Thanks guys for the fast answer! From BBs I understood the difference and Peter’s example helped to choose what I want to do. I have to say it is not a clear cut do which one to analyse. What about you, BB? Which one do you do? I will go with the consolidated, because I read the example from Peter’s link and it makes more sense to me even if I do not trade the MINI S&P 500, but I think the consolidated report might give me a better overall view how is S&P doing.
FE
So just an update on oil…Stock markets in the gulf has been declining somewhat this week, not to mention in October as well. There are some worries of the long term impact of low oil prices on the economy.
More importantly, there is an OPEC meeting Thursday to discuss the latest decline in prices. Let’s keep an eye.
More on oil: Iran May Propose Million-Barrel Daily OPEC Cut in Saudi Talks - Bloomberg
Apparently its 50/50 and Russia could fall into recession if crude oil price continues to decline. Here’s a quick video Putin Warns Russia Could Fall Into Recession: Video - Bloomberg
“Saudi Foreign Minister Prince Saud Al-Faisal met Russian Foreign Minister Sergei Lavrov in Moscow Nov. 21, and the countries said in a joint statement they’ll coordinate on “issues” affecting the energy and oil markets, without giving more detail. Saudi Arabia and Russia are the world’s two biggest oil exporters.”
PS: FE, have you taken this into consideration Russia falling into recession ? How would RUB react, could RUB drop far further from its current levels ?
Hi Rookie,
nice write-up. I did not know you are still doing these write-ups 
Well, I have been talking to Peter too about this issue. At the moment there is not much that worries me about Russia. RUB had major losses I think because really everything went against them: war, sanctions, oil prices and strong USD. I mean this from forex point of view, I do not want to discuss politics.
I think both fundamentally, COT and technically the setup is doing good, at least my account likes the numbers I have a SL out there to protect me in case it does turn against me. On the other side, I really do not mind if the pair just floats. Every day brings a nice carry trade so I can close it with 0 pips in a year, it would still give a nice result. I am still on the opinion that the downside move is more in the cards.
Thanks for the information!
FE
Hi Team,
we are talking quite about S&P so I thought it might be time to make a COT Report analysis on it to show the findings for everyone. I devote my “during the week” analysis for the S&P Consolidated report. As we discussed in the thread, I decided to analyze the consolidated report which includes the MINI S&P 500 too, not only S&P 500. The reason is easy, I wanted to get a complete overview of S&P 500 and the consolidated report has about 5x OI than the S&P 500 itself.
S&P 500 Consolidated
Net positions
CP/OI and OI
Willco
Commercial Movement Index
COT Index
Conclusion: we cannot see any kind of buy or sell signals on the charts. The Net Position and OI charts show though that a historical analysis with price charts might give us very good extra information about trading the index.
FE
Hi Philip, Mike and Rookie (maybe Peter and BB too),
I think the following investigation will be very interesting for Mike because he likes statistics, for Philip because he is a technical person (he also loves numbers) and Rookie as he wants to become a trader and a long-term observation of my study can be very important. But Peter has experience and knowledge in everything and BB is I think an efficiency looking guy so he might be also interested.
I told you guys that I would like to trade long-term setups and want to study how much carry trade do I make over time and would like to investigate how much revenue can I get from it if my trade ends up with 0 pips after half a year or a year. I have never seen a mathematical study of that so I thought I just do my own on currencies which have my interest. I want to find answers for such questions: “If I trade USD/RUB for half a year and close the trade with -150 pips, does maybe carry trade balance my loss or not? Actually how many pips do I make in half a year?”
I share you my table as I thought it takes 1 hour work but until now I am at 1 hour and done maybe 25% of the work. I have many problems with calculating how many pips do I make with different carry trade currency pairs/day, here are they:
As you see there are quite some problems and before I do everything wrong I thought I open a discussion. I do believe it is important as for long term trades it can give an important edge and it does matter if we can calculate for example with the value -150 pips or +150 pips on a longer term trade based on the carry trade revenue.
In my trades I was mostly looking for comdoll and exotic currency setups because there is carry trade differential. I also want to calculate gold and silver as for me it is not for contract but for currency. I have to pay every day some kind of a carry trade when I buy gold and silver and I get money when I short them.
I am waiting for all suggestions and solutions and I am ready to raise this question to the next level as I want to calculate these revenues/expenditures in my long term money management risk. One more reason to calculate carry trade is because I am interested how long does it take to get back the spread with carry trade.
Have a nice evening/afternoon/morning,
FE
Hey guys.
