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  • #741
  • Dec 29, 2019 7:14am Dec 29, 2019 7:14am
Enough with Nasdaq ?

From what we can see from the commitment of traders reports is that the large speculators are getting more & more tired as the Nasdaq goes up.

We have a rise with strong net long positions, the more we rise, the more they decrease their net longs until it corrects.

Will it happen again? We had such a long run, it could be the time to correct more next year

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COT: The precious data ignored
  • #742
  • Dec 29, 2019 9:35am Dec 29, 2019 9:35am
Quoting YYZ
{quote} hi can you just post in thread....i don't know macros.....?
The macros work in the background. You just need to not have macros in general be disabled within Excel. There are some that would need to be ran manually however and can be accessed via the Developer tab
  • #743
  • Dec 29, 2019 4:53pm Dec 29, 2019 4:53pm
Quoting kuroro001
{quote} Very nice chart you got, nice work. Now check if it fits the s&p high/low points, or if there are divergences. Commercials = Hedgers, producers Large Speculators = Hedge funds, banks, different heavy funds Small Speculators = Retailers This is the way i see it, and use it Commercials are good at spotting tops/bottom when they are at the extreme Large specs are trend followers Small specs look useless
I found where the CFTC explains their different categories of traders:

Content of the Traders in Financial Futures (TFF) Report
Dealer/Intermediary
These participants are what are typically described as the “sell side” of the market. Though they may not predominately sell futures, they do design and sell various financial assets to clients. They tend to have matched books or offset their risk across markets and clients. Futures contracts are part of the pricing and balancing of risk associated with the products they sell and their activities. These include large banks (U.S. and non-U.S.) and dealers in securities, swaps and other derivatives.
The rest of the market comprises the “buy-side,” which is divided into three separate categories:
Asset Manager/Institutional. These are institutional investors, including pension funds, endowments, insurance companies, mutual funds and those portfolio/investment managers whose clients are predominantly institutional.
Leveraged Funds. These are typically hedge funds and various types of money managers, including registered commodity trading advisors (CTAs); registered commodity pool operators
3
Some multi-service or multi-functional organizations have
The strategies may involve taking outright positions or arbitrage within and across markets. The traders may be engaged in managing and
conducting proprietary futures trading and trading on behalf of speculative clients.
Other Reportables
Reportable traders that are not placed into one of the first three categories are placed into the “other reportables” category. The traders in this category mostly are using markets to hedge
2 For example, staff may consider whether a trader is a member of the International Swaps and Derivatives Association (ISDA).
3 An unregistered fund may have a Part 4 exclusion from CTA/CPO registration or be a non-U.S. entity that is unregistered. So-called “hedge funds” are included in this category, regardless of whether they are registered.
2

business risk, whether that risk is related to foreign exchange, equities or interest rates. This category includes corporate treasuries, central banks, smaller banks, mortgage originators, credit unions and any other reportable traders not assigned to the other three categories.


Based on the above, here are my takeaways:

Commercials - Not useful information since they’re just offsetting the other classes of traders.
Large Speculators - Possibly the most useful info. These all show what institutional investors like pension funds are doing which is great to know.
Small Speculators - This reflects data from both the best traders (hedge funds, CTAs, and CPOs) and the worst traders (retail). Since this is a mix between good traders and bad traders; if it were one of the other it would be useful but since it contains both it will paint a murky picture.

I think we should ignore Commercials, pay close attention to Large Speculators, and at least take Small Speculators into consideration even though they may not be useful.
Self-sufficiency is the greatest of all wealth. - Epicurus
  • #744
  • Edited 6:37pm Dec 29, 2019 6:27pm | Edited 6:37pm
Quoting Ef5
{quote} I found where the CFTC explains their different categories of traders
You should re-read the CFTC's explanatory notes: "Comparison of the TFF Report to the Legacy COT Report and to the Disaggregated COT Report" They explicitly state that the TFF report isn't a disaggregation of the Legacy Report, so you should stick to the classifications provided.

Since I know which groups you are trying to refer to in your deductions.

