Banks Back to Cash

All fairly calm in the mysterious world of the Commitments of Traders reports this week. The single changed signal is in my BKX U.S. Bank Index trading setup, which goes from bearish to cash as of Monday's open of trading.

See my latest signals table for more details on this and the other markets I'm following using the free weekly COT reports issued by the U.S. Commodity Futures Trading Commission.

New Setups: Gold, Copper and SPX

In other news, I've developed new setups for gold and copper this week using some improved and more highly automated backtesting procedures I've been working on. I'm pretty excited (knock on wood) to start using those signals because I think my new testing procedures are showing some very interesting results.

Also, I've used those to go back and take a fresh look at the S&P 500 data, and I have a slightly modified setup to announce for that data too.

Like the new setup I started using a couple of weeks ago, this one also uses just one group of traders: the commercial hedgers.

Announcing: New SPX Setup Parameter Values

It uses a 12-week moving average/standard deviation period and goes long when the COT position is 0.2 standard deviations or more above the moving average, while it goes short when the COT position is 1.2 standard deviations or more below the moving average.

Undetrended Data!

The major difference I've integrated into my backtesting in the past few weeks is that I'm now including results from undetrended (that's a mouthful!) price data from my confidence interval testing for whether the setup beat the market historically after trade commissions were deducted.

While I normally use detrended data for backtesting, I noticed some high-performing setups scored poorly in the confidence interval results when I looked at the raw undetrended data. Those setups could have a higher chance of underperforming in real-life trading, so I've been including those results in my testing.

I'll post the new gold and copper setup info shortly. Next up after all this: a new setup for crude oil.

Good luck this week.