Monday’s results.
EUR: +6 -0 1///+3 -0 0
CHF: +6 -0 1///+3 -0 0
GBP: +5 -2 0///+3 -0 0
USD: +4 -3 0///+3 -0 0
NZD: +2 -4 1///+1 -4 0
CAD: +1 -4 2///+0 -4 1
JPY : +1 -5 1///+1 -1 1
AUD: +0 -7 0///+0 -5 0
Majors took it.
Comms did not have an up day against any Major.
I’m thinking it’s gonna be a Major week. Off to a good start anyway.
Mike
Hey guys,
Thought I’d analyze Russell 2000, besides trading the index itself I thought it’d be helpful for us to analyze the index as it does act as a leading indicator for S&P500.
So there were two types of Russell, mini and the standard but I went with the mini not because I had prejudice against the other and favored the mini but simply because the mini index had the years of data that I was planning to cover.
Russell 2000
Willco
OI stayed flat pretty much for the last few weeks while commercials sell their longs specs have been reducing their net shorts. Commercials current COT index is 63, and 39 for specs. Movement index is -27. Willco is 61. Nothing significant as of 18th Nov’14.
It seems like we’ve missed a major buy signal. For your convenience I’ve also attached the weekly chart of the index.
Do you guys see that?! Apparently the COT index signaled the bottom was nearing on 30th Sep about the same time when OI hit bottom and slowly got back up while commercials started reducing their net long positions. On top of all that Willco flashed a ‘buy’ right at the same time.
If we had gone long on Russell 2000 then it definitely would have been a lot earlier. Now going back the weekly chart, the index had hit bottom on 12-13 Oct and not surprisingly the major support that held the index was previous resistance. COT index came back down to 90ish range from its extreme reading when the index actually bottomed. *I remember Philip used to say how he’d wait for the index to come down a little once it hits 100 before placing any orders. If you look at the volume down below. There has been no follow through to the upside. Will we be able to catch a ‘sell’ signal ? We’ll see 
A quick update : Russell 2000 did bottom prior S&P500 on daily chart. And I remember Philip showing VIX chart how we could use that as a confirmation for bottoming of S&P. Do we already not have many confluence factors ? :13:
Hi everyone,
we haven’t had fundamentals for some time so I post here Forex Gump’s article about Canada. This is interesting because we basically never speak about CAD. And despite the falling Crude Oil prices the article reveals that very many economic reports are coming out positive! Mike was also writing once about the positive effects of the strong US economy.
Here is the article to read:
4 Reasons Why the Loonie Is Going Strong
[B]Rookie[/B], can you maybe add this currency to your database on the weekend? It would be good to observe what is with the Loonie.
[B]Philip[/B], can you take a look at your CAD currency crosses if we are getting close to any buy signals?
FE
Ok. FE. I’ll do it tomorrow.
Hey Guys!
You remember my study on the relationship between the price of Silver and OI? Well, I decided to dig a little deeper, so I created the 3 years and 6 months COT Index for the last 15 years. I wanted to see how reliable the extreme readings actually are.
So here goes the charts of Silver from 1999 to 2004.
I know it looks confusing at first, so I’ll explain. The graph on the top represents the COT Index with the 3 years look-back period, while the bottom one is with the 6 months look-back period.
Blue Line: Non-Commercials
Red Line: Commercials
Green Line: Nonreportables
I used to be against using Nonreportables as the indicator of the “uninformed public”, but Dstan made and excellent argument, pointing out that sometimes, NRs does represent the public.
In the picture above, I used red line to mark COT Index (3 years) extremes. As you can see for yourself, Commercials made a pretty good job selling into strength. The signals were more reliable when we had the NRs at the other side of the extreme readings.
Now, I have the 6 months’ extremes marked. Remember, we want to be in harmony with the trend, but it seems like we are getting some ‘right on the money’ signals in the roaring bullish trend too.
Same chart, except we are looking at buy signals from the COT Index (3 yrs). It is obvious that Commercials are arrived a little early to the party, didn’t they? Although we eventually reach the bottom, the ride is extremely frustrating.
It’s even worse when you look at the 6 months’ signals. That is exactly why we have to respect the dominant trend. Period.
Tomorrow comes the period from 2004-2012.
No buy signals in CAD crosses yet. Let’s see next week.
Hi guys,
BB, nice analysis! It shows perfectly that we only ride COT index after the market turned and we have seen the net positions turning point.
Philip, thanks.
Rookie, ok, then we will see it tomorrow, perfect!
