The Commitments of Traders (CoT) Report

✍ The Commitments of Traders (CoT) Report: Week #15

CoT data >>> Futures Only | Speculative | Based on Legacy Format
15th April 2020 (GMT +8)

CoT data >>> Futures & Options | Managed Money
15th April 2020 (GMT +8)

The chart image below summarizes the relative position of an exchange rate relative to its performance over the last year. The yellow background indicates the square dimension of the chart. The orange dot indicates today's position relative to the high (top of the chart) and low (bottom of the chart) of the FX index during the last 365 days. So if the orange dot is close to the top, the currency is close to its highest valuation. If the orange dot is close to the bottom, the currency is near its lowest valuation. The blue bars indicate the distribution of valuations over the course of one year. The span between high and low valuation is divided into ten ranges (ie, deciles). Then the number of days during which the currency's valuation has been in each of these deciles is counted. The number of days is proportional to the width of each of the ten blue bars. Thus the position of the orange dot relative to the width of the blue bars indicates if the current valuation is a relatively common event or a relatively rare event. For example, if the bulk of valuations has been in the lower deciles, and the orange dot is near the top where the bars are narrow, the currency has recently moved up sharply. These charts ("FX conifers") are a simple method of visually summarizing the performance of a currency over the time period of one year. One useful feature of this chart is that it automatically adjusts for the different volatility of currencies, as the span between a one-year high and one-year low is a reflection of a currency's volatility.

☝ These are not fundamental determinants. Users are advised to read them with considerable caution.

hi there, do you create the charts yourself using SAS codes? I do SAS programming, it is very interesting for me.

Yes, it is a SAS based charts.

that's very impressive. have you compared the predictive performance of your models? I mean based on the future price

Quoting shahab8b

Disliked

{quote} that's very impressive. have you compared the predictive performance of your models? I mean based on the future price

Ignored

...not that impressive when it comes to predictive performance. The market is still efficiently consistent for us not to be consistently successful in predicting the future price.

At the time in which I now write... I still agree to this statement “While no methodology works in every instance . . . I have never seen anything so consistent ”

✍ The Commitments of Traders (CoT) Report: Week #16

CoT data >>> Futures Only | Speculative | Based on Legacy Format
22nd April 2020 (GMT +8)

CoT data >>> Futures & Options | Managed Money
22nd April 2020 (GMT +8)

✍ The Commitments of Traders (CoT) Report: Week #17

Note: These are not fundamental determinants. ☝ Users are advised to read them with considerable caution.

CoT data >>> Futures Only | Speculative | Based on Legacy Format
29th April 2020 (GMT +8)

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CoT data >>> Futures & Options | Managed Money
29th April 2020 (GMT +8)

Attached Image (click to enlarge)

✍ The Commitments of Traders (CoT) Report: Week #18

Note: These are not fundamental determinants. ☝ Users are advised to read them with considerable caution.

CoT data >>> Futures Only | Speculative | Based on Legacy Format
6th May 2020 (GMT +8)

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CoT data >>> Futures & Options | Managed Money
6th May 2020 (GMT +8)

✍ The Commitments of Traders (CoT) Report: Week #19

Note: These are not fundamental determinants. ☝ Users are advised to read them with considerable caution.

CoT data >>> Futures Only | Speculative | Based on Legacy Format
13th May 2020 (GMT +8)

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CoT data >>> Futures & Options | Manage Money
13th May 2020 (GMT +8)

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Noobs...
Please don't PM me and asking me where I got this report directly. Do your own thing instead of telling me that it is not convenient for you to visit this FF thread.

✍ The Commitments of Traders (CoT) Report: Week #20

Note: These are not fundamental determinants. ☝ Users are advised to read them with considerable caution as changes in market conditions or economic circumstances after submission to CFTC may affect earlier commitments.

