tag:blogger.com,1999:blog-3469770843613114080.post4722499102027682435..comments2023-04-06T06:40:29.169-05:00Comments on COTs Timer Setups: Latest Signals & Results: BACKTESTING RESULTS TABLEAlex Roslinhttp://www.blogger.com/profile/05203588321742142651noreply@blogger.comBlogger51125tag:blogger.com,1999:blog-3469770843613114080.post-84314109485655328012013-12-14T15:34:11.126-05:002013-12-14T15:34:11.126-05:00Hi John,
Thanks for your comment and interest in ...Hi John,<br /><br />Thanks for your comment and interest in the COT data. The standard deviation period is the same as the moving average period (12 weeks). To obtain the net % commercial position, I subtract the value in the BA cell from the value in the AZ cell. Hope that helps.<br /><br />Regards,<br />AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-79368559601765451322013-12-09T02:21:54.188-05:002013-12-09T02:21:54.188-05:00Hi Alex, I'm still working on my model to try ...Hi Alex, I'm still working on my model to try to see if I can get one of these to work (S&P), but it currently is "bear" S&P (5th october) if I use that setup (12wk moving average, +0.2/-1.2, then the lag on top of that..). I wanted to check - is the Standard deviation a 12 period also (same as MA)? Is it a simple moving average?<br /><br />The net % for commercials I'm using is "(commercial open interest long - commercial open interest short)/Total open interest"<br /><br />Any thoughts would be great. Cheers, John<br />John https://www.blogger.com/profile/14571030244638332913noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-80618365070952068502011-12-23T15:17:42.720-05:002011-12-23T15:17:42.720-05:00Hi Nicholas,
The description is correct as is. Th...Hi Nicholas,<br /><br />The description is correct as is. The signal goes long when the COT position is 0.05 standard deviations above the moving average or lower than 0.05 standard deviations above the moving average. This setup has strange entry and exit criteria that are kind of upside down.<br /><br />Regards,<br />AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-91842652327232441932011-11-09T11:34:44.614-05:002011-11-09T11:34:44.614-05:00Hello Alex,
First thanks for sharing all yor knowl...Hello Alex,<br />First thanks for sharing all yor knowledges.<br />I have a question regarding the 30Y set-up.<br />When you say: "It goes long when the total open interest hits 0.05 standard deviations above the moving average or lower." <br />Do you mean that the setup goes long when the signal is > 0.05 and in this case, I thing that higher instead of lower would be more appropriate, or is it the opposite ?<br />Thanks for your help<br />All the best<br />NicolasAngiehttps://www.blogger.com/profile/00015787571843714462noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-73823273675211292522009-07-20T21:58:22.951-05:002009-07-20T21:58:22.951-05:00Hi Eugene - thanks for letting me know. I've c...Hi Eugene - thanks for letting me know. I've corrected that now.<br /><br />Take care,<br />AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-55979922438187936102009-07-20T21:50:05.763-05:002009-07-20T21:50:05.763-05:00Hi Alex,
I noticed that the footnote for the Nikk...Hi Alex,<br /><br />I noticed that the footnote for the Nikkei setup in the backtesting results refers to gold futures and options. Is this a typo?<br /><br />Thank you for your continuing work on the COTs setups.<br /><br />Best Regards,<br />EugeneUnknownhttps://www.blogger.com/profile/17292313783433061676noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-12643130499950213102009-07-20T21:36:38.998-05:002009-07-20T21:36:38.998-05:00Hi Eugene,
If I use a 200-percent leveraged fund,...Hi Eugene,<br /><br />If I use a 200-percent leveraged fund, I keep the same stop but halve the maximum portfolio allocation in order to maintain the same risk level.<br /><br />Regards,<br />AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-53025826337727743442009-07-20T21:25:56.413-05:002009-07-20T21:25:56.413-05:00Alex,
Are the stops given in your backtesting res...Alex,<br /><br />Are the stops given in your backtesting results appropriate for 1x or 2x leveraged ETFs?<br /><br />Thanks,<br />EugeneUnknownhttps://www.blogger.com/profile/17292313783433061676noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-79562153294503518272008-12-10T16:58:00.000-05:002008-12-10T16:58:00.000-05:00Hi Andreas,The large specs are not always the dumb...Hi Andreas,<BR/><BR/>The large specs are not always the dumb money. That's a common misperception. Sometimes, they have the best signal. I'll see about posting the gold setup on the site too at some point. The minus signs shouldn't be there. You're correct. <BR/><BR/>How it works is this: I go long if the net position is -1.2 standard deviations in relation to the average or above; I go short if it hits -1.2 SDs or below. So if it hits -1.2 right on the nose, it switches from long to short or from short to long, depending on what the current signal is. Hope that's clearer.