Thanks everyone the great posts out there,
FE
Ok, as Rookie and BB made very nice analysis today, I couldn’t resist and also made the promised net positions and OI analysis on S&P. I was interested if the Consolidated S&P can give us accurate net position buy signals and if the falling of OI in the end of the contract period does give us any kind of information if price will rally or fall before the contract expiry and in the beginning of the new contract.
I did not draw all the lines on the charts because after drawing 5-6 lines it was clear: they do not function and do not give us any accurate signals.
Conclusion: the question is now if it makes sense at all to continue the COT report analysis on S&P Consolidated as the historical analysis shows that we cannot use the signals. I can maybe switch to the S&P Stock Index COT analysis but the Open Interest there is really small so it is questionable if that makes sense to analyze. I am waiting for all your suggestions.
FE
PS: Peter, how do you like my post count now? Maybe I will stop posting now as it is my lucky number!
Lol, what a difference 111 can make. FE, you’ll have to really contain yourself for a while and savour the luck - remember one time I mentioned the luck of the Irish - now you have it
Hey guys.
Tuesday’s results.
JPY : +7 -0 0///+3 -0 0
EUR: +4 -1 2///+2 -0 1
CHF: +4 -1 2///+2 -0 1
CAD: +4 -1 2///+2 -1 2
GBP: +3 -4 0///+2 -1 0
USD: +2 -5 0///+2 -1 0
NZD: +1 -6 0///+1 -2 0
AUD: +0 -7 0///+0 -3 0
Majors took it, again. +9
Two days in a row. Still looking good for a Major week.
0125 GMT
Mike
As promised, here comes the period from 2004-2012.
I have marked with red line the COT Index (3 yrs) sell signals
Surprisingly, we only got 3 signals overall, which were accurate even if the sell-offs were short-lived.
Now, the sell signals from the 6 months COT Index
Not bad, is it?
Let’s see some buying opportunities presented by the 3 yrs COT Index.
As you can see, despite the enormous bull-trend, we were given only a shy 3 buy signals during the period.
6 months COT Index buys.
That’s more like it. Awesome long opportunities.
Hey guys.
It just hit me. We are in the last week of the month. So, I looked at the months’ end stats. I’ve been remembering that at the end, things DO come back around. So here is what it looks like up to this point.
(You have to wonder how JPY took the cake yesterday)
First 3 weeks totals /////////This weeks running total up to Wed. 1000 GMT hr.
NZD: +1829//////-622
CAD: +1626//////-234
USD: +876///////+121
CHF: +561///////+636
AUD: -45/////////-1766
EUR: -489////////+945
GBP: -1867///////+821
JPY : -2490///////+99
There’s a lot to deduce from that.
Looks like JPY can come up some more.
NZD is coming back down.
GBP is trying to catch up, been doing it so far this week.
And the Majors are coming back up against the Comms.
Mike
Hi BB,
nice analysis. I agree with one of your too statements. I do not see any reason why COT Index gave good sell signals. Many times it shows that the signal was wrong, and when it was right it offered a little profit for a larger reward to risk ratio.
On the other hand I do agree, the COT Index did give us awesome buy signals. No question about that. I do not remember exactly, you have made once another commodity historical analysis and we came to the same conclusion: buy signals were stronger than sell signals. This is funny because I have seen the opposite at the Crude Oil analysis. My study was however based on net positions.
I think we can conclude once more, COT Index does function only in the direction of the trend.
FE
Hey guys.
So as promised I’ve done an analysis on CAD.
CAD
Commercials have been buying CAD while specs have been adding on to their net shorts. No drastic change in OI.
Nothing significant here again. Commercials COT index is 76, and 30 for specs.
Willco is at 73
Commercials currently hold more longs than shorts compared to total OI.
There’s no signal for CAD for now. So no buying of CAD just yet against USD. Commercials COT 6 months index has been fluctuating in between 100-97 range the past few weeks.
USDCAD daily chart
The pair is about to test SMA50 which has been tested throughout this uptrend. I wanted to see if we could hop on the uptrend. So I went further and checked current weeks MA 26 weeks value and compared it to a value of two weeks prior and it was lower. For a buy signal if I’m correct MA value has to be higher. Looking at USDCAD daily chart PA wise, we have yet to see any confirmation. I’ll wait for the week to end and will check the current weeks MA value once more.
I’m not sure if Mike is reading this. But I was thinking if commercials are getting ready for a round of CAD sell off against dollar. How would other CAD pairs react to this ? I’m wondering if there’s any relation at all :33: FE??
