Well, it sure was a crazy week in the markets. Yesterday's horrible close, then today's rebound. I hope you got through it okay. What did the Commitments of Traders say this week? Not much. No new signals for my system. Which I think in fact may say a lot.
I'll ponder the data some more over the weekend and post an analysis Monday or Tuesday. Starting this week, I'm going to concentrate Friday afternoons on putting out a timely report on the latest COTs data, then work on an analysis piece for the following week.
Meanwhile, I've been re-reading Edwin Lefèvre's classic Reminiscences of a Stock Operator and came across a poignant passage: "No, sir, nobody can make big money on what someone else tells him to do. I know from experience that nobody can give me a tip or series of tips that will make more money for me than my own judgement."
I strongly agree. It got me to thinking about a new format for reporting what I think the COTs data is saying. You'll see no more "buys" or "sells." Instead, it will be "bullish," "bearish" or "neutral."
This is to underline my view that, while I think the COTs can provide valuable market insights, you should do your own research when it comes to your hard-won bucks. It's also a reflection of the fact that my trading system is still in development. I'm refining and validating it as I'm trading it, but that's a risk I'm willing to take with my risk-management strategy. I'm in no position to tell anyone how they should trade their own money.
New Signals*
BULLISH
None
BEARISH
None
Renewed Signals**
BULLISH
-TSX
BEARISH
-Soybean Oil
-Natural Gas***
Existing signals (date of original signal in parentheses)****
BULLISH
-30-Year Treasury Yield (3-Jan-07)
-10-Year Treasury Yield (20-Mar-07)
-S&P 500 (20-Mar-07)
-NASDAQ (27-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (20-Dec-05)
-Russell 2000 (25-Mar-03)
-Nikkei (3-Feb-04)
-TSX (20-Mar-07)
BEARISH
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (3-Apr-07)
-Oil Service Holders ETF, symbol: OIH (18-Apr-06)
-Soybean Oil (2-May-06)
-US Global Investors Funds US Gold Fund, USERX (30-Jan-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (30-Jan-07)
-Gold Bugs Index, HUI (13-Feb-07)
-Canadian Dollar (10-Apr-07)
-U.S. Dollar Index (3-Oct-06)
-Gold (13-Feb-07)
-Copper (10-Apr-07)
NEUTRAL
-S&P 400 Midcap (3-Jan-07)
-Crude Oil, Light Sweet (3-Apr-07)***
-Natural Gas (27-Mar-07)***
-Silver (21-Nov-06)
Notes
* For an explanation of what I do after a new signal, click “How It Works” to the right.
** A “renewed” signal is when a market is already on a bullish or bearish signal, and traders again register an extreme net trading position in the same direction. I normally ignore renewed signals unless I don't already have a trade on in this market. I haven't studied the profitability of trading on renewed signals.
*** See my special caveats for my Crude Oil and Natural Gas setups (click “Profit/Loss Results” to the right and check the footnotes).
**** The date in parentheses is the date of the COTs report that gave this signal - not the date I executed the trade (which can be up to four weeks later). For details on how I trade this system, including trade delays and portfolio allocations, click on "How It Works" and “Profit/Loss Results” to the right. These "existing signals," which are mostly several months old, are listed here as a reference, not a trading recommendation.
Friday, 8 June 2007
Wednesday, 6 June 2007
Update: Formulas, Walk-Forward Testing
As I mentioned in a few posts, I've been planning to put some formulas up here so readers can create their own COTs database. I had some trouble doing so using Google Docs & Spreadsheets (I guess it's still a little buggie), so until I figure out a better way I'm happy to email a sample spreadsheet to anyone who requests one. Just mail me here: aroslin1@yahoo.ca.
Also, I've been asked by some readers - including one rather irritable quant (cheer up, "Anonymous"!) - whether I've done any walk-forward testing to eliminate the problem of curve fitting. The answer is yes, and happily, my best backtested setups seem to get the best forward-tested results. In those markets where the forward-tested results are weaker, there tends to be a larger maximum drawdown for the setup. And that means my maximum portfolio allocation is automatically smaller to account for the heightened risk. (Click the "Profit/Loss Results" and "How It Works" links to the right for details.)
I'm constantly re-examining and re-thinking my setups as I go because I'm trading them with my own money. One promising approach I've had is to combine signals from various groups of traders. I'll keep you posted on my progress.