CoT data >>> Futures Only | Speculative | Based on Legacy Format
20th May 2020 (GMT +8)

Attached Image (click to enlarge)

CoT data >>> Futures & Options | Manage Money
20th May 2020 (GMT +8)

The chart image below summarizes the relative position of an exchange rate relative to its performance over the last year. The yellow background indicates the square dimension of the chart. The orange dot indicates today's position relative to the high (top of the chart) and low (bottom of the chart) of the FX index during the last 365 days. So if the orange dot is close to the top, the currency is close to its highest valuation. If the orange dot is close to the bottom, the currency is near its lowest valuation. The blue bars indicate the distribution of valuations over the course of one year. The span between high and low valuation is divided into ten ranges (ie, deciles). Then the number of days during which the currency's valuation has been in each of these deciles is counted. The number of days is proportional to the width of each of the ten blue bars. Thus the position of the orange dot relative to the width of the blue bars indicates if the current valuation is a relatively common event or a relatively rare event. For example, if the bulk of valuations has been in the lower deciles, and the orange dot is near the top where the bars are narrow, the currency has recently moved up sharply. These charts ("FX conifers") are a simple method of visually summarizing the performance of a currency over the time period of one year. One useful feature of this chart is that it automatically adjusts for the different volatility of currencies, as the span between a one-year high and one-year low is a reflection of a currency's volatility.

☝ These are not fundamental determinants. Users are advised to read them with considerable caution.

You may use this tool to gauge the financial liquidity - more importantly, look at the ANFCI values

─ When liquidity is tightening, take bearish trades. When liquidity is loosening, take bullish trades (USD centric).
─ Risk is a coincident indicator, credit is a lagging indicator, and leverage is a leading indicator of financial stress

Attached Image (click to enlarge)

Attached Image (click to enlarge)

─source: Chicago FED

✍ The Commitments of Traders (CoT) Report: Week #21

Note: These are not fundamental determinants. ☝ Users are advised to read them with considerable caution as changes in market conditions or economic circumstances after submission to CFTC may affect earlier commitments.

CoT data >>> Futures Only | Speculative | Based on Legacy Format
27th May 2020 (GMT +8)

Attached Image (click to enlarge)

CoT data >>> Futures & Options | Manage Money
27th May 2020 (GMT +8)

Attached Image (click to enlarge)

You may use this tool to gauge the financial liquidity - more importantly, look at the ANFCI values

─ When liquidity is tightening, take bearish trades. When liquidity is loosening, take bullish trades (USD centric).
─ Risk is a coincident indicator, credit is a lagging indicator, and leverage is a leading indicator of financial stress

Attached Image (click to enlarge)

Attached Image (click to enlarge)

─source: Chicago FED

The chart image below summarizes the relative position of an exchange rate relative to its performance over the last year. The yellow background indicates the square dimension of the chart. The orange dot indicates today's position relative to the high (top of the chart) and low (bottom of the chart) of the FX index during the last 365 days. So if the orange dot is close to the top, the currency is close to its highest valuation. If the orange dot is close to the bottom, the currency is near its lowest valuation. The blue bars indicate the distribution of valuations over the course of one year. The span between high and low valuation is divided into ten ranges (ie, deciles). Then the number of days during which the currency's valuation has been in each of these deciles is counted. The number of days is proportional to the width of each of the ten blue bars. Thus the position of the orange dot relative to the width of the blue bars indicates if the current valuation is a relatively common event or a relatively rare event. For example, if the bulk of valuations has been in the lower deciles, and the orange dot is near the top where the bars are narrow, the currency has recently moved up sharply. These charts ("FX conifers") are a simple method of visually summarizing the performance of a currency over the time period of one year. One useful feature of this chart is that it automatically adjusts for the different volatility of currencies, as the span between a one-year high and one-year low is a reflection of a currency's volatility.

☝ These are not fundamental determinants. Users are advised to read them with considerable caution.

Attached Image (click to enlarge)

Words & Wisdom from an Airline Pilot and a part-time Forex Trader

Attached Image (click to enlarge)

I am an airline pilot flying the Boeing Dreamliner 787 as a captain. In my 35 years of flying, I've learned that to be a good pilot requires that we master the basics. Our main rules are: aviate, navigate, and communicate. This means we must always fly the airplane (aviate), never allow ourselves to be distracted from this main rule. Secondly, we are to know our course and stay on it (navigate) so that we avoid terrain and other aircraft. Finally, we must be in touch with Air Traffic Control (communicate) to obey their instructions and receive their help if needed. These are the basics, and we who fly practice them every single flight.

Trading is like flying. We want to get to our destination successfully, and to do so requires us to master the basics and not violate trading laws.