<BR/><BR/>Regards,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-83877965976521633672008-12-10T16:48:00.000-05:002008-12-10T16:48:00.000-05:00Hi Alex, thanks for fast reply. My first question ...Hi Alex, <BR/><BR/>thanks for fast reply. My first question is clear, but I do still have problems with Gold.<BR/>1. Why do we trade with Large Speculators? I thought these are the dumb money and COmmercials are the smart money in Gold market.<BR/>2. I am still confuse why you use two times "below...". I would expect one time "above its five-week moving average or higher" and the second time "below its five-week moving average or lower".<BR/>And, why to use the minus sign in front of 1.2? <BR/>Maybe it would be easier just to post the formulas in the cells EB and EC.<BR/><BR/>Regards,<BR/>AndreasAndreashttps://www.blogger.com/profile/03418276475334624658noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-87304413053591977982008-12-09T14:08:00.000-05:002008-12-09T14:08:00.000-05:00Hi Andreas,Thanks for your comment. Thanks also fo...Hi Andreas,<BR/><BR/>Thanks for your comment. Thanks also for mentioning the mistake in those notes. The second setup does use the 16-week moving average, as you mentioned. I've corrected that. For the gold setup, I've also clarified the description. <BR/><BR/>The setup trades on the same side as the large speculators, as you noted. It goes long when the large speculator net percentage-of-open-interest position hits -1.2 standard deviations below its five-week moving average or higher. It sells gold short when the net position hits -1.2 or more standard deviations below its five-week moving average or lower.<BR/><BR/>Hope that's clearer.<BR/><BR/>Regards,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-6979062234173825332008-12-09T13:58:00.000-05:002008-12-09T13:58:00.000-05:00Hi Alex,great blog! Thanks for sharing your though...Hi Alex,<BR/><BR/>great blog! Thanks for sharing your thoughts with all.<BR/>Two questions, as I am new here.<BR/><BR/>1. The calculations in the latest S&P 500 sheet are based on other MA, 1st. signal with 16wMA and 2nd. signal with 10wMA, but in the notes for your "COTs Beat the Markets" file you are using 10wMA for 1st. setup and 5wMA for 2nd. <BR/>Is it correct to assume, that you are adjustinf the formulas in the file from time to time and the notes are not always revised.<BR/><BR/>2. The explanation for Gold setup describes two times the same: "The setup trades on the same side as the large speculators. It goes long when the large speculator net percentage-of-open-interest position is -1.2 standard deviations below its five-week moving average or above. It sells gold short when the net position is -1.2 or more standard deviations below its five-week moving average." So same for sell and buy. I suppose also, that you are traiding against Large Speculators and not with them.<BR/><BR/>Thanks for your reply!<BR/><BR/>AndreasAndreashttps://www.blogger.com/profile/03418276475334624658noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-39534107681855545492008-10-27T08:22:00.000-05:002008-10-27T08:22:00.000-05:00Hi PCP,The return figures are as of the date of th...Hi PCP,<BR/><BR/>The return figures are as of the date of the last update, which is in one of the last columns on that table. I've clarified the notes to explain that better.<BR/><BR/>Regards,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-57644477525164995502008-10-24T20:03:00.000-05:002008-10-24T20:03:00.000-05:00Alex,How is the percent return calculated for the ...Alex,<BR/><BR/>How is the percent return calculated for the index? Are you using the first date of the data as day one and last signal as the end date? I am trying to understand how you get 255% profit for S&P 500 when on 3/21/95 SPX was at 495 and last signal day it was at 980.PCPhttps://www.blogger.com/profile/15218774972848123402noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-22342742992570658882008-07-25T21:58:00.000-05:002008-07-25T21:58:00.000-05:00Regarding Fed Funds, most people don't understand ...Regarding Fed Funds, most people don't understand the process very well.<BR/><BR/>The Federal Open Market Committee of the Federal Reserve Board establishes a "Target Rate" for overnight loans that banks make to each other (the well known "Fed Funds Rate"). The New York Federal Reserve Bank affects the "realized" rate through the purchase and sale of government securities.<BR/><BR/>There is no such thing as "thirty day" Fed Funds (all loans are overnight).