Also, I've been asked by some readers - including one rather irritable quant (cheer up, "Anonymous"!) - whether I've done any walk-forward testing to eliminate the problem of curve fitting. The answer is yes, and happily, my best backtested setups seem to get the best forward-tested results. In those markets where the forward-tested results are weaker, there tends to be a larger maximum drawdown for the setup. And that means my maximum portfolio allocation is automatically smaller to account for the heightened risk. (Click the "Profit/Loss Results" and "How It Works" links to the right for details.)
I'm constantly re-examining and re-thinking my setups as I go because I'm trading them with my own money. One promising approach I've had is to combine signals from various groups of traders. I'll keep you posted on my progress.
Monday, 4 June 2007
COTs Beat NASDAQ by 712%,
S&P 500 by 135%
Each week I update my latest results for my NASDAQ and S&P 500 trading setups based solely on the Commitments of Traders reports - issued by the U.S. Commodity Futures Trading Commission free every Friday at 3:30 p.m. (Eastern Time). Click the links to the right to learn more about the amazing COTs reports, my system's results in other markets and how I trade it.
NASDAQ
| COTs Report | Signal | NASDAQ | NASDAQ Profit | COTs Profit |
| 5/4/1999 | BUY | 2546.33 | 100.0 | 100.0 |
| 3/28/2000 | SELL | 4994.42 | 198.4 | 198.4 |
| 12/17/2002 | BUY | 1367.74 | 54.3 | 370.1 |
| 11/2/2004 | SELL | 1975.48 | 78.5 | 549.0 |
| 1/18/2005 | BUY | 2081.86 | 82.7 | 577.3 |
| 11/15/2005 | SELL | 2203.79 | 87.5 | 627.8 |
| 7/11/2006 | BUY | 2135.96 | 84.9 | 676.9 |
| 10/31/2006 | SELL | 2347.21 | 93.2 | 821.2 |
| 3/27/2007 | BUY | 2451.6 | 97.4 | 808.1 |
| 6/4/2007 | 2606.05 | 103.5 | 840.3 |
S&P 500
| COTs Report | Signal | S&P 500 | S&P Profit | COTs Profit |
| 8/11/1998 | BUY | 1089.45 | 100.0 | 100.0 |
| 11/30/1999 | CASH | 1416.62 | 131.0 | 131.0 |
| 12/7/1999 | SELL | 1433.3 | 132.6 | 132.6 |
| 5/9/2000 | CASH | 1432.63 | 132.5 | 125.9 |
| 5/30/2000 | SELL | 1378.02 | 127.4 | 128.2 |
| 4/3/2001 | CASH | 1160.33 | 107.3 | 157.3 |
| 3/5/2002 | SELL | 1131.78 | 104.7 | 153.8 |
| 9/24/2002 | CASH | 845.39 | 78.2 | 206.5 |
| 3/18/2003 | BUY | 833.27 | 77.1 | 217.8 |
| 8/30/2005 | CASH | 1205.1 | 111.5 | 303.9 |
| 1/3/2006 | SELL | 1248.29 | 115.4 | 313.1 |
| 8/29/2006 | CASH | 1295.09 | 119.8 | 309.1 |
| 3/20/2007 | BUY | 1386.95 | 128.3 | 308.2 |
| 6/4/2007 | 1530.62 | 141.6 | 332.9 |
* These results are based on trades executed with a delay of one week. The S&P 500 and NASDAQ prices are for the weekly open in the week in which the signal was given, not the entry or exit prices.
Friday, 1 June 2007
Bright Skies for Equities, Clouds for Metals
Bullish news for equities in today's Commitments of Traders reports. The "smart money" commercial hedgers are giving their 11th consecutive buy signal for Toronto's S&P/TSX index. This, according to my trading setup correlating the TSX with the S&P 500 COTs data. (Click the explanatory links to the right for details of how my system works if you're not in the know.)
That makes the commercials more bullish on the TSX than at any time since Dec. 2003, near the start of the current bull run.
Commercial hedgers are also highly bullish on Japan's Nikkei index. While other world indexes have zoomed off into the cosmos, the Nikkei has ailed of late, trapped well below its February high. But this week the Nikkei and Japan iShares ETF (EWJ) broke out of their four-month descending triangle pattern, suggesting Japan wants to play some catch-up with North American equities.
The commercials have been this bullish on the Nikkei only once before in the past seven years—in Nov. 2005, just as the Nikkei's grinding 15-year bear market came to an end. The index subsequently exploded 28 percent in six months.
Meanwhile, the "dumb money" large speculators have gone super-bearish once again on the NASDAQ—which means renewed buys for the NASDAQ and Semiconductors (SOX).
In the metals, despite impressive technical action in silver and gold shares this week, the Commitments of Traders data today are urging caution. The commercials have yet to reverse earlier mega-bearish positioning in the futures and options markets enough to give me any new buy signals in the gold complex or silver.