In this business, like flying, knowledge is power. To be successful traders, we must continually be thinking, studying, and growing. We must learn from our mistakes and learn from our successes. Think of needing to get a doctorate in trading to be successful, and that amount of learning requires much time and effort. Dedicate yourself to diligent study, careful learning from mistakes, and ongoing development of yourself in all areas.
Trading is an art that can only be mastered through much effort and time. One simply needs to put some effort into the study. Hence, sit back, relax, and enjoy the flight.

"Altitude and Airspeed"
Pilots know that we must at all times have altitude and airspeed. These are the two cardinal rules of flying, for if we run out of either one we stop flying. Altitude and airspeed.

In flying it might be stated, never have an accident. This, of course, is absolutely critical in trading, too, for we want to live to trade another day. In other words, our trading must be careful to protect our capital first, so we keep our losses absolutely tiny in comparison to our profits.

When I fly from Chengdu, China to San Francisco, California we are going from East to West and there is a Jetstream of wind that travels that direction. Our dispatchers will put us directly in that Jetstream to take maximum advantage of 150-200 knot tailwinds. When we are in a trend we must multiply profits, catching the Jetstream of the trend and riding the tailwind which allows our profits not merely to add up but to multiply.

Of course, there are many other rules. For instance:

The method must be simple. What good does it really do to have tons of indicators, Fibonacci retracements, support and resistance, big round numbers, half levels, candlestick pattern notifiers, trend lines, horizontal lines, fifteen indicator windows open, etc... While some of those things are helpful, and we can certainly reference them if we want to, we must keep our trading basic and simple. My Boeing Dreamliner aircraft is very sophisticated, with all the latest technology, and yet we use the same basic instruments that I learned to fly a Cessna 152 with.

The method should be logical. It should make sense, and fit in with sound reasoning. Being logical means it does not violate our two basic rules, it is consistent, it is timeless. When studying and learning different methods we should relatively quickly say "oh, that makes good sense" to know we are on the right track in our learning.

The method should be duplicable. It should work anywhere where there are trends. It should work in finance and in fashion, in business and in industry, in all areas of life. This ensures that our method is sound and that it will continue to work in the future because it is based on the behaviors and patterns of mankind.

Additionally, we must treat trading like a business. We often spend many thousands of hours and dollars learning our profession, and we should think of trading in the same way. Trading successfully requires us to learn and practice, investing time in our future business. One thing I like to do is write down every mistake I make, stating what I learned from it and what I would do differently next time. This is a carryover habit from my early days learning to fly, I still do this after each flight today. And I have done it for 10 years in trading. We want to be part of the 5% of traders who make it, so we must treat trading as a business. Would you want to fly with someone who treats flying as a hobby, tinkers with it to pass the time or someone who is serious about it and has invested the time to learn it right.

By the way, Collective wisdom is so much greater than any one person.

Altitude and airspeed. Two rules we cannot break.

Keep losses small, let profits run--and multiply them! Two rules we cannot break.
The trading method must have the maximum advantage of those two cardinal rules.

When considering entering the market we want to enter the start of a trend. We can add to our position as the trend moves, but we don’t want to make an initial entry halfway through a trend. We will consider our initial entry to our departure airport. We want to depart at the departure airport. At the beginning of a trend.

Of course, this will mean that we may have several small losses while looking for the trend. There are several things we want to do to help mitigate these losses, such as keep our position size small, spread out our trading capital over numerous currencies (some will range and some will inevitably trend) and keep a tight stop loss at the point of the previous swing high or low.

When we are at the gate ready to depart any number of things can go slightly wrong to delay our departure. Weather can delay departure, mechanical problems can arise that take time to fix, baggage loading can sometimes cause delays, etc. I’m sure you’ve experienced some or many of these things. They can be costly to an airline but they are part of doing business.
Small losses while looking for a trend are part of doing business and must be accepted and even embraced (because we are one trade closer to the trend). Not every flight departs on time. If you are looking for a system that takes no losses then you will want to continue your search. But if you’re willing to accept small losses to make large gains then continue studying here with me. When I take a small loss while looking for a trend it tells me I am one trade closer to departing and flying high and fast.

