Sunday, 31 July 2011

S&P Commercial Traders Get Negative, But not Worryingly So

Not one new signal in my trading setups based on the Commitments of Traders reports issued weekly by the U.S. Commodity Futures Trading Commission. My S&P 500 setup remains notably bullish for a fourth consecutive week, perhaps signalling that all will work out in the U.S. debt standoff craziness.

Mind you, the "smart money" commercial hedgers have gotten considerably more bearish in their derivatives positioning in Friday's data. See my newly updated latest signals table for more details on this and the other COT markets I'm following. Nonetheless, the commercials are far from being at any kind of historic extreme in their holdings, which means my setup remains in bullish mode for the time being. Good luck next week.

Friday, 22 July 2011

Gold, Nikkei to Cash

Couple of signals taking effect on next week's open of trading: My trading setup for gold goes from bullish to cash, and the same for my signal for the Nikkei Stock Average. Otherwise, everything's the same as last week: bullish for my new S&P 500 trading setup and the 30-year Treasury bond (meaning bearish for the yield) and cash for crude oil, natural gas and the U.S. BKX Bank Index.

My new setup for copper is also in cash for two more weeks, then goes bullish. Check my newly updated latest signals table for more details on how the Commitments of Traders positioning data sees these markets.

Have a good weekend, and good luck next week!

Sunday, 17 July 2011

S&P 500 to Bullish

Just updated my latest signals table with the Commitments of Traders data from Friday's weekly release on trader positioning by the U.S. Commodity Futures Trading Commission. My S&P 500 trading setup based on the COT data is going from cash to bullish on this coming week's open of trading (i.e. on Monday). The COT data for this market looks good for at least the next three weeks (the trade delay for this setup) - meaning it's going to be bullish at least three weeks out.

I've now also updated my S&P 500 setup based on new backtesting to include data since 2007. The new setup is the one I'm using for the new signal. Like my old setup, the new one uses the same two component signals: trading alongside the commercial traders when they hit certain extremes of trader positioning and fading (trading opposite to) the small traders, who are usually wrong at extremes of positioning. The new setup uses slightly different parameter values.

I've updated the latest signals table to include the new stop and portfolio allocations I'm using for the new setup. Please ignore the parameter values now listed on my backtesting results page, which I haven't updated yet. Please also ignore for the time being the parameter value information on the DIY page. I've disabled the spreadsheet linked there and will soon replace it with a new one using the new parameter values.

In other markets:

- BKX Bank Index: My setup for U.S. financials goes from bearish to cash on the coming week's open of trading.

- Copper: My new setup is in cash but goes to bullish on Aug. 8.

- Gold: Don't get too comfortable with the bullion rally. At least not if the COT data is right. My gold setup remains bullish one more week, then goes either to cash or bearish on July 25.

- 30-year U.S. Treasury: My setup goes to bullish on Monday's open after three weeks in cash.

See my latest signals table for more details on the other markets I'm following. Good luck this coming week.

Friday, 8 July 2011

S&P 500, Crude to Cash... Plus, See What My New Setup Says About Copper

A couple of signals take effect on Monday's open of trading in my COTs Timer system: My S&P 500 setup goes from bearish to cash for a single week (then it goes to bullish the week following), and my crude oil signal goes from bullish to cash. Check out my newly updated latest signals page for details on trader positioning in these and the other markets I follow based on the CFTC's nifty little weekly Commitments of Traders reports.

In other news, I've developed a new trading setup for copper. I haven't included it yet in my signals or backtesting results pages, but I'll do so soon. The setup was bearish for two weeks in mid-June, then went to cash last week and will remain in cash four more weeks before going bullish. It's based on trading on the same side as the large speculators and small traders in copper futures and options (their net position as a percentage of the total open interest, to be exact).

This is my first setup from a new round of backtesting I'm doing on all my setups to incorporate COT and market data since 2007. My existing setups are based on backtesting data from 1995 to 2007, so I'm working now on bringing all that great new data - including a wild bear market and just-as-wild recovery - into my testing. It's lots of fun. Have a good weekend, and good luck next week.

Sunday, 3 July 2011

Happy News for Gold Bugs

One new signal for execution on the coming week's open: My trading setup for gold goes from cash to bullish. This signal will last at most three weeks. It's based on excessively negative trader positioning in gold futures and options by large speculators, whom my COTs Timer trading system fades. See my newly updated latest signals table for more details on this setup and my others based on the weekly Commitments of Traders reports from the U.S. Commodity Futures Trading Commission. A few other highlights:

- Financials: My setup for the BKX U.S. Bank Index remains bearish for a second week. This is based on highly bearish trader positioning in three-month Eurodollar futures and options.

- Crude oil: My crude signal remains bullish but will go to cash in a week's time.

To Canadian readers, hope you enjoyed a good Canada Day. To American readers, have a great 4th of July. And good luck to all this week!