In copper, the COTs data gave a sell signal in April after large specs turned excessively bullish. In fact, the last time the large specs were so aggressively positioned one way in copper was July 2002—except back then they were highly bearish. That gave a buy signal that lasted five years and marked the beginning of a five-fold explosion in copper prices. April's sell signal brought that run to a close.
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-30-Year Treasury Yield
-TSX
-NASDAQ
-SOX Semiconductors
-Nikkei
SELL
-Soybean Oil
-Natural Gas***
Existing signals (date of original signal in parentheses)****
BUY
-30-Year Treasury Yield (3-Jan-07)
-10-Year Treasury Yield (20-Mar-07)
-S&P 500 (20-Mar-07)
-NASDAQ (27-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (20-Dec-05)
-Russell 2000 (25-Mar-03)
-Nikkei (3-Feb-04)
-TSX (20-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (3-Apr-07)
-Oil Service Holders ETF, symbol: OIH (18-Apr-06)
-Soybean Oil (2-May-06)
-US Global Investors Funds US Gold Fund, USERX (30-Jan-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (30-Jan-07)
-Gold Bugs Index, HUI (13-Feb-07)
-Canadian Dollar (10-Apr-07)
-U.S. Dollar Index (3-Oct-06)
-Gold (13-Feb-07)
-Copper (10-Apr-07)
CASH
-S&P 400 Midcap (3-Jan-07)
-Crude Oil, Light Sweet (3-Apr-07)***
-Natural Gas (27-Mar-07)***
-Silver (21-Nov-06)
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the date of the COTs report that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on "How It Works" and “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades right after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page.
That makes the commercials more bullish on the TSX than at any time since Dec. 2003, near the start of the current bull run.
Commercial hedgers are also highly bullish on Japan's Nikkei index. While other world indexes have zoomed off into the cosmos, the Nikkei has ailed of late, trapped well below its February high. But this week the Nikkei and Japan iShares ETF (EWJ) broke out of their four-month descending triangle pattern, suggesting Japan wants to play some catch-up with North American equities.
The commercials have been this bullish on the Nikkei only once before in the past seven years—in Nov. 2005, just as the Nikkei's grinding 15-year bear market came to an end. The index subsequently exploded 28 percent in six months.
Meanwhile, the "dumb money" large speculators have gone super-bearish once again on the NASDAQ—which means renewed buys for the NASDAQ and Semiconductors (SOX).
In the metals, despite impressive technical action in silver and gold shares this week, the Commitments of Traders data today are urging caution. The commercials have yet to reverse earlier mega-bearish positioning in the futures and options markets enough to give me any new buy signals in the gold complex or silver.
In copper, the COTs data gave a sell signal in April after large specs turned excessively bullish. In fact, the last time the large specs were so aggressively positioned one way in copper was July 2002—except back then they were highly bearish. That gave a buy signal that lasted five years and marked the beginning of a five-fold explosion in copper prices. April's sell signal brought that run to a close.
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-30-Year Treasury Yield
-TSX
-NASDAQ
-SOX Semiconductors
-Nikkei
SELL
-Soybean Oil
-Natural Gas***
Existing signals (date of original signal in parentheses)****
BUY
-30-Year Treasury Yield (3-Jan-07)
-10-Year Treasury Yield (20-Mar-07)
-S&P 500 (20-Mar-07)
-NASDAQ (27-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (20-Dec-05)
-Russell 2000 (25-Mar-03)
-Nikkei (3-Feb-04)
-TSX (20-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (3-Apr-07)
-Oil Service Holders ETF, symbol: OIH (18-Apr-06)
-Soybean Oil (2-May-06)
-US Global Investors Funds US Gold Fund, USERX (30-Jan-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (30-Jan-07)
-Gold Bugs Index, HUI (13-Feb-07)
-Canadian Dollar (10-Apr-07)
-U.S. Dollar Index (3-Oct-06)
-Gold (13-Feb-07)
-Copper (10-Apr-07)
CASH
-S&P 400 Midcap (3-Jan-07)
-Crude Oil, Light Sweet (3-Apr-07)***
-Natural Gas (27-Mar-07)***
-Silver (21-Nov-06)
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the date of the COTs report that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on "How It Works" and “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades right after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page.
COTs Timer on Don Vialoux's Tech Talk Site
We're famous! Don Vialoux mentioned COTs Timer today on his excellent technical analysis site, which is part of my reading every morning:
http://dvtechtalk.com/June/June1.htm
Don is a past president of the Canadian Society of Technical Analysts. Thanks, Don!
http://dvtechtalk.com/June/June1.htm
Don is a past president of the Canadian Society of Technical Analysts. Thanks, Don!
