PipPhil, I’m in the middle of doing this. If you want to message me, we can trade ideas. If I have time, I hope to be done after the weekend. “If” being the key word.
EJ
Hi EJ,
it is great you are also into trading it. The best would be if you discuss those ideas here so a discussion starts. Do you trade then based on the COT?
How did you fit the COT report into your trading system?
FE
Hey FE,
I’m in the working stages. Basing it all on analysis as I’m more a data driven individual. I have some correlation analysis done already and am putting together “report cards” per currency based on a combination of economic data, COT, etc. From there, I’ll put together my own strength reports and trade in the direction they suggest. I hope to finalize that this month and start testing with real money next month. I rather learn with real money (small money) and then gradually add to each each month I’m positive. If I lose in a month, I wont put more money in till I’m seeing consecutive months of positive again.
That’s all my plan at least. I’ve been around learning here for a few years but only now have the time to try to make something of it. I’m sure that doesnt really answer your question directly but mostly suggesting that I’m still starting out.
On another note, I think I found a way to automate the COT data and will try to finalize that over the weekend using Excel.
EJ
Thank you for your constructive post.
Are there any Excel wiz’s out there? I have automated the updating of COT data into the spreadsheets after downloaded from CFTC site but having the dandiest time trying to make the charts dynamically update. PM me if you have any ideas.
EJ
OK. I figured out a way. My database and charts should update dynamically after downloading and overwriting the 2016 file each week.
I’ll test this out for bugs in the coming weeks and offer it up to anyone interested if it works out as desired. Its a large file though given the data and charts.
EJ
P.S. Apologies that this is a tangent to the normal thread topic but I had thought some automation was desirable for those keeping an Excel database.
Hi EJ,
this belongs 100% to the thread topic as it is an advanced way how to deal with the COT data. I would be very happy to try out your method so I am waiting for how your tests worked out.
At the same time, take a look at gold, now it is again showing high correlation with silver, and both the Net position and COT Index should reach an extreme value. More than that, we are sitting with gold on the weekly chart channel resistance zone. The last time we were discussing gold, it worked out great to the upside, this time the signal should be easier as if it comes, then it lines up with the ongoing long-term trend which makes it a lot easier to trade.
Peter, any idea on gold?
Have a great weekend everyone,
FE
Gold very much the risk play at present. The two etf’s that I have in a gold folder is GLD and GDX - the latter being slightly more leading since it’s miners.
The interesting thing on daily on both has been the recent break of the high, with associated increase in volume before reaching that high.
Some guys would say perhaps the increase in volume reflects sells at the high, but price continued up with the volume, much greater volume than when reaching highs last year, so investors have been buying both etf’s heavily in the past 8 days.
Will it continue? - likely the the little spurt in oil could fizzle out, if so then more stock selling and gold buying for a while anyhow.
First GLD eod:
Then GDX eod:
Interesting analysis Peter, I always like your write ups on ETFs. What got my attention is the percentile difference between GLD and GDX. GLD incresed about 12% recently while GDX about 50%. What is the trick and reason behind those huge percentile differences between the two?
As far as I have been observed gold, these risk off and risk on moves were more short term and on longer term inflation was the deciding factor. Saying that, inflation is still bad, so I am still getting ready to see the downward movement. As always, it will be interesting to see how it plays out!
Thanks a lot for your great pictures!
FE
FE, as always this thread is a little ahead of the curve.
Recent research articles by Greenwich Associates Research (referred to as a market intelligence company, they are into market research in the current time frame) will perk interest by more participants.
Seems their research, published last month, is suggesting that institutions … lol, they tell it better than I can:
(btw, RIA’s ,Registered Investment Advisor, used to be the big guys, but looks like they are being overtaken)
https://www.ishares.com/us/literature/brochure/2015-greenwich-associates.pdf
Thanks Peter…good stuff!
Reading that link just reminded me of a book a just bought. What a book guys. This is the direction I will be taking. Gonna take a long time though.
Global Macro Trading ---- Profiting in a new world economy---- by Greg Gliner (Bloomberg)
Mike
Hi guys, that was Jan 13th at 75.54, the hot shots still thought they could get it back down, draw a horiz on the close on that date and you can see their efforts.
Likely another push up this week and it is still not spring, so looks like 80 is still on the cards.
Hi Peter,
As usually, you saw what was coming 
I have been looking on many JPY strength and GBP weakness everywhere.
Interesting to compare the different indexes. DAX lost about 25% in the last months, some other a lot less. I like these relative strength indicators. Are you trading S&P these day?
Take care,
FE
Hi FE,
Eur/Gbp is the only instrument that I have to take a longer term view on.
Still with the S&P, obviously not now trading for the new highs, though wouldn’t be surprised to see that happen again, especially given all the negativity.
Still using ETF’s for breadth indicators, see many of the banks now using Bond ETF’s, so found that interesting, I have been using TLT and IEF for anaylsis on the US10yr so work in progress.
Here is a Reuters post from a couple of days ago.
Take care,
Peter
Banks build ETF businesses as growth stalls in bond trading | Reuters
Hi BostonEJ,
you did not write about your backtesting results. How could you build it into your strategy? How is the automatic update of your database? Is it working well or are you still working on it to optmize?
Peterma,
EUR/GBP is just on the way to your 0.80 goal I am not sure if you are in a longer term trade with that TP, however as you said long ago, the pair is on its way to get there!
PipPhil,
did you finish the COT books? I am happy to see any update on your COT journey!
Have a great weekend everyone,
FE
Getting guys back to the basic, I write an update what the COT Report said on last Friday (2 days ago) about gold and silver as it is very interesting. We reached the extreme 100.00 reading for both instruments. This would mean if we are not at a long-term reversal then looking for sell signals might be very profitable. We now that COT Report is sometimes not a great timing tool so first rather wait for confirmation. Still, there are usually 1-2 such signals in the direction of the main trend per year so this might be interesting to look after.
If someone has an opinion I am happy to discuss it!
FE
Hi FE,
Not in a trade, more to do with the ‘commercial’ side of the equation. Suits well around current rate up to around 84, the ideal is 81 to 81.50, and to remain within that range for around six months or so.
FE,
The testing I may have referred to was more testing the spreadsheet I setup. It works so far after downloading the Excel file from CFTC and then dragging the formulas in my template down one row for all tabs. That whole process takes less than a minute I’d guess. Charts update automatically.
But “plan” is still in the shadows. I’m working on “currency” report cards based on data I collect. Work in progress really. I hope to finish up my efforts in March and place my first trade by then.
On a side note, is there a reference in this thread someplace that dissects the six or so COT charts that were referenced here? I’m at that point now where I’m trying to provide initial comments on the COT data I have now.
Thanks,
EJ
Hi EJ,
No, there is no reference for that. Basically we discussed those 6 COT charts after the whole setup from BB. We did quite many analysis where we discussed on live examples the meaning of those charts.
Can you send in email your spreadsheet with some kind of an explanation how to update those charts in a minute? Sounds just great.
FE
FE,
I’ll try to put something together so we can give it a shot after this Friday’s updated #'s. I’ll detail how you update sheets that already have data and how to create new sheets (I’ll use Silver as the reference) if you want to setup additional charts.
Please remind me if I forget as I’ve been a little preoccupied lately.
EJ