Friday, 25 October 2013

CFTC: Your COT Data is Still Incomplete! Please Advise

The U.S. government shutdown may have been over for a week, but the Commodity Futures Trading Commission still hasn't reported in full its weekly Commitments of Traders data since the shutdown started.

That means the data for the recent period is pretty much useless for analysis and transparency purposes.

This week, the CFTC inexplicably has posted not the current week's trader positioning - but instead, trader positioning from the week of Oct. 1. That was the first week of the shutdown.

No doubt trading firms still reported their positioning to the CFTC during the shutdown. So I would presume the data exists somewhere in the bowels of the CFTC.

Let the CFTC Know You Care

The question is, why isn't the CFTC disclosing it?

Will the CFTC do so? If so, when? If not, why not?

No word on any of this on the CFTC's website.

I have written to the CFTC at to ask what's going on.

And if you care about this data, please do so too and encourage the CFTC to promptly report the missing data.

Until the remaining data is disclosed, I'll have to continue avoiding updating my signals. Or I can wait until the moving average periods for my setups run out and then start trading with the data again.

But even if I do that, any historic analysis or backtesting of trading signals will be severely impaired if the missing data isn't eventually filled in. I hope the CFTC finds the time to do so!

UPDATE (Oct. 28): Just hear back from the CFTC. They are pledging to release the missing data over the next couple of weeks in an updated COT release schedule available here.

Friday, 18 October 2013

CFTC, Please Fill In Missing COT Data!

The U.S. government shutdown may be over, but the Commitments of Traders data still hasn't been updated for the current week or previous weeks since the shutdown started.

I'll be checking the U.S. Commodity Futures Trading Commission website this weekend to see if any new data is posted.

The site currently gives "10/18/13" as the current report date. But the actual data is still the same as what's been there during the shutdown, which is the Sept. 24, 2013, COT report. The historic dataset on the site hasn't been updated either with any new data.

Missing Data Causes Statistical Issues

I'm hoping someone at the CFTC has the sense to fill in the missing weeks, instead of simply restarting with the data from here on.

Missing several weeks of numbers in a dataset like this causes huge problems for any proper statistical analysis.

Do you exclude the missing weeks of data and price changes? Do you fill them in with your own made-up "transitional" data? There's no good solution I can think of.

Thanks a lot, Tea Party!

Saturday, 5 October 2013

Shutdown's Latest Victim: Commitments Data

Another victim of the U.S. government shutdown: your beloved COTs Timer trading system.

The U.S. Commodity Futures Trading Commission on Friday failed to publish its weekly Commitments of Traders data on trader positioning. That means I don't have the data I need to update my signals for trading.

It means a few changes on my latest signals table. My signal for the Nasdaq-100 was bearish, but I will put it in cash due to the lack of data.

My signal for the S&P 500 is currently bullish, but the trade delay for that one is two weeks. So I will keep that one bullish for another two weeks because any new signal from data on Friday would have taken effect only in two weeks.

Meanwhile, my natural gas signal was going to cash next week anyway due to prior changes in trader positioning.

Please tune back in here for updates on the shutdown as it may affect the Commitments of Traders data.

Good luck next week and in the coming weeks to all.