I have a good friend who has a food truck business. He drives his food van to fairs and civic events where there are lots of people. On good days he can make thousands of dollars in food sales (and he and his wife are fabulous cooks). One good weekend and he is rolling in the dough (pun unintentional), making money hand over fist.

But he lives in Iowa where the winters can be harsh. It is during these cold and snowy winters, where very few people come outside to purchase food that makes him or breaks him. He must not purchase a ton of food during these times or it will spoil and he will have large losses. He must manage this time with small losses in preparation for summer when he will catch a tailwind and make a ton of profit.

This is simply how the business works. And it is how trading works.

How I get into a trend. You can use any method you want to find the initial trend: moving average cross, stochastic cross, trend line break, support/resistance bounce, round number touch, alignment of stars and moon, and the list goes on and on. The reality is that the method of getting into the initial trend is not very important. It is how you manage your trade once in (keeping losses small, letting profits run and multiply them) that matters.

Sure there will be false signals to our method (maintenance delays, weather delays, etc.) but it will ensure that we do get into every trend, and do so close to the beginning. This is what we are after, for as you are about to see, once we get into the trend we are right in the middle of the 200-knot tailwind and we will fly high and fast to profits.

How to take advantage of a trading tailwind.

When we fly East to West our dispatchers try to pick the most advantageous route and altitude to put us right in the middle of the Jetstream. We can save sometimes two hours or more (on long routes) by flying directly in the tailwind. Our technology tells us what the winds are like at different altitudes, and we try to maximize the tailwind.

The reality is that most routes we fly from East to West take advantage of the Jetstream tailwind. Likewise in trading, you can follow a trend and make money in that trend. But our airline wants to maximize the tailwind, so we not only fly the correct route but also the optimum altitude. We are maximizing the Jetstream.

In trading, we not only want to follow the trend we want to maximize our profits in that trend. Again there are lots of ways of doing this, and my way is only one way. Some people add positions on retracements, or at key levels or upon the touch of a moving average, etc. These are all good, and there are many more ways.

Trend Summary:

In flying I want to maximize the tailwinds, flying the route my dispatcher has programmed that contains the strongest tailwind, and sometimes changing altitude to pick up more of that wind. This gets us to our destination faster, saves thousands of pounds of fuel, and makes the airline more profitable.

In trading, we want to maneuver to take the best advantage of the trend, which sometimes has the effect of netting ten times more pips than the trend itself.
When my friend from Iowa knows that the next week will be sunny and that the fair is expecting a record crowd, he will maneuver carefully to take the best advantage of the circumstances. He will stock up on food, make some things ahead of time, hire an extra helper, etc. He knows that this one week at the fair could bring in a year’s worth of income if he works it correctly.

Trading works the same way. We must be very careful not to take big risks (rule #1) and we must let our profits soar—increasing, multiplying, and compounding them at every turn (rule #2). We know that one good trend can hugely affect our trading business’ bottom line.

Whipsaw: the Importance of Being Deliberate and Methodical

One thing that is drilled into airline pilots is the need to be deliberate and careful, sometimes even “slow” in our decisions. In the simulator we practice handling abnormal situations and emergencies, the point of which is to teach us to be deliberate, think through the situation methodically, analyze the problem carefully, go through our checklists not missing one single item, consider our resources and utilize all that we have. Captains, especially, are tasked with keeping “the big picture” in mind. We are to keep the main thing the main thing.

In trading, we must learn to think logically and deliberately about our method. Take your time to think over the big picture of trading and learn to keep the main thing the main thing. Realize that in an abnormal situation, such as price retracing toward our stop loss, and then another stop loss, and another, we should not be in a panic. Our stop loss is in place, and we are not concerned about it in the least for we know stop losses are part of our “operating costs” which every business has.
In my recent memory, a foreign commuter plane crashed and killed all on board. It turns out that shortly after takeoff an engine failed. The pilots, rather than being deliberate and methodical, and probably acting on adrenalin, reached over and shut down the only good engine remaining. They were no doubt thinking they needed to “feather” (shut down) the engine that had failed and was wind milling, causing drag. But in their haste, they shut down the wrong engine, the one good engine.

Learn to be careful and deliberate in your trading, logically thinking through your trading plan and following it consistently, not being reactionary or acting on impulse. Flying, done correctly, should be boring. So should trading.

