COT Report Analysis - a thread on market sentiment

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1747

Thanks for a great tutorial BB, I will be uploading my database according to it.

I hope some of you guys have taken advantage on the trades I shared on the weekends; GBPNZD is close to getting to its first target of 140 pips.

The S&P is working great too; I’m up eight points for a profit of $225 and we are only in the second day of trading. Those who did enter the trade I recommend moving your stops to break-even just in case price moves back below the 200 ma. As we have seen from previous example this remains the likely scenario, especially with the Fed meetings coming up.

I’m also long USDJPY and USDCHF for a small profit, a good week so far. I think I only made one or two losing trades since September #onfire.

1748

Hi Philip,

this is also my very best week since trading. I have very many open trades, the USD trades you mentioned. I entered earlier S&P 1893 to 1921 once, and now I am also in from 1929 and SL is above breakeven. I shorted JPY vs. all others except EUR. I also entered CAD longs, but GBP only vs. JPY. I think GBP will fall and I do not go long with it. I am more happy to trade CAD these days.

Good luck,
FE

1749

Hi BB,

What did you say about creating the excel? Something like this?:

“It is going to be a walk in the park compared what you’ve been through”

It was the toughest part of the tutorial! Took quite some time. If you have not posted the exact steps or the charts pictures to compare it… then I do not know.

After some sweating it looks like yours, only in different colours.

So I can start doing it now. I cannot wait for the weekend :slight_smile:

About crosses: I think your calculation looks good, I do not think we have to take the absolute value. I mean the net position can be negative without any problem. However it does look like a hell of a lot of work. There are 28 major currency pairs and 21 are crosses. That is a lot of calculation. It can though help quite a lot I believe, but still a lot of work.

You did not say how many markets do you follow with COT? Do you do all the analysis on the weekend?

And you showed us where to insert the little part of the excel where we calculate COT Index, Movement Index, Willco and OI. Now the question is: we actually do not need to upper row every week. Do you move this chart every week one row down? I just try to understand all steps to make it fast. I was thinking that this data copying on the weekends takes long if I do not choose the right strategy.

Ok, now I will rest. The tutorial was great but made me tired. Now I take a break before it goes “live”.

FE

1750

Hey guys.
Thursday results.

CAD: +7 -0 0///+5 -0 0
EUR: +4 -1 2///+2 -1 0
CHF: +4 -1 2///+2 -1 0
USD: +3 -2 2///+1 -1 1
GBP: +2 -3 2///+1 -1 1
AUD: +2 -3 2///+1 -2 2
NZD: +1 -6 0///+1 -4 0
JPY : +0 -7 0///+0 -3 0

Comms took this one. Barely. +1

Monday: M +1
Tuesday:C +12
Wednes: EVEN
Thursday:C +1

00 GMT

2014-10-23_2000.jpg700×316 19.6 KB

Mike

1751

Hi Mike,

wow, your table shows the shift change in CAD sentiment after the more bullish central bank bias! They just killed everyone.

Guys,

as you see I still do not post much. I am ready with the tutorial, but I could not start the table of content yet. Still, I am not lazy and have good news. Check out the thread name :slight_smile:

Have a nice day everyone,
FE

1752

Well, it was easy for me because I was specialized in IT when I was in high school (^_^) Anyway, sorry for not being more specific, but at least you figured out by yourself so you can re-create it if needed.

Crosses: If my calculations were correct, then it should not be a big deal to create a database. All you need is to copy and paste the latest figures for the base / quote currency, then calculate the Cross Indexes. I might do it for a pair on the weekend and see how it goes.

I currently have 11 instruments in my database. I won’t add more until I make sure which commodities are responsive to the COT report. I already shared with you guys my Silver study. I usually do my analysis on the weekend. It takes no more than an hour.

Yes, I simply add a new row each week. At the end of each year, it is alright the get rid of 1 year of data, since you won’t need that anymore. If you copy last week’s row, you only have to type in the date, and the long/short positions, since the calculations are automatic. It takes about 15-20 seconds to type all the numbers.

1753

Hey BB!

I’m having trouble with Wilco

Screen Shot 2014-10-24 at 5.59.33 PM.jpg700×103 14.1 KB

I have double checked if there was any error formula wise but couldn’t find anything

Screen Shot 2014-10-24 at 6.00.01 PM.jpg700×61 15.2 KB

202nd is the last row as you can see from the attached image above , and corresponding to column N there’s commercials net position/OI which I’ve circled. I hope this is enough info for you to be able see what I’m wrong doing here. I’m almost done with ‘gold’ only though.

1754

Seems like you are using 101 week as a variable, so your Willco formula should look like this (for the row ‘202’)

=100*((N202-MIN(N101:N202))/(MAX(N101:N202)-MIN(N101:N202)))

I see what is the problem here. Your database is upside down. You are calculating the Willco for 1/7/2014 from the weeks that followed the date. In other words, you are calculating from future numbers.