  1. Every group can provide valuable information about future trends ( less so Non-Reportables)
  2. How would knowing the positioning of the primary counterpart to most speculative transactions depending on the market not be beneficial ? Dealers within the TFF report and Commercials within the Legacy report aren't market-makers nor are they just counterparts to speculative traders. They have business to run and with that comes the need of properly hedging their exposure.
  3. Why group Leveraged Funds and Non-Reportables into one group? They are two very different classifications of traders.
  4. Asset Managers or as you have labelled "Large Speculators" don't always provide the most useful information for example: the JPYUSD contract
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  • #745
  • Dec 29, 2019 7:30pm Dec 29, 2019 7:30pm
Quoting MoshiM
{quote} You should re-read the CFTC's explanatory notes: "Comparison of the TFF Report to the Legacy COT Report and to the Disaggregated COT Report" They explicitly state that the TFF report isn't a disaggregation of the Legacy Report, so you should stick to the classifications provided. Since I know which groups you are trying to refer to in your deductions. Every group can provide valuable information about future...
Thanks MoshiM! It’s a little difficult to communicate the different groups of traders when there are two competing sets of terminology, but I’ll still with what the CFTC currently uses going forward.

Next, I want to figure out the best way(s) to use this data for predictive value. I’ve got a few ideas that I can play around with in R tonight. I’m all ears if anyone has any suggestions!

Also, I just want to say I’m fairly new to COT and I’m aware it shows. Bare with me because I intend on imparting you all with something of value. There’s some really cool stuff I can potentially do with this that I think everyone will like. Further, once I have a good script for one asset it’s very easy for me to run the same script on every asset so if we are lucky we will end up with a good analysis technique for the S&P, gold, oil, copper, silver, nat gas, the 10y, euro, etc etc.

I’m also seeing some potential for flow of funds analysis with this. That’s something I’ll have to seriously take a look at later.
Self-sufficiency is the greatest of all wealth. - Epicurus
  • #746
  • Dec 29, 2019 9:45pm Dec 29, 2019 9:45pm
Quoting Ef5
{quote} Thanks MoshiM! It’s a little difficult to communicate the different groups of traders when there are two competing sets of terminology, but I’ll still with what the CFTC currently uses going forward. Next, I want to figure out the best way(s) to use this data for predictive value. I’ve got a few ideas that I can play around with in R tonight. I’m all ears if anyone has any suggestions! Also, I just want to say I’m fairly new to COT and I’m aware it shows. Bare with me because I intend on imparting you all with something of value....
If you ever have doubts about why price has gone one direction or another. COT always tells the truth. It is even more useful when deciding whether to trade contrarian or with the trend. As useful as statistical analysis may be, the biggest problem is that COT lags almost a full week. That said, the information is invaluable for long and short term traders alike.
  • #747
  • Dec 29, 2019 9:50pm Dec 29, 2019 9:50pm
Quoting kuroro001
Enough with Nasdaq ? From what we can see from the commitment of traders reports is that the large speculators are getting more & more tired as the Nasdaq goes up. We have a rise with strong net long positions, the more we rise, the more they decrease their net longs until it corrects. Will it happen again? We had such a long run, it could be the time to correct more next year {image}
I am going to trade weekly index options. Kinly share your experience if any and the kind of analytical data I should be looking at using barchart. Basically I will be day trading and the objective is to trade to gain intrinsic value and avoid time decay. May be trying to take advantage of fight between sellers of calls and sellers of put. Time decay is a tiger I want to keep away from. Will choose to trade two days before expiry day of weekly options and trade only if I am confident that intrinsic value will go up or down by buying ITM options only. Any guidance will be appreciated as to what data I should look for.
Practice makes a person perfect
  • #748
  • Dec 29, 2019 11:28pm Dec 29, 2019 11:28pm
Quoting YYZ
{quote} For lagging a week data many things can mess up with any COT data... No need for COT at all: just read correctly Daily chart...
COT provides useful data on dealers and speculative money. Again, it helps to see actual cash flows. Whatever works for you. I do not use COT always, only when I am uncertain of momentum.
  • #749
  • Dec 29, 2019 11:42pm Dec 29, 2019 11:42pm
Quoting YYZ
{quote} How many Trump tweets in a week can be to change market makers decision? Whatever they reported on Tuesday can be useless already next day.. Do not get me wrong , It is my opinion, I never used COT and have no intention to do so....Many traders believe that they use successfully COT so I do not argue with that....I just say my opinion.
Trump tweets are purely fuel to the fire. They have little influence on what the markets actually do in my opinion. I agree that lagging data is the worst, but it is more useful for long term analysis, daily, weekly and monthly.
  • #750
  • Dec 30, 2019 7:18am Dec 30, 2019 7:18am
History repeats itself ?