<BR/><BR/>The CBOT futures (which do have "thirty day" in the title) settle to the average of the realized rate (not the target rate) over the calendar month (maybe the reason they call it "thirty day," even though it still isn't), as published each day by the New York Fed.<BR/><BR/>You can find both recent and historical data on the both the realized and target rates at:<BR/><BR/>http://newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm<BR/><BR/>Is this the data you have? If not, could you post a few days worth, and I will try to match it to another source.<BR/><BR/>Usually, the Federal Reserve Board communicates short term (meaning the next meeting of the Open Market Committee) changes in monetary policy fairly well, so near month Fed Fund futures generally offer little chance of significant price movement, as the market expects the communicated outcome.<BR/><BR/>In my opinion, the Euro and the two year note both offer much greater trading opportunities.<BR/><BR/>Thanks again.kiwiguyhttps://www.blogger.com/profile/04011856239673559282noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-70016405511235723792008-07-21T08:35:00.000-05:002008-07-21T08:35:00.000-05:00Hi Kiwiguy,Thanks for your message. Here are some ...Hi Kiwiguy,<BR/><BR/>Thanks for your message. Here are some answers and comments:<BR/><BR/>- No, I don't have a link for the 30-day Fed Funds cash prices. The CRB sells the data.<BR/><BR/>- Regarding the Euro, my apologies. My CRB data does have trading data for the Euro index since 2002, but it also has the Euro/USD cross since 1999, as you say. With less than 10 years of data, this is pretty borderline in terms of a sample size. Using a single group of traders, the maximum moving-average period would be 34 weeks in order for the setup to have any statistical validity. That's not so bad, but if I were to used a combination of two groups of traders (meaning more trading rules), the maximum moving-average period would be 23 weeks. As well, a smaller sample size tends to have fewer variety in terms of markets conditions, making the setup less statistically robust. It's not to say the setup wouldn't be interesting - I think it would be - but that my limited time is perhaps best spent on more fruitful trading opportunities. But I do assure you I'll get to the Euro eventually!<BR/><BR/>- Regarding mini contracts, the volume isn't relevant if the utility of the setups is inferior.<BR/><BR/>- Regarding the Russell, if the number of traders falls below the minimum threshold for reporting by the CFTC, I'll have little choice but to drop the setup. We'll see what happens.<BR/><BR/>Regards,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-80078483178179519642008-07-19T00:35:00.000-05:002008-07-19T00:35:00.000-05:00"I use the 30-day Fed Funds cash price, as pr..."I use the 30-day Fed Funds cash price, as provided by the CRB (symbol FF)."<BR/><BR/>Do you have a link for this? Sorry, but Fed Funds futures have a lot of unique qualities, and I just want to understand how your system handles them.<BR/><BR/>"For the Euro, the cash data I would use starts Jan. 1, 2002, so that's not nearly enough for statistical reliability in my opinion."<BR/><BR/>The Euro came into existence on January 1, 1999. Why would you start in 2002?<BR/><BR/>"Regarding the 13-week T-Bill setup, it's named that because the signals and data are specifically for the T-Bill."<BR/><BR/>I think I understand that now, too. You use the COT reports for Eurodollars to estimate subsequent T-Bill performance, correct?<BR/><BR/>"I am using the COT gold data, which comes from CMX, but my gold price data is from NYMEX (CRB symbol GC)."<BR/><BR/>Comex is (a part of) Nymex. They merged fourteen years ago, I believe. I did look at the raw COT reports, and I guess they still do keep a separate report for Comex (nothing but copper, gold, and silver), so now I understand your references to them.<BR/><BR/>"Regarding mini contracts, I haven't found the COT data to be as useful."<BR/><BR/>So you don't use mini contracts at all, even for the S&P (where the dollar value of contracts traded is much higher for the mini)?<BR/><BR/>"Regarding the changeover in Russell futures, I will continue to follow any market listed by the CFTC until my testing shows it's no longer of use."<BR/><BR/>I keep reading about people who say they will stop trading the Russell 2000 when CME's listing rights expire. I just think you will have a big discontinuity as far as the validity of your data.<BR/><BR/>Thank you very much for answering all of my questions.kiwiguyhttps://www.blogger.com/profile/04011856239673559282noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-80403472458210604222008-07-02T16:40:00.000-05:002008-07-02T16:40:00.000-05:00Hi again Kiwiguy,For the Euro, the cash data I wou...Hi again Kiwiguy,<BR/><BR/>For the Euro, the cash data I would use starts Jan. 1, 2002, so that's not nearly enough for statistical reliability in my opinion.