You have to sort your database, so the report dates are from the oldest to the newest.

1.jpg700×316 74.3 KB

1755

Yep you’re right BB the IT expert. Thank you again!

1756

Hi guys,

a very quick write up from my point of view. I only write here “products” which does worth to mention:

[B]CAD[/B]: the bullish Central Bank is definitely something to mention. It suprised everyone. I closed one of my two short CAD trades right away (NZD/CAD long) and have them only vs. USD short. On the other side I am long vs. JPY, CHF and GBP.

[B]GBP[/B]: the opposite of the CAD, I think the Eurozone will pull it down.

[B]S&P[/B] and [B]FTSE[/B]: both were moving up continuously giving some great opportunities to enter! We talked about it a week ago and the ones who entered made nice profit on it (I do not know who did, I know only about Philip and myself)

As we were talking on the COT about possible setups, here is how our watchlist is doing:

[B]Gold[/B]: was moving the last weeks up but turned down again. I do no see any good reason why it moved up, I do not buy it until a COT signal comes.

[B]Silver[/B]: basically shows a big difference to gold as it does not want to move to any direction at all.

[B]Copper[/B]: I am watching the action every day. Neither the support zone or the channel break is in danger. We will see what BB has to say on the weekend about it. It might take some time to see an upside break.

[B]Gasoline[/B]: I do not even have a chart on it, I wonder how BBs trade is doing. Probably he will mention it on the weekend.

These were the main happenings and our COT watchlist commodities for the post week.

FE

1757

Hi guys,

this is off the topic but all of you together has many years of experience and I thought I ask it. I read today quite a lot about the [I]4 week rule, developed by Richard Donchain[/I].

Now, as it seems, it is quite obvious and easy to use and produces also good results. The question is obvious? Does some have experience with it and if yes, what kind?

Thanks,
FE

1758

FE, it’s an oldie system, almost as old as me, basically a breakout in the trend direction.

Fails on a fakeout, but sure to catch the big move.

This was the system where the tutor said he would never consider buying below the current market price or selling above current because you are guaranteed to be in the market when you are wrong.

BTW post something to get off that post number :slight_smile:

1759

Finished my COT report. Unfortunately I have no signal to report. I’m staying on the sidelines for next week. I actually advise everyone to do the same, it is a direction-defining week ahead. So no reason to be involved until we see what happens.

1760

Hey guys.
Here’s what happened last week.

CAD: +738--------------------Came back from the last 2 weeks of major weakness. Surprising.
AUD: +552--------------------Coming back from much weakness. ‘Underdog’ made some strides.
USD: +229--------------------Still stronger than most overall. Strongest Major.
GBP: +208--------------------Showed strength.
CHF: -163---------------------Middle of the road.
EUR: -406---------------------Continuing with the weak trend.
JPY : -569---------------------Finally coming down. Safe haven status not happened this week.
NZD: -590---------------------Took a big hit this week. But strongest on Friday. Their either hot or cold.

Comms made +700 pips over Majors.

I think the whole point here is to see what happened, and then look back at the COT report and see if there was any correlations. I remember it being everyone pretty much bearish against the USD. So I guess that could be called true. This week was dominated mostly by the Comms. But USD did dominate on Wed. And is the strongest Major still.
This is only one week. But if I remember, the previous week was the same, all bearish against the USD also.
Wait…I think the GBP was neutral and less bearish also.

Just trying to make some connections. But I guess there will be an edge if you took the USD opportunities, (buying on dips).

Mike

1761

Hey guys!

I have two instruments for you which worth some attention in my opinion.

I’ll start off with Silver, since it is more popular.

Do you remember my historical study of the relationship between Silver and Willco?

We came to the conclusion, that almost every-time Willco reached extreme readings (+90%), Silver soon rallied. The signal was more reliable when COT Index flashed extreme signals at the same time Willco did.

Well, guess what I have in my database? Extreme Willco combined with extreme COT Index.

1.jpg700×374 38.2 KB

2.jpg700×320 16.6 KB

It’s not exactly a setup you get everyday, so keep an eye out! :33:

I’m still a bit puzzled by the high OI readings. :34: It’s okay though, we saw that there were times when Silver bottomed out on high OI.

3.jpg700×327 36.3 KB

I’m looking for entry signals around $17.00 - $16.50

4.jpg700×620 37.8 KB

1762

Copper

I’ve been closely following this instrument since last week.

COT INDEX + Willco Extremes.

1.jpg700×368 35.9 KB

2.jpg700×308 17 KB

Open Interest increasing, as well as Commercial longs. There is a slight increase in shorts.

2.jpg700×309 34.8 KB

I’d like to see a $290.00 touch (Support Zone) before going long.

3.jpg700×445 36.9 KB

1763

Are you going long on silver BB ?

From what I know gold drives the silver price. Gold and dollar are inversely correlated. Gold is currently resting on a weekly support level. We don’t know where it will head afterwards or if dollar rally is overextended. Though gold is considered a commodity it usually tends to trend in the other direction of CRB index as its also seen an alternative to paper currencies.