When we are sitting in the airplane at the gate and get notified of a ground stop program in effect due to weather, we calmly accept that as our fate for that flight. We will be delayed. It is part of flying and not something to fret over or get angry at. We will still depart, it will just be later.
This is the way we must look at stop losses. Our trend is delayed, there is some cost to it, but we will depart. The next trend will come, and we will catch it right from the beginning, right at the departure airport.

Even if we had numerous of these whipsaws, with each one we know we are getting closer to the trend, so we press forward. The worse the situation looks the better we feel about it, the more we anticipate victory just up ahead:

"Hard pressed on my right; my left is in retreat. My center is yielding. Impossible to maneuver. The situation is excellent. I am attacking. Attaquez!"- General Ferdinand Foch (to General Joffre during Battle of the Marne)

Let’s think about something regarding flying. This time using a rocket as an example. If you’ve ever seen a rocket take off you know that right in the beginning it exerts a whole lot of energy but doesn’t move far or fast. As the engines/rockets roar they are burning huge amounts of fuel, far more than at any other point in the rocket’s journey, yet it is barely moving.

Then, as the rocket gets airborne and begins its climb it “throttles back” at a certain altitude so it begins burning a lot less fuel, expending a lot less energy. And yet it is now moving at hundreds/thousands of miles per hour.

Finally, once that rocket gets into orbit it is expending no energy whatsoever, it is orbiting at a very high rate of speed without any burning of fuel or using of energy.

Remember this when you are just starting to get in the trend. This is the time when you will burn the most fuel (pips) and could be making no progress. You might go through one stop loss after another, seemingly wasting energy while going nowhere.

Once you get airborne into the trend and begin adding positions, you find that your profits are compounding, almost like they are on autopilot. If the trend lasts, you will be orbiting.

Again, keeping the big picture, the actual method for reentering is not as important as the fact that we are committed to multiplying profits in a trend. If compounding interest is the 8th wonder of the world, compounding profits in a trend is the most important thing in a trading method. These compounding profits will more than make up for singular losses.

So yes, continue looking for ways to minimize losses in ranging markets. But don’t let them discourage you, or you’ll not ever make a good trader. Rather than being discouraged by them, rise above the chop and see things from a higher view. Is it sound trading to take linear losses and exponential profits? Am I making money when I sit through 40 periods of chop followed by one trending period? These are the questions to ask.

Relating this to the business of flying, we must learn to think like a CEO, not an employee (absolutely nothing wrong with being an employee, I’m just using an illustration). A CEO does not look at times where flights are delayed, which costs the company money, and think “wow, these delays will ruin our yearly profits.” Or “Oh my, these winter months are losing us money every single month, I don’t think it’s worth it to run this airline.” No, a CEO sees a bigger picture. He looks at the operation from 40,000 feet and sees that spring, summer, and fall months bring in much more profit than a few losses in the winter. Granted, he is always looking for ways to minimize losses; implementing cost-saving programs when and where he can. But he accepts small losses in exchange for large profits as a normal part of business life.

We must do the same in our trading. Such as, we could look at flat line SMA times all day long, and all of us agree they would be times of losses. This might lead us to decide that, for my type of personality, I would rather be a range trader, since ranges happen the majority of the time. That’s perfectly fine, and a good decision for many. Or, we might decide to accept small losses, helping our range trading brothers and sisters make a living too, and stay with our trend trading methodology.
After 10 years in this industry, reading everything I could find on the subject, testing many different methods and concepts, I’m convinced that range-losses are here to stay, and that trend-gains will overcome them, by a value of multiples.



Source: Dreamliner >>> https://www.forexfactory.com/showthread.php?t=576707

✍ The Commitments of Traders (CoT) Report: Week #22

Note: These are not fundamental determinants. ☝ Users are advised to read them with considerable caution as changes in market conditions or economic circumstances after submission to CFTC may affect earlier commitments.

CoT data >>> Futures Only | Speculative | Based on Legacy Format
3rd June 2020 (GMT +8)

Attached Image (click to enlarge)

CoT data >>> Futures & Options | Manage Money
3rd June 2020 (GMT +8)

Attached Image (click to enlarge)