Wednesday, 30 May 2007
Update: New COTs Setup Beat S&P 400 by 45%... With a Twist
My new Commitments of Traders trading setup for the S&P 400 Midcap beat the index by 45 percent. It had eight winning trades, no losers and a maximum intratrade drawdown of just 5 percent. Not bad! It's been in cash since Jan. 16, 2007.
The setup is based on combining the signals from two groups of traders in the COTs reports that gave the most profitable setups. The setup buys or sells only when the two signals concur and is otherwise in cash. (In fact, it was in cash 48 percent of the time since 1999 when the first signal was given.)
The first setup faded the large speculators when their net percentage-of-open-interest position hit a specific historic extreme. The second setup traded on the same side as the small traders.
That's correct. The same side. This is the opposite of the usual practice of fading - or trading opposite to - this group because of the popular assumption that these guys, like the large specs, are the "dumb money."
Well, surprise, surprise, the COTs never cease to amaze. Backtesting the data shows, once again, that common notions about the COTs are often more myth than fact. Like my best Dow Jones industrial average setup, I found it was actually quite profitable to trade the same side as the small traders on the S&P 400 Midcap.
See more details on the "Profit/Loss Results" page (click the link to the right).
The setup is based on combining the signals from two groups of traders in the COTs reports that gave the most profitable setups. The setup buys or sells only when the two signals concur and is otherwise in cash. (In fact, it was in cash 48 percent of the time since 1999 when the first signal was given.)
The first setup faded the large speculators when their net percentage-of-open-interest position hit a specific historic extreme. The second setup traded on the same side as the small traders.
That's correct. The same side. This is the opposite of the usual practice of fading - or trading opposite to - this group because of the popular assumption that these guys, like the large specs, are the "dumb money."
Well, surprise, surprise, the COTs never cease to amaze. Backtesting the data shows, once again, that common notions about the COTs are often more myth than fact. Like my best Dow Jones industrial average setup, I found it was actually quite profitable to trade the same side as the small traders on the S&P 400 Midcap.
See more details on the "Profit/Loss Results" page (click the link to the right).
Friday, 25 May 2007
Bull Rides... And Rides... And Rides
This week's little market selloff sure caused some hand-wringing among the usual talking heads. But the Commitments of Traders data says everything's still a-okay. The major equity markets - except the S&P 400 Midcap - are all on buys, according to my COTs trading system.
That's in part because the large investment firms and hedge funds remain quite bearish, so you know what that means: When the "dumb money" says sell, it's probably a good time to buy. (Yes, these are the guys managing our pensions and retirement savings. Oops!)
As well, the "smart money" commercial hedgers are highly bullish. In fact, Toronto's S&P/TSX put in its ninth consecutive renewed buy signal after the original buy back in March. (This is based on extreme levels of bullishness of commercial traders in S&P 500 futures and options, which correlate well historically with ups and downs in the TSX.) Click the COTs intro links to the right if you don't know what I'm talking about.
This week, I've started a new regular feature on this blog - running results for the S&P 500 and NASDAQ. I'll update them each week after Monday's open.
As for that ailing S&P 400 Midcap trade, watch next week for some updated profit/loss results on this setup. I haven't run the numbers yet, but I think the short side of that setup may now be historically unprofitable. I might try to see if there's a way to combine signals from two groups of traders to get a better trade for this index - like I've done for the S&P 500 and silver.
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-30-Year Treasury Yield
-S&P/TSX
-Nikkei
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO
-Crude oil (light sweet)***
-Soybean Oil
Existing signals (date of original signal in parentheses)****
BUY
-30-Year Treasury Yield (3-Jan-07)
-10-Year Treasury Yield (20-Mar-07)
-S&P 500 (20-Mar-07)
-NASDAQ (27-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (20-Dec-05)
-Russell 2000 (25-Mar-03)
-Nikkei (3-Feb-04)
-TSX (20-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (3-Apr-07)
-Oil Service Holders ETF, symbol: OIH (18-Apr-06)
-Soybean Oil (2-May-06)
-US Global Investors Funds US Gold Fund, USERX (30-Jan-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (30-Jan-07)
-Gold Bugs Index, HUI (13-Feb-07)
-Canadian Dollar (10-Apr-07)
-U.S. Dollar Index (3-Oct-06)
-Gold (13-Feb-07)
-Copper (10-Apr-07)
CASH
-S&P 400 Midcap (3-Jan-07)
-Crude Oil, Light Sweet (3-Apr-07)***
-Natural Gas (27-Mar-07)***
-Silver (21-Nov-06)
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the date of the COTs report that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on "How It Works" and “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades right after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page.
