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.

Friday, 10 September 2010

Bank Signal Bullish Next Week... But S&P 500 Smart Money Gets Bearish

Some new signals and interesting data coming out of today's Commitments of Traders report from the CFTC. Check my latest signals table for the details. Some highlights:

- S&P 500: The "smart money" commercial hedgers have followed the wrong-way small traders in giving a bearish signal for my S&P 500 setup. That signal is to take effect on the open the week of Oct. 4.

- BKX U.S. Bank Index: The data for BKX, based on the three-month Eurodollar contract, has flipped to bullish for next week. (The trade is to go into effect on Monday's open.) But it's a short-term trade only, lasting just a single week, as the small trader total open interest went bearish last week. Their signal will kick in with a two-week trade delay the week of Sept. 20. This means my setup will go to cash or bearish that week.

- Nikkei: My setup goes bearish on Monday's open (Sept. 13).

- 30-year Treasury bond: My setup, which was bearish for two weeks, goes to cash on Monday's open. It will then go back to bearish on the open the week of Sept. 27.

- Crude oil: My setup went bearish Aug. 30 and will remain so until Oct. 4, when it goes to cash.

- Gold: My setup went bullish Aug. 30.

- Natural gas: The setup went bullish on Aug. 23 and remains so for at least one more week.

Hope you survived the last week and have a great weekend. Check back in early next 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

5 comments:

Pi said...: Hi,

Another thing i wanted to ask you. For the open interest in eurodollar futures which you use for setups in BKX, is that data provided for individual contracts( cause there are around 20 calendar contracts actively traded) or just as a whole? Also, logically what could be the connection between eurodollar positions and banking stocks?

Also, can the positioning in eurodollar be used to take setups in eurodollar itself.

I am asking all this cause i trade eurodollar intraday as a scalper.

Thanks; 11 September 2010 at 00:58
Alex Roslin said...: Hi Pi,

Thanks for your message. For the total open interest for large speculators, I add columns I and J of the COT report. For the small traders, I add columns P and Q.

I can only speculate about the connection between Eurodollar positions and banking stocks, but I imagine it has to do with the fact that Eurodollars reflect liquidity in the financial system.

I wouldn't apply the signals for BKX to any other market without going through appropriate backtesting.

But one could get a preliminary idea of the usefulness by simply generating a spreadsheet and putting in the values for Eurodollars. Of course the signals would come only on a weekly basis too, but this could be useful if combined with other, technical market signals.

Regards,
Alex

Alex; 13 September 2010 at 10:07
Reza said...: Thanks Alex for the updates; 14 September 2010 at 16:07
Unknown said...: Hi,

Should the stop loss percentages in the tables be changed depending on whether one uses a 3X, 2X or unleveraged ETF?

Thank you; 16 September 2010 at 16:58
Alex Roslin said...: Hi Tommassini,

Yes, that is what I do.

Regards,
Alex; 17 September 2010 at 11:02

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.