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.

Saturday, 25 September 2010

"Smart Money" S&P 500 Traders Abandon Ship

It sure does look like we've put most of the worries about a "fall fall" well behind us. The S&P 500 has topped its highs of the summer, while NDX and copper are testing their highs of the year. But some sectors still can't shake off trouble - crude oil and financials among them. What, oh, what do the wise Commitments of Traders numbers foretell, you ask? Friday's data is gloomy indeed. I've just updated my latest signals table based on the latest COT report from the CFTC. Some highlights:

- S&P 500: Still on track to go bearish Oct. 4 and stay that way for three weeks at least. As you can see from my latest signals table, the "smart money" commercials have hit the panic button and are bailing out. They are now more relatively bearish than at any time since early Dec. 2008, which with their customary three-week trade delay was good timing for the early 2009 final leg down of the market crash.

- Crude oil: My trading setup remains bearish one more week, then goes to cash.

- 30-year U.S. Treasury: My setup goes bullish on this Monday's open of trading (not bearish as I had previously indicated!) That means bullish for the bond (i.e. the yield would fall). Another possible sign of market problems as bond yields tend to drop when equities go down.

- Natural gas: One more week bullish, then to cash on Oct. 4.

- Gold: Bullion has had a sweet run to all-new highs, and my setup is still bullish this coming week. The week following is a little in the air. It could go to cash on Oct. 4, but only if the large speculators go absolutely insanely over the top in their bullishness. Based on the COT positioning, the signal will definitely go either to cash or bearish on Oct. 11.

Hope you fare well this week, and be sure to check back in early in the week to see my updated 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

11 comments:

George H said...: Do you see the same thing for US dollar as in

US dollar net shorts hit six-week high - CFTC
http://www.reuters.com/article/idUSN1027426720100924

?; 26 September 2010 at 23:03
Gary Morgan said...: Hey Alex.

Thanks for your work, it's good stuff.

I just added your site to my blogroll, it's only been going for 2 weeks.

I hope you are correct, I am short!; 27 September 2010 at 04:11
Denali92 said...: COT does seem to be working well. The past week was a good one to go neutral - though maybe at the close - not the open!

Have you done any work on the currencies? The COT data supposedly works quite well with the currencies.

THANKS for your useful perspective.

-D; 27 September 2010 at 17:27
PA said...: Hi Alex, just wondering about your methodology. For the S&P you seem focused on the large contract, but what about the more popular EMIni? It shows a large commercial net long position.; 28 September 2010 at 08:59
Reza said...: Hi Alex,

If time permits, please post updates today.

Thanks for your advise.

Reza; 1 October 2010 at 13:47
Reza said...: Hi Alex

Which ones do we follow in the traders commitment.

Dealer, Asset Manager, Leveraged : Other : Nonreportable :

Thanks; 1 October 2010 at 15:51
Ray said...: Alex,

Looking forward to your update this weekend and thanks very much for all you do.

Ray; 1 October 2010 at 18:05
Alex Roslin said...: Hi George,

I don't have a setup at present for the U.S. dollar, but it's on my to-do list.

Regards,
Alex; 3 October 2010 at 21:00
Alex Roslin said...: Hi Denali92,

Is this COT data working well? Do you mean this week? If so, that's immaterial - please see my FAQs page where I address failed signals at length.

I've previously studied COT data for currencies, but I don't have any current setups for any. On my to-do list.

Regards,
Alex; 3 October 2010 at 21:02
Alex Roslin said...: Hi PA,

Regarding the mini data, please see my FAQs page where this is addressed at length.

Regards,
Alex; 3 October 2010 at 21:02
Alex Roslin said...: Hi Reza,

I don't use the disaggregated data as it goes back only three or four years, which I don't believe would produce statistically robust trading setups (i.e. ones that can be expected to work with confidence in real life).

Regards,
Alex; 3 October 2010 at 21:04

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.