Commitment of Traders System

P

pspr

Below is a long only system using only the COT reports that has some very interesting results. Over the last ten years it has not had a losing trade - averaging 1.9 trades per year. Signals are generated weekly and it just turned long this week.

Here are the stats from 2/2/94 and the basic system:

Total Closed Trades: 19 (1.90/yr)
Winning Trades: 100.00%
Largest Gain: +39.23%
Largest Loss: +0.00%
Ave. Gain Per Trade: +8.56%
Max. Drawdown (peaks): -13.05% on 08/31/98
Max. Drawdown (entry): -12.11% on 08/31/98
Max. Drawdown (real) : +0.00% on
Total Gain: +416.65%
CAR: +17.84%
Percent Invested: 54.11%
CAR While Invested: +31.42%
Ulcer Index: 2.51%
UI While Invested: 2.63%

----------------------------------------------------
COTCL = Commitment of Traders Commercial Longs
COTCS = Commitment of Traders Commercial Shorts

Formulae
--------
COTDIFF = COTCL - COTCS
SPDIFF = SP500 (weekly close) - SP500 (last weekly close)

Buy Signal
----------
COTDIFF > 0 and SPDIFF < 0

Sell Signal
-----------
COTDIFF < 0 and SPDIFF > 0
 
Interesting concept. Did this system go long back in March 03? I have the COT going back then and it looks like it was long from the end of March until the end of April.

Very interesting.

Are you actually trading this?

Eric
 
No, I am not trading it now. I may incorporate it into an overall strategy for long term investments. I'm not the one collecting the data but I believe it is the big S&P.

Here are the last few weekly signals.

01/28/00 BUY
04/07/00 CASH
05/05/00 BUY
06/02/00 CASH
03/28/03 BUY
07/03/03 CASH
01/30/04 BUY

My point in presenting this information is to let everyone know that a very consistent strategy (when long) has just gone back to long. And, yes, it did miss the entire bull market in the 2nd half of 2003.

Quote from shorty_mcshort:

Interesting concept. Did this system go long back in March 03? I have the COT going back then and it looks like it was long from the end of March until the end of April.

Very interesting.

Are you actually trading this?

Eric
More...
 
Be careful with COT. I believe you get some of the data up to two weeks late. Makes it sort of difficult to time your entries. Some data vendors adjust for this, others dont.

Allan
 
With the COT you get the data three days later. The data is gathered on Tuesday and is released three days later on Friday. You can go here

http://www.cftc.gov/cftc/cftccotreports.htm

to get the actual release dates and data.

Hope this helps.

Eric


Quote from vikana:

Be careful with COT. I believe you get some of the data up to two weeks late. Makes it sort of difficult to time your entries. Some data vendors adjust for this, others dont.

Allan
More...
 
Awesome posts all the way around, guys!

For once, we have some valuable info being shared on ET instead of the typical James Stock, I'm HUGE BS.

Keep up the good work!

:)
 
If yor system is profitable you might want to look into substituting/ combining large ES with commercials position in e-mini, Large NQ/ N100mini

Below is current positions in SP500 from commitments of trades. I would not trade from it, but if your system is profitable, best of luck!

SP.png


Rest of charts:

http://www.softwarenorth.com/trading/commitmentscurrent/

Take care
 
My point is that the significance of the "net" position is small compared to all otc-deals and other positions offsetting it, that it is a poor measure of commercials positions anyway.

Might work better in grains etc where the definition of commercial trader is different anyway.

Also there has been some threads on cot, search and you will find...
 
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