Lets narrow it down , dollar has been in a rally and S&P500 has been on a great run while bond yields rise and price falls as recent business data in China and EU showed mild improvement. Investors rotate out of defensive segments into riskier segments such as S&P500. Gold does better in both deflationary and inflationary times. We’ve often heard investors buying gold to hedge against inflation. I assume we’re in neither of the two but in a disinflationary period where there’s no inflationary pressure - due to falling oil price. What does this all mean for gold ? An alternative to paper currency, a safe haven ? Isn’t there a better place to park your cash than gold given all this ? S&P and dollar index ? Well it isn’t that easy to reach a conclusion on a matter such as this, but we might be able to get a better clue from FOMC meeting and other key datas scheduled next week. EU stress test results are due on Sunday. Market may open with gaps specs speculating on the final outcomes.

I won’t be trading next week as Philip has suggested. Its going to be a one big mess. We’ll see…

And one last thought to ponder on if gold breaks down the weekly support, I wonder how silver will react ? Have they found a bottom or is there more to come ‘decline’ ?

I’ll delve into this more in the coming weeks with more visuals, ratios and such. I think intermarket analysis can be a great support to COT signals. What do you guys think ?

Good weekends guys!

1764

“We don’t know where it will head afterwards or if dollar rally is overextended.” - If we were to know the future, I probably would type this from my yacht :slight_smile:

All I know is Silver usually rallied when COT Index and Willco reached extreme readings :slight_smile:

1765

Rookie,

As you say Gold and Silver rise and fall together, only the rate of rise/fall (ratio) differs. In the past year they have fallen together twice. In Mar/Apr/May they fell with Silver falling faster, then June/July that was undone, the important thing to note is that Silver ‘caught up’ the difference, i.e. it rose more than Gold to ‘catch up’.

Same thing earlier this year, same again last year in the opposite direction.

Therefore it is reasonable to estimate that should Gold begin to rise then Silver will not only do likewise but will be the better buy.

http://stockcharts.com/freecharts/perf.php?$SILVER,$GOLD&n=200&O=011000

Like you say if Gold comes into the equation then also the USD, the CRB, including Copper.

The other good news is that is there a sign of ‘support’ on gold, it has made a double bottom on the daily, is this a bounce for real or that of a dead cat?

Hard to tell, I’ll have a look at Gold Miners ETF (GDX)

http://stockcharts.com/freecharts/perf.php?GDX,$GOLD&n=200&O=011000

Good alert BB, though I think if I’m going to buy Silver I’ll wait until I see what the yellow stuff does first.

When it is up then the power of the commercials will help propel Silver to ‘catch up’ the difference.

1766

Hi guys,

and here comes the new COT analysis, this weekend for Sweet Crude Oil US. So, I try to use the knowledge from BBs tutorial for 3 purposes: to have a higher quality analysis, to get more efficient and also with practice to get faster in the process. I will attach all my findings with the charts. Keep in mind that I do not have a comment everywhere. To know more about why, read what I say to BB.

Hi BB,

Ok, the first analysis is ready but I need still help. Although I read the COT books, I never analyzed some of the indicators.

I used earlier Net Positions, COT Index, Open Interest and checked sometimes the Movement Index. This means I do not have experience with Willco and CP/OI. It would be good if you checked these charts and write 1-2 sentences what you see from the numbers. I do not really know what is a high or low reading for these two indicators. You can also tell me if you agree with the further statements. I think in the beginning I need a bit help with evaluating until I get really fit.

Further question: The excel charts did not automatically took the data from the newly calculated formulas. These formulas I copied from silver worked perfectly for the numbers and calculations but not for the charts. I had to give all values again for all 6 charts. I do not know if this is normal or do you have a solution? This problem was annoying because if I wanted to change the chart, for every value it jumped back to the original silver chart so I had to click for every single value between the different excel sheets.

I see that we have calculated the Non-Commercial Movement Index but we do not show it in the chart. Is there a reason for it?

Lets see what I did:

Net Positions

netpositionscrude20141021.jpg700×368 31.2 KB


Nothing important to mention

COT Index

cotindexcrude20141021.jpg700×285 31.6 KB


That is a strange chart. If it is right though then nothing important to be seen. We care about data above 80 and under 20.

Commerical Movement Index

commercialmovementindexcrude20141021.jpg700×229 21.2 KB


The current value is 8; as far as I know we only look readings above and under 40/-40.

Willco

willcocrude20141021.jpg700×323 20.4 KB


Waiting what BB has to say.

Ok, as I can only attach 5 pictures, the last two indicators are together:
CP/OI and Open Interest

cpoiandopeninterestcrude20141021.jpg700×494 42.8 KB


For the first, again I need BB to say something. OI in continuously decreasing; does low OI suggest a trend reversal?

Conclusion: too many indicators suggest that we will not see any big reversal in the next week.

Hope it was a good first try,
FE