<BR/><BR/>Regarding the 13-week T-Bill setup, it's named that because the signals and data are specifically for the T-Bill. I would retest the data if I were to apply this signal to another market as you suggest.<BR/><BR/>Regarding your gold/HUI question, the point is I am using the COT gold data, which comes from CMX, but my gold price data is from NYMEX (CRB symbol GC). This is specified so people can get exactly the same datasets if they want to look at this more closely.<BR/><BR/>Regarding mini contracts, I haven't found the COT data to be as useful. Its signals are in general inferior in backtesting.<BR/><BR/>Regarding the changeover in Russell futures, I will continue to follow any market listed by the CFTC until my testing shows it's no longer of use. Regular updates for this kind of mechanical system are required every 1 1/2 years or so. As well, if the number of traders falls below 20 in a market, it isn't listed that week in the COT report. If that starts happening consistently in a market - like it did last year for the S&P 400 Midcap index - I would drop it.<BR/><BR/>Regards,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-35163389592148877272008-07-02T16:29:00.000-05:002008-07-02T16:29:00.000-05:00Hi Kiwiguy,For the Fed Funds, I use the 30-day Fed...Hi Kiwiguy,<BR/><BR/>For the Fed Funds, I use the 30-day Fed Funds cash price, as provided by the CRB (symbol FF).<BR/><BR/>Regards,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-77193257545524099032008-06-27T21:16:00.000-05:002008-06-27T21:16:00.000-05:00One more question - how do you measure the perform...One more question - how do you measure the performance of Fed Funds futures? There are several different contracts (the first eight or so are fairly liquid), and they don't all behave the same.kiwiguyhttps://www.blogger.com/profile/04011856239673559282noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-25887262459335596212008-06-27T19:28:00.000-05:002008-06-27T19:28:00.000-05:00Thank you for your reply. I have some follow up co...Thank you for your reply. I have some follow up comments and questions. :)<BR/><BR/>I think we have about nine and half years of Euro futures trading now (getting pretty close to having enough data).<BR/><BR/>I thought you might have all of your past signals in a spreadsheet that you could just make available. I guess I can satisfy my curiosity by keeping track of them myself going forward.<BR/><BR/>"However, I find the best signals from the COTs data come from a security that is most closely linked to the data."<BR/><BR/>That is why I thought you should just rename the "treasury bill" signal Eurodollars, because it makes the most sense to use Eurodollar futures to trade that signal (much more convenient and cheaper than trying to buy, or especially short, treasury bills).<BR/><BR/>Thanks for the gold explanation. I think I confused myself (believing you used the less active CBOT, now CME, gold futures). THOSE are the products the CME sold to NYSE Euronext (they are keeping the more active Comex futures). The notes in your spreadsheet refers the HUI signal as coming from Comex gold, and the plain gold signal as coming from Nymex gold, when they are actually the same.<BR/><BR/>One more question - how do you handle "mini" contracts when multiple sizes for a index or commodity exist? I know the equity indexes (most famously the S&P 500 and the Russell have them, but Dow futures trade in THREE different sizes, crude oil and natural gas have cash settled minis, and CBOT gold and silver have them as well).<BR/><BR/>Any thoughts on how you will handle the changeover of Russell futures to the ICE? Some small traders might not want to add another exchange, and simply stop trading the product. I believe it will definitely change the market participants, and thus make using historical open interest statistically suspect.kiwiguyhttps://www.blogger.com/profile/04011856239673559282noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-67224524884683705672008-06-23T09:11:00.000-05:002008-06-23T09:11:00.000-05:00Hi Kiwiguy,Thanks for your message. Here are some ...Hi Kiwiguy,<BR/><BR/>Thanks for your message. Here are some answers to your questions:<BR/><BR/>- The Euro hasn't existed long enough to get much statistical validity for a trading setup. Same applies for any other new futures data. Off the top of my head, without doing any calculations, my guess is we need at least 10 years of weekly data before it can reliably be traded. Ideally, more than that.<BR/><BR/>- I have published signals for several agricultural commodities, but recently removed them from my table temporarily because I wasn't satisfied with their limited trading robustness. I'm going to take another look with improved testing I'm doing now and will no doubt come up with some better ones which I can share. There's little point in my mind taking the time to publish signals that aren't useful.