Anyone read Larry Williams book on trading off COT reports? Anyone using this strategy? Any thoughts on it? He talks about comparing the COT reports to historical positions by the commercials, specs, etc. Where can I find the historical averages?
I haven't read his book, but COT is as good as gold, IMHO. It's a critical part of my trading strategy and has been extremely prescient. I've found it most useful in the ags--any industry that has true "motivated" commercials (as opposed to banks hedging or some other semi-related commercial) has a useful COT.
Rosy - I like the look of that chart. Where do you get them? I've been using http://www.softwarenorth.com/trading/commitmentscurrent/
I've found them useful although I don't use Larry Williams. I would say to correlate the CoT's with the underlying price. Some of them are useful and highly correlated, the grains for instance, and some are worthless. This echoes what FullyArticulate said.
It works but you have to keep in mind your time frame. These are weekly, if not monthly frame holds. And remember even the commercials can be wrong but that is hardly relevant to them since a) they are in effect hedged with the product they produce with they stuff they need b) they have alot more money than you so a 2,3 even 4 week price move against them is not very troubling. Genesis has a nice COT vs Public set up that really shows the contrast nicely. But most of the data is online now.
I check the Commercials every week. It's helpful to have a longer term gauge of the market. I just trade Emini's and the Commercials have been very bullish ever since the break in the equity markets at the end of February - which has been right on. I find it helpful to do some manipulation of the raw COT data, for example, to adjust for Open Interest. Measuring the direction of the Commercials versus the Index also helps to pinpoint major market turning points.