LATEST SIGNALS TABLE

By clicking the following link, you acknowledge you have read the disclaimer above in its entirety and agree with it. Click HERE to see my latest signals for my trading setups based on the weekly Commitments of Traders reports issued by the U.S. Commodity Futures Trading Commission.

I generally update this table after each weekly COT report issued Fridays at 3:30 EST, but I reserve the right to delay or discontinue these updates at any time and may not do so in a timely manner.

49 comments:

StockManiac2008 said...

thank you for the updated version of the Timer. Looks like you have disabled access to the spreadsheet version/ I get access denied from Google. The PDF link works, but it not as convenient to read as the spreadsheet used to be. Would you be enabling access to the spreadsheet ?
Thank you once again

Alex Roslin said...

Hi StockManiac2008,

Oops. Problem should be fixed now.

Regards,
Alex

In Debt We Trust said...

What do you think of sugar's prominence in the COT table?

The number keeps growing in inverse proportion to bonds (especially the 30 year).

Alex Roslin said...

Hi In Debt...,

It looks like the open interest for sugar has remained fairly stable through 2009 so far. I didn't check out earlier data. Some other commodities have seen open interest really explode this year as market conditions improved. All that said, sugar does look like one of the more liquid commodities, and it'd be an interesting one to develop a setup for.

Regards,
Alex

Eugene said...

Hi Alex,

I have been working to setup the BKX spread sheet, but am having trouble duplicating your numbers for the large speculator total OI position. My numbers are 1.03 and 1.46 for this week and last week, respectively. My calculations for the net % large speculator position and the small traders total OI position agree with your posted numbers. I am using the sum of columns I and J from the futures and options report to compute the large speculator total OI. I am using the difference between the current total OI and the 6 week moving average, divided by the standard deviation of the 6 week MA to compute the current position. Any suggestions on where I am going wrong?

Thanks,
Eugene

Alex Roslin said...

Hi Eugene,

Apologies! The notes for the backtesting results table should have said that the large spec total open interest setup uses a four-week moving average, not a six-week moving average. I've corrected that now. Sorry about the mix-up!

Regards,
Alex

Maumaj said...

Hi Alex,
I discovered you through an article that you wrote in the Investor's Digest of Canada which led me to your web site that I've read through and through at least three times. I appreciate that you are sharing all your hard work with your readers.

I noticed today that your pdf link to your "Latest Signals Table" leads to the "Backtesting Results Table" pdf file. The Google Docs link is fine.

Could you share where you acquired your knowledge of statistics and technical analysis? I'm reading on line all I can on the subject and I was wondering if you could recommend a more structured way of mastering those subjects?

Thanks for your time.

PS Also appreciated your article in Harrowsmith on the scythe.

Alex Roslin said...

Hi Maumaj,

Thanks for your kind words. For more on stats and some good books to read, see the comment I wrote recently at the end of the readers' comments here:

https://www.blogger.com/comment.g?blogID=8027576651632074035&postID=7091754509389195434

For more on technical analysis, I'd read about Tom DeMark's system. Jason Perl just wrote a good book that summarizes it. The main indicators of his that I use are TDST lines. There's lots of free info on the internet about them. The best technical analysis stuff I've read from an actual trader is on the paid website of Stephen Vita (Alchemy of Trading). He has a free blog too.

Don Vialoux's DVTechTalk.com also has some good basic technical analysis in his daily market briefs. Most of the technical analysis out there is unusable crap, in my opinion. Be wary!

Regards,
Alex

carl said...

Hi Alex, We started to look at data, using your sample sheet. First we look at stuff that is already known through your publications. Ofcourse al results will be at your services...!!!
Question: We are also looking at crude oil and the other items on your list. Is the time for the averages the same as with the S&P-index? (5weeks)
Greetings, Appi

Alex Roslin said...

Hi Appi,

Thanks for your offer. You need to look at the backtest results table notes to see the parameter values for each setup. No, they are not the same.

Regards,
Alex

carl said...

thanx, to be continued.... Appi

Peter said...

Hey Alex,

Just wanted to say love the blog...simple and insightful. What more can you say, but thanks!

Pete

Dean said...

Johnson2000d

In your most recent table - you show s & p 500 Bearish but article says bullish

Is this a typo

Thanks for your info

Alex Roslin said...

Oops - thanks for pointing that out. Not sure how that happened.

Take care,
Alex

Steveo said...

One thing to watch out for on Sugar, is that sugar in the US has extreme price supports through the government. Several years back I looked at investing in sugar to take advantage of the expected ethanol boom, but I just gave up because of the convoluted price supports in place.

