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COT Weekly Trading Strategy

  • #81
  • May 15, 2007 10:45am May 15, 2007 10:45am
Quoting webesa
I performed a backtest of the COT strategy on GBPUSD from may 2006 to may 2007 with nice results.

Rules :
- Only take trade opportunities with >10'000 open interests
- Keep trade going till next COT report
- No technical filter

Results :
- 3 of 15 trades only were wrong (2 in a row during the July 2006 rally)
- Short bias : ALL TRADES were short

Did someone backtested this strategy (paper/demo/live?)
great work. super!!!
  • #82
  • May 15, 2007 10:47am May 15, 2007 10:47am
Quoting webesa
I performed a backtest of the COT strategy on GBPUSD from may 2006 to may 2007 with nice results.

Rules :
- Only take trade opportunities with >10'000 open interests
- Keep trade going till next COT report
- No technical filter

Results :
- 3 of 15 trades only were wrong (2 in a row during the July 2006 rally)
- Short bias : ALL TRADES were short

Did someone backtested this strategy (paper/demo/live?)
When and how did you enter your trades?

What SL did you use?
  • #83
  • May 16, 2007 3:35am May 16, 2007 3:35am
Before going for 1-pip-precise-studies, I just performed a visual backtest on COT to check if it was worth to go further... and it looks so
I just used the graph below.

January COT detected reversal 1 week too early, so it could have hit any SL for sure. But for the others signals, that's pretty good
I'll try to take time to calculate precisely what we can expect in terms of pips

But I already like it : simple and no-time-taking strategy!
Attached Image (click to enlarge)
Click to Enlarge Name: CME_COT_gbp.jpg Size: 50 KB
  • #84
  • May 16, 2007 9:49am May 16, 2007 9:49am
Here's the visual backtest on GBPUSD for 1 year (check the graph below).

2006
June : 1 trade, win
July : 1 trade, loose
August : 2 trades, 1 loose - 1 win
September : 1 trade, win
October : no trade
November : 3 trades, 2 wins - 1 loss
December : 1 trade, win

2007
january : 2 trades, 1 win, 1 no-profit-noloss
February : 2 trades, 2 wins
March : no trade
April : 3 trades, 3 wins
May : no trades

According to these results, the COT weekly strategy was very successfull for the last 6 months, with 8 winning trades and no-loss at all (8 weeks market exposure on 24 weeks).

Did anyone perform a precise backtest on this?
Attached Image (click to enlarge)
Click to Enlarge Name: CME_COT_gbp1Y.jpg Size: 58 KB
  • #85
  • May 16, 2007 11:14am May 16, 2007 11:14am
Quoting webesa
Here's the visual backtest on GBPUSD for 1 year (check the graph below).

2006
June : 1 trade, win
July : 1 trade, loose
August : 2 trades, 1 loose - 1 win
September : 1 trade, win
October : no trade
November : 3 trades, 2 wins - 1 loss
December : 1 trade, win

2007
january : 2 trades, 1 win, 1 no-profit-noloss
February : 2 trades, 2 wins
March : no trade
April : 3 trades, 3 wins
May : no trades

According to these results, the COT weekly strategy was very successfull for the last 6 months, with 8 winning trades and no-loss at all (8 weeks market exposure on 24 weeks).

Did anyone perform a precise backtest on this?
hi webesa,
that was a really nice backtest you have here. thanks 100 times for your effort. super!!!

couple questions:
1. can you explain how to read your report?
2. what are the pips amount you had gain in those test?
  • #86
  • May 17, 2007 3:09pm May 17, 2007 3:09pm
http://www.dailyfx.com/story/chartin...156202957.html
  • #87
  • Jul 2, 2007 11:42am Jul 2, 2007 11:42am
Hey, I see that this thread has been unclosed. Is anyone still interested in COT Trading here?
We leave no soldier behind.
  • #88
  • Jul 4, 2007 4:53pm Jul 4, 2007 4:53pm
Quoting gagiul
Hey, I see that this thread has been unclosed. Is anyone still interested in COT Trading here?
Not yet. But I would like to know if any out there uses (or used) any of this Cot Services:

-http://www.trackntrade.com/futures/cot/
http://www.trackntrade.com/screensho...scrn_Corn1.png

-http://www.upperman.com/index.html
-http://www.shatterfield.com/cot.php and specialy COT Synthetics

Probably I'll open a thread to allow reviews for any of this and others unknow to me.

pd-I know I said this many posts ago...but I would like to have a EA or Indicator....you see...if we want to BACKTEST YEARS (of 7 currencies) of info as I did and many of us did, would be nice to do it automatically and DETECT variations, new opportunities and who knows something more.
The Cot indicator for MT4 cost $5 usd month.

