Mind you, the "smart money" commercial hedgers have gotten considerably more bearish in their derivatives positioning in Friday's data. See my newly updated latest signals table for more details on this and the other COT markets I'm following. Nonetheless, the commercials are far from being at any kind of historic extreme in their holdings, which means my setup remains in bullish mode for the time being. Good luck next week.
Sunday, 31 July 2011
S&P Commercial Traders Get Negative, But not Worryingly So
Not one new signal in my trading setups based on the Commitments of Traders reports issued weekly by the U.S. Commodity Futures Trading Commission. My S&P 500 setup remains notably bullish for a fourth consecutive week, perhaps signalling that all will work out in the U.S. debt standoff craziness.
Friday, 22 July 2011
Gold, Nikkei to Cash
Couple of signals taking effect on next week's open of trading: My trading setup for gold goes from bullish to cash, and the same for my signal for the Nikkei Stock Average. Otherwise, everything's the same as last week: bullish for my new S&P 500 trading setup and the 30-year Treasury bond (meaning bearish for the yield) and cash for crude oil, natural gas and the U.S. BKX Bank Index.
My new setup for copper is also in cash for two more weeks, then goes bullish. Check my newly updated latest signals table for more details on how the Commitments of Traders positioning data sees these markets.
Have a good weekend, and good luck next week!
Sunday, 17 July 2011
S&P 500 to Bullish
Just updated my latest signals table with the Commitments of Traders data from Friday's weekly release on trader positioning by the U.S. Commodity Futures Trading Commission. My S&P 500 trading setup based on the COT data is going from cash to bullish on this coming week's open of trading (i.e. on Monday). The COT data for this market looks good for at least the next three weeks (the trade delay for this setup) - meaning it's going to be bullish at least three weeks out.
I've now also updated my S&P 500 setup based on new backtesting to include data since 2007. The new setup is the one I'm using for the new signal. Like my old setup, the new one uses the same two component signals: trading alongside the commercial traders when they hit certain extremes of trader positioning and fading (trading opposite to) the small traders, who are usually wrong at extremes of positioning. The new setup uses slightly different parameter values.
I've updated the latest signals table to include the new stop and portfolio allocations I'm using for the new setup. Please ignore the parameter values now listed on my backtesting results page, which I haven't updated yet. Please also ignore for the time being the parameter value information on the DIY page. I've disabled the spreadsheet linked there and will soon replace it with a new one using the new parameter values.
In other markets:
- BKX Bank Index: My setup for U.S. financials goes from bearish to cash on the coming week's open of trading.
- Copper: My new setup is in cash but goes to bullish on Aug. 8.
- Gold: Don't get too comfortable with the bullion rally. At least not if the COT data is right. My gold setup remains bullish one more week, then goes either to cash or bearish on July 25.
- 30-year U.S. Treasury: My setup goes to bullish on Monday's open after three weeks in cash.
See my latest signals table for more details on the other markets I'm following. Good luck this coming week.
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.
Sunday, 3 July 2011
Happy News for Gold Bugs
One new signal for execution on the coming week's open: My trading setup for gold goes from cash to bullish. This signal will last at most three weeks. It's based on excessively negative trader positioning in gold futures and options by large speculators, whom my COTs Timer trading system fades. See my newly updated latest signals table for more details on this setup and my others based on the weekly Commitments of Traders reports from the U.S. Commodity Futures Trading Commission. A few other highlights:
- Financials: My setup for the BKX U.S. Bank Index remains bearish for a second week. This is based on highly bearish trader positioning in three-month Eurodollar futures and options.
- Crude oil: My crude signal remains bullish but will go to cash in a week's time.
To Canadian readers, hope you enjoyed a good Canada Day. To American readers, have a great 4th of July. And good luck to all this week!
Monday, 27 June 2011
Banks Bearish Today, S&P 500 Bullish in Three Weeks
Good news for bulls in the latest Commitments of Traders report issued Friday afternoon by the CFTC. "Smart money" commercial hedgers remain net bullish in their S&P 500 futures and options positioning, while wrong-way small traders have suddenly gotten hugely net bearish. See my newly updated latest signals table for details. Readers might recall I reported last week that my S&P 500 signal had gone from bearish to cash with a three-week trade delay (i.e. for execution on July 11). Now, the latest data has pushed the signal into the bullish column for the week following - i.e. on July 18.