That's in part because the large investment firms and hedge funds remain quite bearish, so you know what that means: When the "dumb money" says sell, it's probably a good time to buy. (Yes, these are the guys managing our pensions and retirement savings. Oops!)
As well, the "smart money" commercial hedgers are highly bullish. In fact, Toronto's S&P/TSX put in its ninth consecutive renewed buy signal after the original buy back in March. (This is based on extreme levels of bullishness of commercial traders in S&P 500 futures and options, which correlate well historically with ups and downs in the TSX.) Click the COTs intro links to the right if you don't know what I'm talking about.
This week, I've started a new regular feature on this blog - running results for the S&P 500 and NASDAQ. I'll update them each week after Monday's open.
As for that ailing S&P 400 Midcap trade, watch next week for some updated profit/loss results on this setup. I haven't run the numbers yet, but I think the short side of that setup may now be historically unprofitable. I might try to see if there's a way to combine signals from two groups of traders to get a better trade for this index - like I've done for the S&P 500 and silver.
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-30-Year Treasury Yield
-S&P/TSX
-Nikkei
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO
-Crude oil (light sweet)***
-Soybean Oil
Existing signals (date of original signal in parentheses)****
BUY
-30-Year Treasury Yield (3-Jan-07)
-10-Year Treasury Yield (20-Mar-07)
-S&P 500 (20-Mar-07)
-NASDAQ (27-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (20-Dec-05)
-Russell 2000 (25-Mar-03)
-Nikkei (3-Feb-04)
-TSX (20-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (3-Apr-07)
-Oil Service Holders ETF, symbol: OIH (18-Apr-06)
-Soybean Oil (2-May-06)
-US Global Investors Funds US Gold Fund, USERX (30-Jan-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (30-Jan-07)
-Gold Bugs Index, HUI (13-Feb-07)
-Canadian Dollar (10-Apr-07)
-U.S. Dollar Index (3-Oct-06)
-Gold (13-Feb-07)
-Copper (10-Apr-07)
CASH
-S&P 400 Midcap (3-Jan-07)
-Crude Oil, Light Sweet (3-Apr-07)***
-Natural Gas (27-Mar-07)***
-Silver (21-Nov-06)
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the date of the COTs report that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on "How It Works" and “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades right after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page.
Monday, 21 May 2007
Update: COTs Signals for Gold, Silver & Copper
Good news! The Commitments of Traders give market-beating trading signals for gold, silver and copper too. I've just added the results of my best setups on the "Profit/Loss Results" page (click the link on the right).
The gold setup is on a sell since Feb. 19, and copper is on a sell since April 23. The silver setup is in cash since December 2006.
I think the silver trade is especially interesting. It opens up entirely new ground for COTs research. It's based on a combination of my best setups for (1) the commercial traders and (2) a composite of the large spec long position minus the commercials short position. Trading only when the signals concur gave a better weekly average profit and a lower maximum drawdown than for either signal alone, while being in the market only 60 percent of the time.
I found the spec-commercials composite dataset by accident! I was trying to find a good setup for the silver commercial traders and mistakenly subtracted the commercial shorts from the large spec longs. The results were better than for any of the three groups of traders. I wasn't quite sure why it worked, so in order to filter out any coincidental results, I combined the signal with my best commercial trader setup. Thus, I found an even more profitable setup!
A similar idea of a setup based on a "short squeeze" scenario was suggested to me recently by a reader of this blog, Mike Hu. Good idea, Mike!
The gold setup is on a sell since Feb. 19, and copper is on a sell since April 23. The silver setup is in cash since December 2006.
I think the silver trade is especially interesting. It opens up entirely new ground for COTs research. It's based on a combination of my best setups for (1) the commercial traders and (2) a composite of the large spec long position minus the commercials short position. Trading only when the signals concur gave a better weekly average profit and a lower maximum drawdown than for either signal alone, while being in the market only 60 percent of the time.
I found the spec-commercials composite dataset by accident! I was trying to find a good setup for the silver commercial traders and mistakenly subtracted the commercial shorts from the large spec longs. The results were better than for any of the three groups of traders. I wasn't quite sure why it worked, so in order to filter out any coincidental results, I combined the signal with my best commercial trader setup. Thus, I found an even more profitable setup!
A similar idea of a setup based on a "short squeeze" scenario was suggested to me recently by a reader of this blog, Mike Hu. Good idea, Mike!