<BR/><BR/>- Publishing all my past signals would take a massive amount of time that I just don't have at this point. This isn't a paid service. I'm doing this on a voluntary basis after all!<BR/><BR/>- The Bank Index signal functions with different parameter values than the other setup based on the Eurodollars data.<BR/><BR/>- Why connect Eurodollars to the T-Bill? Simple: I discovered a statistically robust signal between the two, regardless of what the perception may be about their lack of correlation.<BR/><BR/>- Same for HUI and gold. However, I find the best signals from the COTs data come from a security that is most closely linked to the data. So the best way to trade the gold signal is with bullion itself, not a different setup that reacts to gold stock prices. The trading results in the table I provide show some of these differences in robustness. I studied the HUI and XGD data merely out of intellectual curiosity.<BR/><BR/>Regards,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-15182367722012535982008-06-20T22:51:00.000-05:002008-06-20T22:51:00.000-05:00What is the rationale for connecting the Comex (ac...What is the rationale for connecting the Comex (actually CME sold that business to NYSE Euronext, and new contracts will appear on the LIFFE) gold futures to HUI?<BR/><BR/>Eurodollar Futures have little to do with the Treasury Bill rate (and Treasury Bill futures have all but disappeared). The Eurodollar futures settle to LIBOR, which represents a spread off of the Fed Funds target rate that banks will lend to each other. I humbly suggest you simply rename this Eurodollars.<BR/><BR/>Can you explain the difference between the Bank Index signal and the Treasury Bill (Eurodollar) signal?<BR/><BR/>I hope you know that Russell granted ICE an exclusive license for futures, so you need to include the ICE COTS data for your system. While the volume remains small relative to the CME, no Russell products will appear on the CME after the September contract, so the trading will gradually shift to ICE.<BR/><BR/>Can you add the two year treasury future (it is FAR more important than the five year future)?<BR/><BR/>Why no Euro currency (but you have the CAD, GBP, and JPY)? It is by far the most important currency (after the U.S. dollar) in the world.<BR/><BR/>I would like to see at least the major ag futures (corn, soybeans, and wheat) while realizing that it would take more of your time.<BR/><BR/>Could you gather all of your (real time) signals in some place? Maybe you don't want to just give us all of your hard work, but at least putting your signals since you started writing the blog would prove interesting to analyze.<BR/><BR/>Thank you very much for sharing your work with us.kiwiguyhttps://www.blogger.com/profile/04011856239673559282noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-87088155718175877182008-03-24T11:53:00.000-05:002008-03-24T11:53:00.000-05:00Hi Bora,That's a good question. No, my system does...Hi Bora,<BR/><BR/>That's a good question. No, my system doesn't seek to identify specific types of markets. The type of system you identify can be useful, but you sacrifice adaptability when market conditions change, as they can and do frequently, usually only visible in hindsight. The ideal system is sensitive to current conditions (e.g., bull, bear markets) but also based on enough different conditions that it remains robust when conditions change.<BR/><BR/>Take care,<BR/>AlexAlex Roslinhttps://www.blogger.com/profile/05203588321742142651noreply@blogger.comtag:blogger.com,1999:blog-3469770843613114080.post-59739837819802121412008-03-21T18:15:00.000-05:002008-03-21T18:15:00.000-05:00Alex,Thank you again for your previous reply and s...Alex,<BR/><BR/>Thank you again for your previous reply and sharing the information. I have another question to understand the robustness of your system. What percentages do apply rising, falling and consolidating markets when you check your historical data.<BR/><BR/>My experience is any system needs to dynamic according to a parameter as a function of trendiness. Say if market consolidates last three months the system needs to go swing trading, say if there is a trend; system needs to create kind of trailing stop loss by allowing stay long for small corrections.<BR/><BR/>Do you have dynamic parameters in your systems changing as a function of trend?<BR/><BR/>You may say using SD is already creates a dynamic system however what I am asking is a kind of coeefficient as a multiplier in front of SD.<BR/><BR/>Thank youBora Kizilirmakhttps://www.blogger.com/profile/09750832812212480475noreply@blogger.com