But there's also good news for bears. Everyone can be happy! Trader positioning in the three-month Eurodollars has soured considerably. It's given my BKX U.S. Bank Index setup a bearish signal for execution on Monday's (tomorrow's) open of trading. This signal tends to be shorter-term and on average has lasted 2.6 weeks in real-time trading (as opposed to 6.5 weeks on average for my S&P 500 signals). So it's entirely possible that both of these signals will turn out to be right.
Also, my 30-year Treasury signal goes from bearish to cash on Monday's open.
In housekeeping notes, I've started an update of my backtesting of my system - a necessary step after real-time trading a mechanical system for 20 to 30 percent of the original dataset, since the robustness of the signals tends to deteriorate the longer they're used. The original dataset was 1995 to 2007 for most of the signals, so they're due for an update.
My real-time trading experiences and all this juicy new data should help me come up with a more robust series of setups to replace the existing ones. I should start introducing new setups in the coming weeks. I've also been able to speed up a few aspects of my testing, which should allow me to find time to bring in setups for a few new markets.
Good luck this week!
Sunday, 19 June 2011
Banks, Gas, S&P 500 to Cash
New signals taking effect on the coming week's open of trading: My trading setup for the benchmark BKX U.S. Bank Index goes from bullish to cash, and my signal for natural gas goes from bearish to cash. I just updated my latest signals table with these signals and other new details based on Friday's Commitments of Traders report issued by the U.S. Commodity Futures Trading Commission.
Here's something interesting: The "smart money" commercial hedgers in S&P 500 futures and options have gotten substantially more bullish in their positioning in the latest COT report. Their signal has gone from bearish to bullish. Meanwhile, the wrong-way small traders are slowly unwinding their excessively bullish positioning, but they've yet to come anywhere close to a bearish extreme.
In my trading setup for this market, both groups of traders must give the same signal for me to take a trade. In backtesting, this gave the most statistically robust and profitable trades. The result? My setup, which uses a three-week trade delay, will go to cash in three weeks' time because the two signals don't agree.
Good luck this week!
Sunday, 12 June 2011
Green Light for Crude
One new signal based on Friday's Commitments of Traders data issued by the Commodity Futures Trading Commission. My trading setup for crude oil goes from cash to bullish on Monday's open of trading (June 13). See the details on the crude data and the trader positioning in other markets I'm following on my latest signals table. Good luck this week!
Monday, 6 June 2011
Bullish on Banks, but Still Bearish S&P 500
Is it all over for the bull market rally since... how long has it been now?... since 2009! And what a rally it was. Trader positioning in the futures and options markets gives me a bullish signal for the BKX U.S. Bank Index, taking effect on today's open of trading. On the other hand, my bearish signal for the S&P 500 is still in effect, too. In fact, the latest COT data from the CFTC shows trader positioning in that market getting even worse.
The explanation could be simple: My BKX trading setup uses three component signals and thus tends to go in and out of positions on a shorter time frame than my S&P 500 setup, which is based on just two signals. In other words, both setups could be right. If that's the case, we could see a little rally within a larger decline.
See my newly updated latest signals table for more details on these and my other signals. Good luck this week!
Monday, 30 May 2011
Gold to Cash, Gas Bearish
Two new signals based on the latest data from the Commitments of Traders reports issued by the CFTC. My trading setup for gold goes from bullish to cash on Monday's open of trading, and my setup for natural gas goes from cash to bearish on today's open as well. See my latest signals table for more details on these and my other setups. Good luck this week!
Friday, 20 May 2011
Is it a Top? Trader Data not Happy
Markets sure feel toppy these days - especially now that the "best six months" seasonally favourable period for most major stock indexes is now over. This afternoon's Commitments of Traders report suggests the weakness could continue. My trading setup for the S&P 500 remains bearish, and trader positioning isn't giving any hopeful signs for bulls. See my newly updated latest signals table for details based on today's COT release. Have a good weekend, and to Canadian readers - a good long weekend. TGIF! Good luck next week.
Subscribe to:
Posts (Atom)