Friday, 18 May 2007
Equities Bulled Again
The Commitments of Traders are still overall bullish equities, according to today's data. Large investment firms and hedge funds (aka the "large speculators" or just the "dumb money"!) got super-bearish in NASDAQ futures and options. That gave a renewed buy signal for the NASDAQ and SOX Semiconductors Index.
When the large specs get to specific historical extremes of bearishness, it tends to be a good time to buy. Makes you wonder how they stay in business. Wait a second. I know. That's where you and I come in with all our savings!
Meanwhile, commercial hedgers (aka the "smart money") are highly bullish the S&P 500. My setup correlating the S&P 500 data with Canada's S&P/TSX index just gave its eighth consecutive renewed buy signal for the TSX following the initial buy given back in March. (Click the COTs intro links on the right if you don't know what I'm talking about.)
The Canadian dollar of course has broken to new highs this week, but the COTs data suggests this won't last. We shall see!
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-TSX
-NASDAQ
-SOX
-Nikkei
SELL
-Soybean Oil
-Canadian Dollar
Existing signals (date of original signal in parentheses)****
BUY
-30-Year Treasury Yield (5-Jan-07)
-10-Year Treasury Yield (23-Mar-07)
-S&P 500 (1-Sep-06)
-NASDAQ (30-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (23-Dec-05)
-Russell 2000 (4-Aug-06)
-Nikkei (6-Feb-04)
-TSX (23-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (6-Apr-07)
-Oil Service Holders ETF, symbol: OIH (21-Apr-06)
-S&P 400 Midcap (8-Jan-07)
-Soybean Oil (5-May-06)
-US Global Investors Funds US Gold Fund, USERX (2-Feb-07) -
S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (2-Feb-07)
-Gold Bugs Index, HUI (16-Feb-07)
-Canadian Dollar (13-Apr-07)
-U.S. Dollar Index (6-Oct-06)
NEUTRAL
-Crude Oil, Light Sweet (6-Apr-07)***
-Natural Gas (30-Mar-07)***
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the day on which the COTs Report was released that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on "How It Works" and “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades right after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page.
When the large specs get to specific historical extremes of bearishness, it tends to be a good time to buy. Makes you wonder how they stay in business. Wait a second. I know. That's where you and I come in with all our savings!
Meanwhile, commercial hedgers (aka the "smart money") are highly bullish the S&P 500. My setup correlating the S&P 500 data with Canada's S&P/TSX index just gave its eighth consecutive renewed buy signal for the TSX following the initial buy given back in March. (Click the COTs intro links on the right if you don't know what I'm talking about.)
The Canadian dollar of course has broken to new highs this week, but the COTs data suggests this won't last. We shall see!
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-TSX
-NASDAQ
-SOX
-Nikkei
SELL
-Soybean Oil
-Canadian Dollar
Existing signals (date of original signal in parentheses)****
BUY
-30-Year Treasury Yield (5-Jan-07)
-10-Year Treasury Yield (23-Mar-07)
-S&P 500 (1-Sep-06)
-NASDAQ (30-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (23-Dec-05)
-Russell 2000 (4-Aug-06)
-Nikkei (6-Feb-04)
-TSX (23-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (6-Apr-07)
-Oil Service Holders ETF, symbol: OIH (21-Apr-06)
-S&P 400 Midcap (8-Jan-07)
-Soybean Oil (5-May-06)
-US Global Investors Funds US Gold Fund, USERX (2-Feb-07) -
S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (2-Feb-07)
-Gold Bugs Index, HUI (16-Feb-07)
-Canadian Dollar (13-Apr-07)
-U.S. Dollar Index (6-Oct-06)
NEUTRAL
-Crude Oil, Light Sweet (6-Apr-07)***
-Natural Gas (30-Mar-07)***
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the day on which the COTs Report was released that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on "How It Works" and “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades right after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page.
Monday, 14 May 2007
Update: Read My COTs Article
I've just posted my story on the Commitments of Traders reports in the May issue of the magazine Technical Analysis of Stocks & Commodities on a new page you can access on the right. Click "Alex Roslin's Articles." Also posted is my investing story in today's Montreal Gazette.
Sunday, 13 May 2007
New: 30-Yr Treasury Setup Kicks Market Butt
I've just posted a new setup for the 30-Year Treasury. This one is based on combining the best setups I found for the large speculators and commercial traders. For the details, click the "Profit/Loss Results" link on the right.
Friday, 11 May 2007
Signals Bullish for Equities
Although the Commitments of Traders report gave no new signals again this week, the data remains overall bullish for equities. The Canadian dollar this week broke its recent uptrend, as predicted by the commitments data. Nonetheless, the data is again flashing a renewed buy signal for the energy-heavy TSX, based on a setup correlated with the S&P 500 COTs data.
