Friday, 27 April 2012

Going Long Natural Gas... But Just for a Week!

New data now up on my latest signals table for my trading setups based on the weekly Commitments of Traders reports. One signal takes effect on Monday's open of trading: bullish for natural gas.

Gas aficionados know it's been collapsing straight through to the Earth's core for, what, years? The trader data, as reported in the CFTC's COT reports, suggests a chance of a bounce next week. Or at least that's how I see it. Gas has indeed been rallying in the past few days, but I didn't see a technical reason to jump in just yet.

How nice that the COT data gives me the excuse!

But hark, don't get too excited, you gas bulls. The long signal will last just one week. The following week, my gas trading setup says to go short.

See my signals table for more details on this and the other markets I follow using my COTs Timer trading strategy based on the COT reports. Check there to see my signals for the S&P 500, gold and crude oil. (The others are in cash for the coming week.)

In other news, I've just finished backtesting on the NASDAQ-100 mini COT data. It's the first time I've taken a look at the mini COT data in a few years, and I can tell you it's produced a very promising (knock on wood!) setup. I should start using those signals as of my next update.

Have a good weekend, and good luck next week.

Sunday, 22 April 2012

Three New Signals: Bonds, Banks and Nikkei

I've just updated my latest signals table with the signals from my three latest new trading setups based on the weekly free Commitments of Traders reports: the 30-year Treasury bond (bullish), the BKX U.S. Bank Index (cash) and the Nikkei (cash).

I just finished backtesting these three new setups and think they had excellent results. We'll see how they work out in real-time trading.

That means all my trading setups have now been updated except for the one for natural gas, which I'm not in any special hurry to update because it's had such sweet results in actual trading (about a 100-percent profit in the two years I've traded it, while natural gas has collapsed in price).

I am still going to eventually update it, but I'm planning to introduce a few new setups first, starting with the Nasdaq 100 Index.

Here are the signals for my other setups: S&P 500 bullish, crude oil bearish, gold bullish and natural gas in cash. See my latest signals table for detailed information on trader positioning in these markets based on the COT data issued by the U.S. Commodity Futures Trading Commission.

I'll post the testing results soon on my backtesting results table for the three new signals.

Good luck this week.

Saturday, 14 April 2012

New S&P 500 Signals Beat Market by 1,500%, Crude Signals by 12,000%

The results are in. My new trading setup for gold beat the market by 570%, while being in cash 40% of the time. My new copper setup beat the market by nearly 3,000%.

And my crude oil signals beat it by over 12,000%.

Signals Based on Free Weekly Data

Those are some of the backtesting results I've just posted for my four new trading setups based on the amazing Commitments of Traders reports issued for free each Friday afternoon by the U.S. Commodity Futures Trading Commission. See my backtesting results table (scroll down) for details.

You'll also see the parameter values for one of the new setups - S&P 500 (which, incidentally, beat the market by more than 1,500%). I'll post a sample spreadsheet for that setup soon on my DIY page.

Robustness, Not Just Profits

But I didn't just focus on profits when I was looking for new setups to trade using the COT data. In fact, that only had a small impact on which setups I chose. Far more important were measures of robustness (how reliable the signals would be in actual real-life trading), such as my very own invention - the walk-around test. See my FAQs page for more details on that.

To recap, I've been updating my setups based on the COT data because my existing setups were based on data up to Dec. 2007 - meaning it didn't include the crazy gyrations of the Great Recession.

The setups were in need of updating with the more recent COT and market data - not least because a properly backtested trading system is thought to provide robust signals for perhaps a quarter of the original backtesting period (in this case, about 13 years).

Improved Results Table

Apart from updated data for my new setups, you'll also notice I've removed from my table the backtesting results for my three existing setups that I haven't yet updated using data between 2007 and 2011.

I've made a few small changes to improve that table and give more useful results - so rather than updating those results for the old setups that I'm planning on replacing soon anyway, I've just taken off that data.


Thanks for your patience during my updating process. I'm hopeful my improved backtesting procedures and updated setups will adequately capture the power that appears to exist in the COT data - waiting to be unleashed!

Friday, 13 April 2012

Existing Signals All Still Good

No new signals for the coming week in my COTs Timer trading strategy based on the weekly Commitments of Traders reports.

This is the free data that the U.S. Commodity Futures Trading Commission puts out to tell us the weekly positioning of major trading firms in about 150 markets. Everything from the U.S. dollar to crude oil, gold, soybeans, S&P 500 futures and natural gas is covered.

See my latest signals table for details on how my trading setups are interpreting the COT data.

My existing signals all remain in effect next week: bullish for the S&P 500 (the sixth week on this signal), third week in cash for the benchmark BKX U.S. Bank Index (a basket of the major U.S. financials), second week bearish for crude oil, second week long for gold, ninth week bullish for Nikkei, eighth week in cash for natural gas, fifth week in cash for the 30-year Treasury bond and sixth week in cash for copper.

Have a good weekend, and good luck next week.

Saturday, 7 April 2012

Announcing: New Trading Signals!

Just updated my latest signals table with the signals from my four brand spanking new trading setups (S&P 500, gold, copper and crude oil) based on the weekly Commitments of Traders data issued by the CFTC.

Two signals take effect on the open of next week: bearish for my new crude oil setup, and bullish for gold. Also note that my new copper setup is in cash.

And my new SPX setup remains bullish based on strong bullish positioning by the commercial hedgers.

Also see my signals table for new parameter values for those new setups. I'll update my backtesting results table soon with more details.

I'll be on the road for a few days next week going back to Canada after a beautiful three-month stay in Costa Rica's Nicoya peninsula (highly recommended!)

But after we get settled back in, I'll get back to work updating my other existing setups, which shouldn't take too long now that I've improved the automation of a bunch of my backtesting.

And I'll be aiming to add new setups in markets I'm not trading now. Your suggestions for which ones to cover are welcome. Good luck next week.