Just a little view on Natural gas.

From what we can see, Managed money is going heavy short (colored circle) bringing prices down. As prices go down, they become less shorts. Once it happens price go up.
It happened all the time it seems.

This time will be different ? Hard to tell, as we can see Managed money are becoming even more short than ever.

If you trade non leverage + ETF, it could be an idea to accumulate long gas as we go down.
I'd wait for next year i guess

Good luck to all longs

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COT: The precious data ignored
  • #751
  • Dec 31, 2019 12:23am Dec 31, 2019 12:23am
Just a quick update, I managed to get the data all formatted correctly and now I'm at a good starting point for analysis.

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Judging by the above, it looks like Leverage Funds may be more useful and particularly during late 2018. First, I think I'm going to construct an indicator that highlights how many standard deviations from the mean COT currently is. I'll post it later tonight if I finish. Again, I'm working on S&P data but what I'm doing is easily transferrable to any COT asset.
Self-sufficiency is the greatest of all wealth. - Epicurus
  • #752
  • Dec 31, 2019 1:08am Dec 31, 2019 1:08am
Here's a chart where the subplot displays the standard deviations from the mean long % for leveraged funds (yeah, starting to get a little complicated lol.)

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Judging by the above, it looks like leveraged funds tend to time the market well. I also created the below chart to show the current reading.

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Feedback?

This is sort of just a first draft of something potentially useful. I'm expecting to make changes, but if you guys like what I made I can run the script on other commodities.
Self-sufficiency is the greatest of all wealth. - Epicurus
  • #753
  • Dec 31, 2019 1:33am Dec 31, 2019 1:33am
Quoting Ef5
Here's a chart where the subplot displays the standard deviations from the mean long % for leveraged funds (yeah, starting to get a little complicated lol.) {image} Judging by the above, it looks like leveraged funds tend to time the market well. I also created the below chart to show the current reading. {image} Feedback? This is sort of just a first draft of something potentially useful. I'm expecting to make changes, but if you guys like what I made I can run the script on other commodities.

awesome! Think you mentioned R, you a data scientist?

Have you checked for any correlation between different assets regarding cot... just got the thought if there can be any increase in accuracy by doing some regression analysis... both within the same group (for example all metals or FX etc) but also between...
  • #754
  • Dec 31, 2019 1:41am Dec 31, 2019 1:41am
Quoting Ef5
Just a quick update, I managed to get the data all formatted correctly and now I'm at a good starting point for analysis. {image} Judging by the above, it looks like Leverage Funds may be more useful and particularly during late 2018. First, I think I'm going to construct an indicator that highlights how many standard deviations from the mean COT currently is. I'll post it later tonight if I finish. Again, I'm working on S&P data but what I'm doing is easily transferrable to any COT asset.
Very nice jobs on all of your post/chart, very good ones! keep posting

Something i have noticed. Check the managed money group for commodities (metals and soft/agri). They reflect well the situation. They are very wrong at the extreme positions, but overall they look good.
2 points :
They are wrong at the extreme, it tends to reverse
When they are wrong with their extreme short (long) and price continue it course up (down), they tend to lighten they position and its when it reverses
COT: The precious data ignored
  • #755
  • Dec 31, 2019 3:23am Dec 31, 2019 3:23am
Quoting Ef5
Here's a chart where the subplot displays the standard deviations from the mean long % for leveraged funds (yeah, starting to get a little complicated lol.) {image} Judging by the above, it looks like leveraged funds tend to time the market well. I also created the below chart to show the current reading. {image} Feedback? This is sort of just a first draft of something potentially useful. I'm expecting to make changes, but if you guys like what I made I can run the script on other commodities.
You are a passionate programmer. Love the way you have created the indicator for a professional trader. You have clarity of thought and purpose.