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-TSX
-Nikkei
SELL
-Natural Gas***
-Soybean Oil
-Canadian Dollar
Existing signals (date of original signal in parentheses)****
BUY
-10-Year Treasury Yield (23-Mar-07)
-S&P 500 (1-Sep-06)
-NASDAQ (30-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (23-Dec-05)
-Russell 2000 (4-Aug-06)
-Nikkei (6-Feb-04)
-TSX (23-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (6-Apr-07)
-Oil Service Holders ETF, symbol: OIH (21-Apr-06)
-S&P 400 Midcap (8-Jan-07)
-Soybean Oil (5-May-06)
-US Global Investors Funds US Gold Fund, USERX (2-Feb-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (2-Feb-07)
-Gold Bugs Index, HUI (16-Feb-07)
-Canadian Dollar (13-Apr-07)
-U.S. Dollar Index (6-Oct-06)
NEUTRAL
-Crude Oil, Light Sweet (6-Apr-07)***
-Natural Gas (30-Mar-07)***
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the day on which the COTs Report was released that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades shortly after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page—NOT at random moments long after the signals were given. Even small delays in trade execution have resulted in major reductions in past gains. In other words, this list of current signals is only a reference, not a list of trades I would execute right now.
New Signals*
BUY
None
SELL
None
Renewed Signals**
BUY
-TSX
-Nikkei
SELL
-Natural Gas***
-Soybean Oil
-Canadian Dollar
Existing signals (date of original signal in parentheses)****
BUY
-10-Year Treasury Yield (23-Mar-07)
-S&P 500 (1-Sep-06)
-NASDAQ (30-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (23-Dec-05)
-Russell 2000 (4-Aug-06)
-Nikkei (6-Feb-04)
-TSX (23-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (6-Apr-07)
-Oil Service Holders ETF, symbol: OIH (21-Apr-06)
-S&P 400 Midcap (8-Jan-07)
-Soybean Oil (5-May-06)
-US Global Investors Funds US Gold Fund, USERX (2-Feb-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (2-Feb-07)
-Gold Bugs Index, HUI (16-Feb-07)
-Canadian Dollar (13-Apr-07)
-U.S. Dollar Index (6-Oct-06)
NEUTRAL
-Crude Oil, Light Sweet (6-Apr-07)***
-Natural Gas (30-Mar-07)***
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the day on which the COTs Report was released that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades shortly after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page—NOT at random moments long after the signals were given. Even small delays in trade execution have resulted in major reductions in past gains. In other words, this list of current signals is only a reference, not a list of trades I would execute right now.
Tuesday, 8 May 2007
New: S&P 500 combined signal rocks!
After a little more thought about my two duelling S&P 500 setups, I studied combining my best small traders and commercials setups and seeing what happens. Great Scott!
Trading only when both signals concurred produced better results and a lower drawdown than off either signal alone, while being invested only 73 percent of the time. See the results and new signals table posted on the "Profit/Loss Results" page (click the link on the right).
I think the results are pretty exciting and open up a new realm of COTs research for me regarding combined COTs signals. I'll keep you posted.
Trading only when both signals concurred produced better results and a lower drawdown than off either signal alone, while being invested only 73 percent of the time. See the results and new signals table posted on the "Profit/Loss Results" page (click the link on the right).
I think the results are pretty exciting and open up a new realm of COTs research for me regarding combined COTs signals. I'll keep you posted.
Monday, 7 May 2007
Blog Updates: New S&P 500 Setup and Tables
I've just updated my blog with some new data you'll see on the "Profit/Loss Results" page. (Click the link on the right.) After updating my tables for the S&P 500, I've decided to start using two setups for this market - my existing one based on fading the small traders and a second one based on trading with the commercial traders.
The small traders have historically given a more profitable signal, but the commercials setup had a smaller maximum drawdown, which means it's ultimately a little less risky for each dollar of potential profit than the small traders setup. For now, I'll trade each setup with half of their maximum portfolio allocation. The details are all on the "Profit/Loss Results" page.
Incidentally, the S&P 500 commercials setup gave a buy signal on March 23 and has given renewed buys every week since then - six so far.
Also see the "Profit/Loss Results" page for new tables of my trading signals and results for both S&P 500 setups, the USERX U.S. Gold Fund and the Dow Jones Industrial Average.
