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Lets Build A Fundamental Strategy Together

  • #21
  • May 6, 2018 8:53pm May 6, 2018 8:53pm
Dear all I have not updated this thread for a while simply because I have been figuring out ways to use the tools that I had listed in my first post which are:

  1. ECONOMIC CALENDAR ANNOUNCEMENTS
  2. CORRELATIONS MAINLY WITH:

    1. GOLD - POSITIVELY CORRELATED WITH: AUD, NZD, CAD
    2. OIL - POSITIVELY CORRELATED WITH CAD
    3. DOW (+VE) AND NIKKEI (-VE) CORRELATION WITH USDJPY

  3. BOND YIELDS
  4. CARRY TRADES
  5. MACROECONOMIC NEWS
  6. FOREX VOLATILITY
  7. 25-DELTA RISK REVERSAL
  8. COMMITMENT OF TRADERS REPORT
  9. OPTION EXPIRIES
  10. ORDER BOARD
  11. MONTH END ORDER FLOWS


The ones highlighted in green are the tools I have currently found success in using to help me with my fundamental analysis:

 

  1. The economic calendar I use to scalp
  2. The inverse correlations with gold and USD/JPY can help you gauge the risk sentiment of the markets
  3. Bond yields when reaching extreme levels can provide an extra push for its currency like has been recently seen with the US T_110 bonds which have bben increasing and the Bunds and Gilts which have led to a decrease in the GBP and the EUR at the time of writing
  4. Forex volatility autochartist.com has been useful for helping me to gauge the maximum TP I can reasonably aim for when my trade really starts to take off


If you would like to follow my progress along with other fundamental traders I have started to post my trades on this thread: https://www.forexfactory.com/showthr...0#post11031830

If you have further questions/inputs/advice please feel free to share

To Pipccess and Beyond
  • #22
  • May 6, 2018 9:07pm May 6, 2018 9:07pm
Quoting MoshiM
{quote} I too have an excel doc with the COT data but I don't understand the logic behind your calculation for "NETOverall Both NonComm and Comm" as it seems to be the basis for your pivot charts and tables. You have it set up so that it is the net of Non Commercials minus the net position of Commercials divided by open interest of that week. Wouldn't it make more sense to convert that minus to a plus or comparatively use the short and long fields for total reportable positions to calculate this instead ?
Hi MoshiM,

I am aware that there is part of my COT excel spreadsheet that does not make sense as I had mixed the CME and ICE exchanges together in the screener tab, which makes the results INCORRECT FOR THE COT SPREADSHEET for some of the screener pairs. (Which I will aim to correct if I find a use for the COT again in the near future).

However the logic behind the NETOverall Calculation is correct to the best of my knowledge, I simply wanted to create a single moving average that encompases both participants for ease of analysis so I took the net non-commercial and minus that from the net commercials, I then divided that by the open interest to get a % so I can have an oscillator type indicator for the COT instead of having absolute values
To Pipccess and Beyond
  • #23
  • May 6, 2018 9:26pm May 6, 2018 9:26pm
I calculate something similar but only using OI and Commercial Net.However wouldn't NET overall which I assume you want for reportable positions based on the cells used to calculate the field be the longs of commercials and non-commercials minus their shorts.
I think what you may be looking for is an index calculated as[(current-min(x)÷(max(x)-min(x))] where x = the range of data that you want to compare the selected week.

I've attached a link to the documents that I uploaded on another thread. Given the date that I uploaded them it should be sufficient to just refresh the query on the "Weekly" worksheet and then click the button under the table. Then expand the tables for the other worksheets. Scroll to the right to see calculations I do on the data.
https://www.forexfactory.com/showthr...7#post11007717
  • #24
  • May 7, 2018 3:59pm May 7, 2018 3:59pm
Unfortunately, I have no experience in fundamental analysis
So it would be good to follow your topic and identify the ways in which we can benefit from the fundamental analysis
  • #25
  • May 8, 2018 8:14am May 8, 2018 8:14am
nice thread... Finally get some fundamental analysis going here.

