I have back-tested 2 years of data, should have been 2 and a half years but I missed 6 months along the way but I think it was a non-event anyway, similar to the third chart from the left. Anyway the charts are not as conclusive as I thought with the COT Movement Index NOT moving and other charts not reaching their signal points.
I have marked off some points of interest but there is not enough confirmation to enter the trade in my opinion unless I alter the signal trigger.
See what you think.
<EDIT> Actually just seen a good signal, 19/11/2013 on the right side chart.
PP.
PP, this is a very nice work and usually we learn from these. When I made a EUR/NZD analysis, it looked similar to your findings. Some better signals, some weak signals, but the original USD pairs in the COT were just more accurate. However these conclusions can only be made with such analysis that you just posted.
I have just added the EUR/CHF to my cross currency list and there is are some ok signals. Please excuse the trading chart as this is not totally accurate because I am missing the end of the period but I wanted to show the entry point I would have taken with the regarding date signals.
Seems chalk and cheese to the EUR/JPY but I have not fully back-tested and will not be doing that for a while.
we got answer for the question we had some weeks ago: is gold going to follow silver or vice versa? Well, Gold followed silver and also it followed crude oil. Looking at the COT Index phenomena (not only the value) it looks like we might have bottomed out. Well, I am not there to catch those bottoms (anyway we moved already quite a lot away from the bottom), but the extended time period at the extreme value could be a sign.
From a fundamental perspective, not all GDP and Inflation readings are negative at the moment which could confirm this theory. How do you see it?
Take care,
FE
PS: I am having quite large problems with logging into the BP site, scrolling down on pages etc. The site is almost impossible to use. I am not sure if anyone else is facing similar issues.
I am now doing a full back-test and will start making it after the data tonight. I am going to use PhotoShop to analyze my data since I can zoom in and out of it and print images when necessary.
This is an example 2-and-a-half Year chart stack, minus the platform chart, of GBPAUD.
hi fellows.
I wanted to confirm something regarding COT Index and COT Composite Index. The excel data as provided by BBalazs make calculations for the COT Index based on the last 3 years data set. So in order to calculate the 1 year or 6 months COT Index do we need to recreate new tables with Max. Net and Min. Net values based on last 1 year or 6 months data to arrive at the revised COT Index? Or is it that the same data using last 3 years of data set can be used to produce charts for the 1 year or 6 months COT Index?
Maybe I’m not understanding your question because the answer seems obvious to me. If max and min are based off 3 year averages and you want any other time frame, you’d have to change the range of the formula for max and min to be for those time frames. The CoT Index formula wouldn’t change in Excel. Only the range for the reference cells.
Yes BostonEJ you are right its the range that would change. I actually got confused because one can make a 1 year or 6 months COT Index chart using the 3 years range but it does make sense to change the range as accordingly for whatever period one chooses.
commodities really diverge these days. I check the Williams 5 minutes commodity trader strategy on commodities now, based on the last COT Report.
The strangest finding was that based on the MA filter for gold we are looking for buy signals, but the silver MA is slightly heading down so we would still be looking for sell signals.
I found that interesting and decided to check out oil and copper for further clues on what is going on. Well, too much help did not come from those markets. Copper is falling like a stone so that would mean it is more on the side on silver, but oil MA is still going down, but very slowly and the price action of the last weeks will most likely turn the moving average soon to the upside.
So I guess patience is the right thing to do this time and see which side wins the battle. Any ideas or thoughts? Maybe someone with backtest results?
based on some pretty nice work in the background from Eric, the COT Report shows to watch out for Cocoa and Copper from the items we usually follow. Soybeans is also worth to check. As the COT Index signals are useful in the direction to the main trend, keep that in mind.
I haven´t seen the sugar chart for a while, there has been some very volatile movements. Did anyone catch that?
Not sure what MA you are using but concerning Silver and gold, it looks like they are due to go up at some point in the near future, as they are both edging up to signal. I have not got the charts for Oil and my broker does not offer Copper so could not possibly comment.
After my initial backtests I found that majors and commodities gave more signals overall with a couple of majors not signalling at all, this could be due to not having the strongest trends. The cross currencies were the worst by far and offered hardly any signals with little COT movement.
So I guess I will try to juggle up the numbers a bit but I first need to see if there is a pattern between the crosses or possibly tailor each cross individually if not.
I pretty much confirm what you have written, your findings are the same of our earlier results. Majors and commodities worked a lot better than crosses which gave actually unreliable signals.
The MA in this case is the same what Williams used, 52. It is used to decide if we are in an uptrend or in a downtrend.
do you remember our “talk” about copper? I do not remember if it was a year or one and a half year ago, but we were looking at the charts to search for a long-term support zone. Looking at the charts now, once more, it was shown that your favorite saying was true: “Never catch a falling knife.” All support zones were broken and the price reached a lot lower level.
Aye, the falling knife story goes back a long way, Williams recounted the old timers gathered round the ticker, one of them used the phrase often, but he had an extra piece to the saying which is often overlooked.
The old guy said not to catch the knife, but to wait until it hit the deck, then let it quiver, then slowly go over and pick it up.
there is something extremely interesting in the COT report, needs to be mentioned. Even if Peter does not trade based on that, but I do believe as he has a broad view of the markets and good COT experience, I think he can help us too.
So what got my attention is that two weeks ago the Large speculators had a COT Index reading of 71, coming out from the high extreme reading. Last week then the value was 0 (!) right away in the other extreme end of the spectrum. And what happened in the report yesterday? Believe it or not, the value was 86 again!
If you are new to the COT analysis then this might not say much, but if you use it regularly then you know that such jumps in the COT Index are rare, and makes the CHF trades based on the COT Index totally unuseful as the report gives different signals on a weekly bases. And as we know the report is always released a half week after the data was collected so this is a tough way to make money with USDCHF at the moment based on COT readings.
FE, it’s a little different for the commercials pre Brexit.
Many guys suggest that Brexit is just a UK, therefore GBP, scenario, but from a commercial viewpoint it is much more.
The referendum represents the one thing that business hates most - uncertainty, to legislate for the outcome is difficult and involves taking action on Eur, Usd and Gbp.
Good chance that COT will reflect this positioning.
I saw somewhere on BP a poster reflecting on Gbp Cot positioning, truth is that many commercials are buying Gbp because it’s cheap.