If you are using IB API for pulling live data, I can give you an idea for a Futures Options (FOP) Dashboard which can analyse options live in a matter of seconds. You may use R and Python to make the application. Important is the interface should be such that the trader is in a position to predict what will be probable loss or profit
without getting involved in understanding pay-off diagram.

Options exchange or brokers are mainly catering to professional traders. The tools are complicated and in all 52 trading strategies are there. But extensively used by traders are not more than 6 strategies.

The dashboard will empower the retail option trader to analyse the pros and cons of trading in 1 minute without getting bogged down by any technical terms (so-called) Greeks or pay-off diagram.

Basically, it will be a job of pulling through the API symbols, options analytics, and re-calculate Greeks in such a way that it is directly related to $1 increase or decrease in the price of the underlying.
Practice makes a person perfect
  • #756
  • Dec 31, 2019 6:21am Dec 31, 2019 6:21am
Hi,

I would like to learn how to analyze the COT to position myself in the market, where I should start?
  • #757
  • Edited 5:36pm Dec 31, 2019 5:21pm | Edited 5:36pm
Quoting krst8
{quote} awesome! Think you mentioned R, you a data scientist?
Well, I like to think so!

I started programming to take my investing to the next level. R has been an awesome tool, it's almost like it was made specifically for finance.
Quoting krst8
Have you checked for any correlation between different assets regarding cot... just got the thought if there can be any increase in accuracy by doing some regression analysis... both within the same group (for example all metals or FX etc) but also between...
Not yet, but I am pretty excited about comparing COT between different asset classes. I'll see if I can whip up a correlation matrix tonight.

Quoting kuroro001
{quote} Very nice jobs on all of your post/chart, very good ones! keep posting Something i have noticed. Check the managed money group for commodities (metals and soft/agri). They reflect well the situation. They are very wrong at the extreme positions, but overall they look good. 2 points : They are wrong at the extreme, it tends to reverse When they are wrong with their extreme short (long) and price continue it course up (down), they tend to lighten they position and its when it reverses
Thanks, I'll see what I can come up with.
Quoting simnz
{quote} You are a passionate programmer. Love the way you have created the indicator for a professional trader. You have clarity of thought and purpose. If you are using IB API for pulling live data, I can give you an idea for a Futures Options (FOP) Dashboard which can analyse options live in a matter of seconds. You may use R and Python to make the application. Important is the interface should be such that the trader is in a position to predict what will be probable loss or profit without getting involved in understanding pay-off diagram. Options...
That sounds like a good idea to me, but outside the scope of COT. I'm just scratching the surface of COT so I'm going to see what else I can find before moving on to another project.
Self-sufficiency is the greatest of all wealth. - Epicurus
  • #758
  • Jan 1, 2020 1:41am Jan 1, 2020 1:41am
Quoting Ef5
I'll see if I can whip up a correlation matrix tonight.
Well, I couldn't. lol The data is a little harder to work with than I hoped, but I'll give it another shot tomorrow.

Happy New Year everyone.
Self-sufficiency is the greatest of all wealth. - Epicurus
  • #759
  • Jan 1, 2020 4:29am Jan 1, 2020 4:29am
JPY being accumulated ?

Dealers have largely accumulated JPY over the past few years.

Are we on the edge of a large move up, or more accumulation ahead ?

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COT: The precious data ignored
  • #760
  • Jan 3, 2020 4:49am Jan 3, 2020 4:49am
Quoting Ef5
Here's a chart where the subplot displays the standard deviations from the mean long % for leveraged funds (yeah, starting to get a little complicated lol.) {image} Judging by the above, it looks like leveraged funds tend to time the market well. I also created the below chart to show the current reading. {image} Feedback? This is sort of just a first draft of something potentially useful. I'm expecting to make changes, but if you guys like what I made I can run the script on other commodities.
hello mate

check that :

www.mql5.com/en/code/16767

The guy made a good indicator out of COT report, using plenty of different datas
It can help you a lot
COT: The precious data ignored
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