The Fall Fall

Will there be a big fall fall, as some predict? It's starting to look like a crowded trade, as Stephen Vita has pointed out, but it's still definitely a possibility if the Commitments of Traders data is any indication. My trading setups for the S&P 500 and BKX U.S. Bank Index remain bullish for now, but the latest COT numbers released Friday have given one of the components in my BKX setup a bearish signal that takes effect with a two-week delay - i.e. the open of the week of Sept. 6. That week, my BKX setup will go to either cash or bearish, depending on what the other two component signals that make it up are saying.

I've just updated my latest signals table based on Friday's COT data from the Commodity Futures Trading Commission. You'll notice that my crude oil setup goes bearish on the open the week of Aug. 30, while my setup for the Nikkei goes bearish Sept. 13. So far, however, my S&P 500 setup remains squarely in bullish mode for the next three weeks. In fact, the "smart money" commercial hedgers have seriously ramped up their bullish net positioning, while the wrong-way small traders have gotten somewhat more bearish in the latest data (though as devotees of this blog know, that data doesn't correlate strongly with subsequent prices, so its real import is just that it's far from triggering a bearish signal).

Also of note: my natural gas setup goes from bearish last week to bullish this coming week. And my 30-year Treasury signal goes to cash.

Hope you're having a good weekend. See you early next week for an update of 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