Not saying that a setup wouldnt work, just saying to be wary of price supports.

rk said...

Hi Alex,

To put my question regarding Trade Delay right....In the latest trades spread sheet under COT Posting its Says Trade Delay 3 in brackets but in Latest Signals execution date is Nov-2. Can you please explain me what is the difference.

Thank you..

RK

Randy said...

Alex,

I have just come across your blog and I have to say I am excited to learn more of what you are doing. I have been using the large speculators net long and short as a trend indicator, however I have found the latency of the signals in some cases to be be trade killers. I have created an automated way to extract the cot data and manipulate it into a signal. Possibly there is a mutual benifit here???

I appreciate your feedback

Steveo said...

Ditto to Alex's comment about Demark and Perl. Perl's book is good, but it is not a "light read", pretend you are cramming for finals and you will be fine...

Demark has a great structured system

britefire said...

Hi Alex

You have said:

"The commercial hedger net position has a negative, -25-percent correlation with s&p 500."
also:

"I’ve found the most robust signals usually come
when the commercial traders agree with at least one other group of traders,"

yet your Signal Table shows to 'Follow' the commercials
who seem to be positioned opposite the small traders.

What am I missing?

Alex Roslin said...

Hi Britefire,

Thanks for your message. The negative correlation is a week-to-week correlation between SPX and the commercial net positioning. That doesn't mean that the commercial data isn't useful in other horizons or when it hits extremes of positioning, for example.

Regarding your second question, what I meant was that it was best in backtesting to follow the commercial signal when it agreed with the signal from another group of traders, such as the small traders. In the latter case, I fade the small traders, but the signal would still have to be the same from both groups - bullish or bearish - for me to take a position. I was just writing that in short-hand.

Regards,
Alex

bodyquest said...

Hi Alex!
i am just getting a grip of all your great studies. I have a question though regarding something I don't understand very well. So I managed to update very quickly the SP500 spreadsheet and the formulas and signals for Small and Comm traders. If both setups have 3 week delay for trade(are they tradable separately), it seems that Combined signal has no delay- am I correct. What I have on Combined Signal Column is SELL signal on report date 28th of Sept. Next Monday is 4th of Oct when you made an actual trade, so I assume that this column gives signals for immediate execution. Is that correct, otherwise how did you get to this date 4th Oct. Sorry that I am confused but you explain 3wk delay on each setup but I don't understand how the combined signals is handled . Let me know, please. I am sure the answer is short and simple. And just one other question. What about Currency Futures-did you study them and what did you find out as they are not in your portfolio?
Thanks for your great work once again.

Alex Roslin said...

Hi Bodyquest,

Yes, you're right. The combined signal column gives signals for execution on the next weekly open. If you click on a cell in the combined signal column, you'll see the formula. It's based on the signal of each of the two component groups of traders from three weeks earlier.

Currencies would be interesting to include, but I just haven't had time to come up with setups. Hopefully in my next round of updated setups, which I hope to start working on in the coming months.

Regards,
Alex

Peter said...

First of all, thank you for your effort that gave me a new approach to the markets.
I downloaded your spreadsheet and filled it with the actual data.
The COT for the S&P 500 is the same for the big last time -0,34 and now -1,18 and for the small 2,48 to 2,49.
But at the end i become a Comb´d´Signal=Buy.The Commercials are highliy bearish and the small traders are higly bullish but i dont get a sell Signal.Where is my mistake?

grobi

Alex Roslin said...

Hi Grobi,

You should be getting a sell signal to take effect the week of April 25. It could be that you're looking at the current week's signal. This setup has a three-week trade delay, and the spreadsheet formulas are adjusted to reflect that.

Regards,
Alex

Wesley said...

Good day. I was wondering if I could see a copy of the COTS spreadsheet you use for your Natural Gas signals. I have tried to duplicate it as per your instructions but I just ended up frustrated. Thanks in advance! You can reach me at tmxwes@gmail.com

Nigel Smites said...

I cannot see your spreadsheets in either PDF or Google Docs.

Grzegorz Pawlak said...

Hi,
It's Greg here from Poland.
Is it possible also to read Your signals from COT regarding FX ?

EU, GU, UJ - it would be enough :)
Or maybe You can give me some resources / indications.

Thank You

Grzegorz Pawlak said...

Hi,
Here is Greg from Poland.
Is it also possible to find from YOUR resources (cause I dont see) or maybe You can also publish signals for Forex ?
Unfortunately (for me) trading indexes needs having more money then I have.