Several weeks ago I gived up with this strategy, because the many bad signals lately but we could add some more features like SSI (Speculative Sentiment Index) that is like the twin brother for cot.
The FXCM managed fund use this indicator to trade.

well let see what happens...
  • #89
  • Aug 6, 2007 11:44am Aug 6, 2007 11:44am
Thanks for the extra info on how to use COT reports. I have read a book on FX that suggests using the COT reports along with pivot points. It is for 'high probability systems and strategies for active traders'. I have read about a dozen books on FX and this is the only one that suggests using the COT. The author has a web site and he is speaking in Houston TX this month as part of the FTA group here in Texas. He includes a CD in his book and has a nice website and it's free to hear him talk in Houston this month. His book is for sale on Amazon now. For me, it's in the top three books from the dozen or so that I have read. I am not trying to sell him so I will not mention his name, just search all of what I've mentioned and you will find out who I'm talking about if you are interested. For those who have already read him, you know who I am talking about.

I have questions about using the COT still. For example, the July 31, 2007 COT report has the commercials short in the EUR, GBP, Aussie, Loonie and Kiwi. The commercials are Long only in the YEN. So my understanding is that banks and corporations, the commercials, the smart money with deep pockets are reporting that they are Long in future contracts with the YEN. So does this mean that USD/JPY spot price is more probable to keep falling this week? To my understanding, the Non-Commercial means the retail, the individuals traders. There is also Non-Reported positions and I have heard of tricks where a commercial institution may use covert means to try to report as Non-Commercial through a private contact such as a Family Limited Partnership or other under the radar method. I am not sure but I think there are SEC rules against this as the COT report is to show who is backing what positions to stabilize the over all market. Maybe someone has some insight into this particular tangent.

Of course it is only part of the equation to use the COT. Using pivot points as part of the set up is ideal to optimize probability of a profitable trade. What this means to me is to set up a short term trade in the spot market when the cash price is well into the Resistance lines of daily pivot points to short it. It would be the opposite if I where to go long (set up long well into daily support lines of pivot points). Of course using multiple time frames, moving average cross over, MACD, volume line studies and trend lines, trend channels along with RSI and Stochastics, maybe even candle stick patterns to confirm the set up will all increase the over all probability of a successful trade.

I plan to go hear the man later this month and hopefully get some questions in then. For the time being if someone could help answer my questions I would appreciate it:

The COT for July 31, 2007 has the commercials:
Long the YEN
and
Short the Euro
Short the Pound
Short the Aussie
Short the Loonie
and
Short the Kiwi

All, of course for future contracts. It looks like these positions have held for the past few weeks and will probably be the same after this weeks report is released.

So my understanding of these COT reports for the future market is that the spot has a higher probability of:

USD/JPY being bearish, going further down from 119,118 down from 117 as being Long the Yen

EUR/USD being bearish too, going down from 1.3800 to 1.3700 maybe dipping into 1.3600 as being short the EUR

GBP/USD keep falling from 204, 203, 202, possibly past 201 being bearish as Short the pound

AUD/USD also falling past .8500, into .8400 and maybe into .8300 as from the COT report of commercials being short with the Aussie in the Futures

USD/CAD to keep going up 1.0500, back into 1.0600 and further as COT commercials Short futures contracts

and

NZD/USD to fall from .7600 past .7500 as part of the COT report having commercials short the Kiwi in futures.

Lot's of questions. I am just taking measuring effects now, documenting what is, doing demo trades, maybe micro lot real trades if the charts start screaming at me. I appreciate the feed back.
  • #90
  • Sep 14, 2007 12:04pm Sep 14, 2007 12:04pm
Does anyone know how to convert Cot data
commitments of traders .cftc.gov
Iam trying to convert to csv format to import to Excel
but I am not having any luck
my excel skills are very poor
  • #91
  • Jan 6, 2008 8:01pm Jan 6, 2008 8:01pm
Not many people in this thread lately but the information in it has proved really valuable.

