Commitment of Traders System

Discussion in 'Strategy Development' started by pspr, Feb 4, 2004.

  1. pspr

    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
     
  2. 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
     
  3. Just a quick note to clarify....You are talking about the big contract and not the e-mini correct?
     
  4. pspr

    pspr

    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.

     
  5. vikana

    vikana Moderator

    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
     
  6. 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


     
  7. 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!

    :)
     
  8. great info... any idea how the system did going both long and short??? thanks
     
  9. 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!

    [​IMG]

    Rest of charts:

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

    Take care
     
  10. 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...
     
    #10     Feb 6, 2004