Friday, July 13, 2007

"Really impressive analysis! The best I've seen on this dataset"

As an avid COT Report watcher based in the UK, I was fascinated to read about your approach on the Timer blog, especially in regards the S&P 500. I have been looking into how best to generate signals for the S&P from the data, and like yourself have found that using extended positions for Commercials/ Non-reportables provided pretty impressive results - somewhat to my surprise as I'd always look at the Speculators as the best contrarian plays.

Your approach of being flexible on what categories are worth watching is really interesting, your trade results amazing and I'd love to see a sample of your spreadsheet sometime to get a better feel for your approach.

Really impressive analysis! The best I've seen on this dataset.

David McBain
London, UK

8 comments:

CHIRAG said...

As an avid COT report watcher based in INDIA, I was fasciated with your readings and analysis, especially in regards to Copper and Silver. However in your last to last weeks signal, your report showed a bearish signal on copper and silver with execution dates mentioned. Silver has shot up 2 $ since than and copper has turned bullish again. Kindly clarify on the same.

Alex Roslin said...

Hi Chirag,

Thanks for your comment. Please see my response regarding silver in the comments to this blog post:

http://cotstimer.blogspot.com/2008/02/filled-dumped-silver-shorted-banks.html

For copper, the new signal simply means that after a period of a bearish signal, the signal will flip back to bullish, so I already know my holding period in advance.

Regards,
Alex

paxios said...

Hello Alex

I cannot find the easy to follow download instructions for the cots.

Could you kindly direct me to them?

Regards,
Gene

paxios said...

Hello Alex, I am interested in your systems, however I have this problem, I can not find the easy to follow instructions on how to download the cots reports.

Could you kindly direct me to them?

Gene Paroni

Alex Roslin said...

Hi Paxios,

Can't seem to find them either right now. Perhaps they've been removed? In any case, here is the url for the latest data in csv format:

http://cftc.gov/dea/newcot/deacom.txt

Copy and paste this into a text file, then close it and open that file in Excel. Click "Next" on the first icon that appears, then check the box for "Comma," click "Next" again, then click "Finish" and save it as an Excel file.

You can follow the same process with the historic reports to update previous weeks - for example, if you want to update the S&P 500 spreadsheet provided on my site.

Regards,
Alex

Alex Roslin said...

Hi Gene,

Can't seem to find the explanation on the site either right now. Perhaps it's ve been removed? In any case, here is the url for the latest data in csv format:

http://cftc.gov/dea/newcot/deacom.txt

Copy and paste this into a text file, then close it and open that file in Excel. Click "Next" on the first icon that appears, then check the box for "Comma," click "Next" again, then click "Finish" and save it as an Excel file.

You can follow the same process with the historic reports to update previous weeks.

Regards,
Alex

Anonymous said...

Hi,

Very interesting stuff.

How do you participate in the Nikkei? I can not find any vehicles.

Thanks

Alex Roslin said...

Hi,

Check DVTechTalk.com ("Education" webpages) for regularly updated ETFs lists. Nikkei can be traded with CJP in Toronto and EWJ and EWV in the U.S., for example.

Regards,
Alex