As of right now...

Strength analysis USD,JPY,CAD. USD is supported by strong expectations of more rate hikes this year relayed by strong US economic data and overheating inflation. JPY is being supported by geopolitical tensions even though BOJ stated it isn't backing off its stimulus program anytime soon. Watch JPY as potential strength in coming months as Japanese economy flashing improvements and market sentiment not buying BOJ's stimulus program continuation. CAD being supported by strong economic data and higher oil prices.

Weakness analysis GBP, CHF, EUR, AUD, NZD. AUD & NZD both reporting weak economic data and validated by both central banks not forecasting rate hikes until next year. EUR also reporting weak economic data along with disappointment from ECB of a much later time schedule for its first rate hike. QE removal is already priced into the EUR. CHF is tied to the EUR performance still... Where ever EUR goes, does the CHF. GBP reporting weak economic data too, economy showing signs of slow down.

Trades
Long USD against all majors except for JPY & CAD.
Trade what you see, not what you think!
  • #26
  • May 29, 2018 4:03pm May 29, 2018 4:03pm
Quoting minokimo
Unfortunately, I have no experience in fundamental analysis So it would be good to follow your topic and identify the ways in which we can benefit from the fundamental analysis
Minokimo I hope your trading journey is going smoothly so far, if you are still delving in to the world of fundamental analysis I would highly recommend looking through this thread, myself and @Samson85 have posted trades on their that will help you get a solid framework so that you can start thinking more fundamentally about your trades.

https://www.forexfactory.com/showthr...2#post11110642
To Pipccess and Beyond
  • #27
  • May 29, 2018 4:18pm May 29, 2018 4:18pm
END OF MONTH FLOWS

  1. Get the highest and lowest performing stock index out of the G8 currencies
  2. Then trade the opposite direction of the currencies performance during the last week of the month

Here is an example for this month, CADCHF:

Attached Image (click to enlarge)
Click to Enlarge Name: Picture1.png Size: 132 KB


Here is what the CADCHF did today

Attached Image (click to enlarge)
Click to Enlarge Name: Screen Shot 2018-05-29 at 22.16.17.png Size: 118 KB


Also, note that there were some good fundamentals at play to give this strategy an edge today.
To Pipccess and Beyond
  • #28
  • May 29, 2018 4:21pm May 29, 2018 4:21pm
Quoting MoshiM
I calculate something similar but only using OI and Commercial Net.However wouldn't NET overall which I assume you want for reportable positions based on the cells used to calculate the field be the longs of commercials and non-commercials minus their shorts. I think what you may be looking for is an index calculated as[(current-min(x)÷(max(x)-min(x))] where x = the range of data that you want to compare the selected week. I've attached a link to the documents that I uploaded on another thread. Given the date that I uploaded them it should be sufficient...
I'll bear this in mind when I find time for the COT report, potentially when I move into swing trading
To Pipccess and Beyond
  • #29
  • May 29, 2018 9:20pm May 29, 2018 9:20pm
Why bother fast forward and just say when and how much...

Hehe
  • #30
  • Edited 3:39pm Jul 18, 2019 3:28pm | Edited 3:39pm
Quoting forexin101
{quote} I use the raw data from cftc.gov and put it into an excel spreadsheet to make percentile sense of the data, here is my latest sheet {file}


Can you explain scanner sheet from your shared excel sheet ?
Attached Image(s) (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 40 KB
Click to Enlarge Name: Screenshot2.png Size: 147 KB
  • #31
  • Last Post: Jul 22, 2019 5:04am Jul 22, 2019 5:04am
Quoting venkateshr56
{quote} Can you explain scanner sheet from your shared excel sheet ? {image} {image}

Can you please explain how to calculate numbers as i mentioned in above charts... ??
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