The small traders have historically given a more profitable signal, but the commercials setup had a smaller maximum drawdown, which means it's ultimately a little less risky for each dollar of potential profit than the small traders setup. For now, I'll trade each setup with half of their maximum portfolio allocation. The details are all on the "Profit/Loss Results" page.
Incidentally, the S&P 500 commercials setup gave a buy signal on March 23 and has given renewed buys every week since then - six so far.
Also see the "Profit/Loss Results" page for new tables of my trading signals and results for both S&P 500 setups, the USERX U.S. Gold Fund and the Dow Jones Industrial Average.
Friday, 4 May 2007
Renewed Buys: TSX, Nikkei... Again
New Signals*
BUY
None
SELL
None
APOLOGIES: Due to a data downloading error, I published an incorrect signal Friday to sell the NASDAQ and SOX with a one-week delay as of the open Monday, May 14. In fact, there was no sell signal. Many apologies for the error!
Renewed Signals**
BUY
-TSX
-Nikkei
SELL
-Natural Gas***
-Soybean Oil
-Canadian Dollar
Existing signals (date of original signal in parentheses)****
BUY
-10-Year Treasury Yield (23-Mar-07)
-S&P 500 (1-Sep-06)
-NASDAQ (30-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (23-Dec-05)
-Russell 2000 (4-Aug-06)
-Nikkei (6-Feb-04)
-TSX (23-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (6-Apr-07)
-Oil Service Holders ETF, symbol: OIH (21-Apr-06)
-S&P 400 Midcap (8-Jan-07)
-Soybean Oil (5-May-06)
-US Global Investors Funds US Gold Fund, USERX (2-Feb-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (2-Feb-07)
-Gold Bugs Index, HUI (16-Feb-07)
-Canadian Dollar (13-Apr-07)
-U.S. Dollar Index (6-Oct-06)
NEUTRAL
-Crude Oil, Light Sweet (6-Apr-07)***
-Natural Gas (30-Mar-07)***
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the day on which the COTs Report was released that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades shortly after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page—NOT at random moments long after the signals were given. Even small delays in trade execution have resulted in major reductions in past gains. In other words, this list of current signals is only a reference, not a list of trades I would execute right now.
BUY
None
SELL
None
APOLOGIES: Due to a data downloading error, I published an incorrect signal Friday to sell the NASDAQ and SOX with a one-week delay as of the open Monday, May 14. In fact, there was no sell signal. Many apologies for the error!
Renewed Signals**
BUY
-TSX
-Nikkei
SELL
-Natural Gas***
-Soybean Oil
-Canadian Dollar
Existing signals (date of original signal in parentheses)****
BUY
-10-Year Treasury Yield (23-Mar-07)
-S&P 500 (1-Sep-06)
-NASDAQ (30-Mar-07)
-Semiconductor Index, symbol: SOX (30-Mar-07)
-Dow Jones Industrial Average (23-Dec-05)
-Russell 2000 (4-Aug-06)
-Nikkei (6-Feb-04)
-TSX (23-Mar-07)
SELL
-S&P/TSE Canadian Energy iUnits ETF, symbol: XEG.TO (6-Apr-07)
-Oil Service Holders ETF, symbol: OIH (21-Apr-06)
-S&P 400 Midcap (8-Jan-07)
-Soybean Oil (5-May-06)
-US Global Investors Funds US Gold Fund, USERX (2-Feb-07)
-S&P/TSE Canadian Gold iUnits ETF, symbol: XGD.TO (2-Feb-07)
-Gold Bugs Index, HUI (16-Feb-07)
-Canadian Dollar (13-Apr-07)
-U.S. Dollar Index (6-Oct-06)
NEUTRAL
-Crude Oil, Light Sweet (6-Apr-07)***
-Natural Gas (30-Mar-07)***
Notes
* For an explanation of what I do after a new signal, click “How It Works” on the right.
** A “renewed” signal is when a market is already on a buy or sell signal, and traders again register an extreme net trading position in the same direction. Click “Glossary” in right-hand column for more details.
*** See my special caveats for Crude Oil and Natural Gas (click “Profit/Loss Results” in the right-hand column and check the footnotes).
**** The date in parentheses refers to the day on which the COTs Report was released that gave this signal. For details on how these trades work, including trade delays and portfolio allocation, click on “Profit/Loss Results” in right-hand column. Please note that my system gave these existing signals months ago in many cases. My profit/loss calculations were based solely on taking trades shortly after the signals were given as indicated in the “Trade delay” column on the “Profit/Loss Results” page—NOT at random moments long after the signals were given. Even small delays in trade execution have resulted in major reductions in past gains. In other words, this list of current signals is only a reference, not a list of trades I would execute right now.
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