Would be grateful for answer.
Greg

Alex Roslin said...

Hi Greg,

Yes, signals could be developed for forex. I used to have some in an earlier incarnation of my setups, but I haven't had time to develop any using my current testing methodology. The problem with using COT for forex with my earlier setups was that you weren't able to use leverage in the way forex is normally traded because of the high volatility in the equity curve for a COT-based setup, which means position sizes would be relatively small for good risk control.

Regards,
Alex

Alex Roslin said...

Hi Nigel,

Sorry for my tardy response. I'm not sure what the problem may have been. Sometimes Google is wonky. If you just try reloading it again, it should work.

Regards,
Alex

Alex Roslin said...

Hi Wesley,

Sorry for my late response. I haven't published my spreadsheet for natural gas. Sorry you're having trouble. Can you describe the problem you're having or paste the offending cell formula(s) here from your spreadsheet?

Regards,
Alex

ams said...

HI Alex,

Just joined your blog, very informative.
I would appreciate some finformation from your report, what do mean when you cash in your report?

Also, what kind of Stop loss do you use when trading with COT data because it can be wide?

ta
ams

Alex Roslin said...

Hi Ams,

Cash means the signal is in cash - no position, out of the market. The stops are given for each setup on the latest signals table. See the note on my backtesting results table for details on how I come up with the stops.

Regards,
Alex

Dave said...

The pdf link goes to an html page that says it was last updated September 26, 2011

Alex Roslin said...

Hi Dave,

Thanks for letting me know. I'll correct that right away. Looks like they changed how they do things at Google Docs.

Regards,
Alex

lachezar zahariev said...

Alex congratulation for you and your sistem for analysis on the markets!






Lachezar Zahariev Sofia, Bulgaria
lachezar.zahariev@abv.bg

lachezar zahariev said...

Hi

Souljester said...

Question: In your table you have signal execution date. Is that the date the setup takes effect (i.e., position entry) or does one add trade delay to that execution date? Thanks in advance.

Alex Roslin said...

Hi Souljester,

The signal execution date is the date that the setup says the signal is to be executed. It includes the delay from the setup's trade delay.

Regards,
Alex

Ramesh Raj Paudel said...

Hi,
Looking at the latest signal spreadsheet I got confused.In the spreadsheet,Start Date for Current Position= 7 Jan 2013, Current Signal for Setup for Week of 18 Feb= Bullish.
But ever since 20 Jan 2013 the price has dipped and at the end of this week, it closed at 1580.97.
Am I looking at the whole thing incorrectly ?

Ollie said...

Hello Alex, I was wondering if you have an opinion on Coffee and Sugar, it seems the commercial net long positions are at or near all time highs with Blees at 100. Is it time to buy? Thanks Zack

Alex Roslin said...

Hi Zack,

Thanks for your comment. I'm not currently following those markets, but I'd like to eventually develop setups for them. Just need to find the time!

Without a setup, I can't intelligently comment. COT data on its own is very difficult to use for trading, in my experience, unless you find a way to interpret how the particular market acts in relation to price changes.

Best regards,
Alex

Alex Roslin said...

Hi Ramesh,

Thanks for your comment. Sorry for my delayed reply. You didn't indicate what market you're talking about. I'm guessing gold. It does happen in this trading system, as in every system, that signals are wrong. For more discussion on this question, please see my FAQs page.

Best regards,
Alex

John Marsh said...

Hi Alex,

Appreciate your work. I'm currently trying to build my first model, and was wondering when you thought you would upload your S&P spreadsheet so I am able to compare a few things (details regarding st. deviation calc, also I seem to have a more recent bear signal). Any help would be great!

john

Alex Roslin said...

Hi John,

Thanks for your message and interest. Sorry about not posting this sooner. I'll try to get to it.

Regards,
Alex

John said...

Thanks, appreciate it! Interesting just saw you added some DeMark systems also, I'm strictly DeMark systems trader at the moment until only now seeing COT/your blog. Cool, thanks again.

Robert Gauvey said...

Alex,
I hope all is well! Any chance you get to supply your spreadsheet would be appreciated! I'd like to take your modeling and apply it to other derivatives.
Thank you.
Bert

Alex Roslin said...

Hi Bert,

Thanks for your comment and interest. I haven't had the chance to post a sample spreadsheet. Apologies! I'll try to do so at some point.

Regards,
Alex

Denali92 said...

I have always enjoyed your COT analysis. Thanks for providing it.

I look forward to your analysis of the results and the resumption of your updates when time allows.

All the best!

-D