version here), crude has just entered its seasonally weak period between mid-October and mid-December. (As an aside, readers sometimes ask me about the best books to read about trading. I always tell them to check out Stephen's site. I've learned more from him than any other source.)

- Natural gas: When will the misery ever end for this sad-sack market? Now, according to the large specs and small traders. Both groups are piling into gas futures and options. My setup has gone bullish with a one-week trade delay, meaning execution on the open of Oct. 25. Caveat: This doesn't mean the COT data says gas has probably bottomed! The signal could last as little as one week, then be back in cash or, a week after that, even bearish. That's just how gas is. Jumpy!

- U.S. financials: Fifth week in the cash column for this market.

- Gold: Large specs are over-exuberant, and my signal is in cash a second week in a row.

Hope you did well this week and that you have a great weekend. I'm sure looking forward to it. Saturday is Mexican night! Hasta la proxima vez - and be sure to check back in early next week for my portfolio update.

TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil, Treasury, bond, 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

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