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, 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.

5 comments:

Dave said...: The last three COT reports have omitted the NASDAQ - 100 Sock Index data set from the CME. Alex, do you know what would cause this?; 8 July 2011 at 23:49
Dave said...: The COTs Report CME section has not reported the NASDAQ - 100 Stock Index dataset for the last 3 weeks. Alex, do you know why this is the case? Thank you for your May2007 article in the TSofS&C magazine.; 8 July 2011 at 23:53
Henry said...: Alex,

Thank you for doing all these. I been reading your Blog for 6 months now. just beginning to understand your way of the doing business and more importantly 'Why'. I am a slow learner; what could I say !!!

Also I read about your fascination about the Eastern Townships. I been to Granby, Magot, Sherbooke, and Beauceville a few times.

Keep up the good work, and thnaks again !!; 9 July 2011 at 13:46
ff said...: Hi Alex,

thank you for youre inspiring work. Can you tell me where you get youre price data (historical and current) from? Did you gather the data manually from different sources or is there some kind of web interface you use. Thank you in advance.

Regards,
Florian; 15 July 2011 at 07:16
Alex Roslin said...: Hi all,

Sorry for not getting to these comments sooner. Dave, the COT reports often omit a market because the number of traders has fallen below 20, which is the threshold for reporting the positioning in that market. See:

http://www.cftc.gov/marketreports/commitmentsoftraders/index.htm

I don't know if that's the case in this situation, but it's the most common reason I've seen.

Henry, thanks for your kind words. Glad you've enjoyed the 'hood.

Florian, I get the price data from Yahoo Finance or when unavailable there I buy data discs from the CRB for some markets.

Regards,
Alex; 17 July 2011 at 21:21

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.