Great. I’d love to see your results compared to my rough backtesting I had done recently.
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.
EJ
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.
Hi Guys,
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?
Have a nice Sunday,
FE
Hi guys,
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?
FE
Hi FE,
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.
Regards.
Hi PipPhil,
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.
Share your results and experience with us,
FE
Hi Peter,
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.
Have a great weekend,
FE
Hi FE,
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.
Nice story, it takes patience 
Hi Guys,
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.
Any thoughts?
FE
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.
Isn’t the time frame you used too short? Looks like you used a 26 week period for the CoT Index. Using a 3 year period the swing you saw is flattened to 66 to 43 to 85 which are all within the extremes. You wouldn’t have traded in that case, correct?
EJ
Hi EJ,
completely correct. The reason for the 26 weeks was only because Wiliams used that one, but he also said it doesnt mean that it is the most optimal value. However the COT index is actually there to catch some swings and with the value of 3 years you might be missing out all the moves from a trend.
You brought up a good point.
FE
We’re on the same path yet again. I had always been looking at the shorter time frames but changed to the 3 year to give you the spreadsheet I sent along. I now have another spreadsheet and playing with the idea of a 3 year and 26 week index analogous to 50 and 200 SMA’s. That’s why you haven’t heard from me lately.
EJ
Hi guys,
after the crazy Brexit outcome, I will interested the next Friday to see insitutional positioning. This is a littlebit similar situation to the SNB event. I expect today to see a little more bullish report from insitutionals on the GBP compared to last week, and next week there might be a huge change. We will see.
FE
Hi FE,
As I mentioned earlier, commercials are buying GBP, and I’d expect quite a few more did so yesterday.
Doesn’t mean that they expect the fall to stop, they have no specific opinion on that.
Analysts’ opinions are divided, the Boe will act if a fall against Usd continues (likely a statement on int rates), if a new base forms at current levels then no immediate Boe statement needed.
I mentioned back awhile that Eur/Gbp levels around 80.00 are very acceptable to many businesses, so there is no immediate need for action on that front.
The largest problem, right now, is cable - a comparison of the monthly chart on Gbp/Usd and Eur/Gbp gives a sense on the likely direction of consumer prices for the UK.
Hey people, long time!
Sorry I haven’t been in a while, life has been good.
I still follow the traditional COT index, although I see FE is trying some new things. Keep me posted buddy
As for me, I agree with Peterma’s position on GBP. I’m looking for the right opportunity to buy but that hasn’t come yet.
Based on the COT I am:
Bullish on GBP and Oil
Bearish on CAD, Gold, AUD and Yen.
I saw a very brief interview with Larry Williams on Bloomberg recently. He said he was bullish on Oil (expected a pull back however), and bearish on gold (expected another leg up.) If I remember correctly he thought these moves would start happening in October.
I am not in any trade so far, but I am very close to buying USDCAD.
Hi Peter,
can you share your view on commodities? I know you use copper as a measurement of the economy. Recently it has shown some strong signals. That for me is not enough to make long term conclusions, however gold and silver both exploded to the upside too. From gold we know how it “works” in uncerntainty, but silver is only an industrial metal so the 10%+ value increase in 1 week is definitely something to discuss and think about.
I have not much of an opinion on oil, I find it currently in a ranging market.
Have a nice Sunday,
FE
Hi guys,
some fundamental write up combined with COT findings.
GBP is the currency to watch out. Interestingly, it is neither on an extreme net position nor on an extreme COT index positions. I pretty much agree with Peter that for investors it is a great opportunity to buy at the lows, basically vs. any other currency. At the same time I do not trade it now as there is just too much uncerntainty, we do not know until when the currency falls after the vote. I believe nobody exactly knows the conclusions and the future of the UK based on that vote so it is not clear yet how to trade GBP. I leave it.
On the ther side, Pip Diddy had a great article yesterday about the commodities where I agree with his view on the comdolls, especially the NZD strength. I try to combine that strength with a weakness of another currency from a fundamental perspective and my idea to trade is NZD/CHF long, which I observed from a technical point of view and looks also logical to trade on the long side.
Any thoughts?
FE