Thanks to the thread starter for adding another tool in my FX toolbelt.
  • #92
  • Jan 6, 2008 9:30pm Jan 6, 2008 9:30pm
john...keep posting..
it's importance indicator tools to predict trend for sT and LT..
now i understand what's COT...before read this article none....

what's today COT foe eur/usd ...

thank's
  • #93
  • Jan 9, 2008 11:29am Jan 9, 2008 11:29am
Thanks billions for the support guys.

I will do my best to post new info when I have time.
  • #94
  • Jan 9, 2008 11:37am Jan 9, 2008 11:37am
Hi Johntsai,

I really like the idea of using COT to establish the basis for a longer term strategy.
Would it be possible to create a macro for Excel to extract the data from the CFTC website and plot a graph within Excel. I think it would be good to have a graph showing the historical positions, this way we would have a COT oscillator indicator.

I tried to do this last year when I came across this thread, but could not manage it as I had never used excel before. What do you think?

Regards,

Ed.
  • #95
  • Jan 9, 2008 12:11pm Jan 9, 2008 12:11pm
Where can i fined COT reports ubdated every week?
  • #96
  • Jan 9, 2008 1:25pm Jan 9, 2008 1:25pm
Quoting Ted1983
Hi Johntsai,

I really like the idea of using COT to establish the basis for a longer term strategy.
Would it be possible to create a macro for Excel to extract the data from the CFTC website and plot a graph within Excel. I think it would be good to have a graph showing the historical positions, this way we would have a COT oscillator indicator.

I tried to do this last year when I came across this thread, but could not manage it as I had never used excel before. What do you think?

Regards,

Ed.
I found this one here on FF a while back...I didn't write it, and I can't remember who did...Anyway it looks like it will do what you need.

Trade Well...
Brent
Attached File(s)
File Type: zip Commitments of Traders.zip   232 KB | 1,908 downloads
  • #97
  • Jan 9, 2008 1:26pm Jan 9, 2008 1:26pm
For reports go to:

www.cftc.gov/marketreports/commitmentoftraders

They have current & historical, long & short format....all free if you can believe it.
  • #98
  • Edited 3:15pm Jan 9, 2008 2:35pm | Edited 3:15pm
Quoting Ted1983
Hi Johntsai,

I really like the idea of using COT to establish the basis for a longer term strategy.
Would it be possible to create a macro for Excel to extract the data from the CFTC website and plot a graph within Excel. I think it would be good to have a graph showing the historical positions, this way we would have a COT oscillator indicator.

I tried to do this last year when I came across this thread, but could not manage it as I had never used excel before. What do you think?

Regards,

Ed.
Hi ED,

Here is the website I know that can shown COT report into the graphic, but visitor only can see data a week late then the member. http://www.cot-futures.com/cot/index.htm

I just check the graphic, and I found USDJPY had reach turning area. Watch out for the Fib level for the entry.

John
  • #99
  • Jan 9, 2008 2:39pm Jan 9, 2008 2:39pm
Quoting petero
For reports go to:

www.cftc.gov/marketreports/commitmentoftraders

They have current & historical, long & short format....all free if you can believe it.
The website need to be update.

Here is the new link:

http://www.cftc.gov/marketreports/co...ders/index.htm

Choose >>>Chicago Mercantile Exchange (Futures-and-Options-Combined)>>>Long Format
  • #100
  • Jan 9, 2008 3:14pm Jan 9, 2008 3:14pm
To all the people who support this thread:

From now on, I will change the direction of posting in the thread from weekly trading basis into day trader basis.

For each day, I will try to find the stetup by using the strategy from FibMaster (My Mentor) according to the weekly COT data. For detail explaination, please read below.

Info Update

1. Pull out COT data each week from the http://www.cftc.gov/ and find the qualify pair to trade for the week.

Update Link: http://www.cftc.gov/marketreports/co...ders/index.htm

Choose >>>Chicago Mercantile Exchange (Futures-and-Options-Combined)>>>Long Format

2. Use only 38.2 and 61.8 Fib level to find Super Kluster level(SK=strong resistance/support) for potential entry.(FibMaster)

Here is how to find the SK.

Draw the Fib level from every obvious swing from low to top(uptrend) or from top to low(downtrend). and find the kluster that overlap 38.2 and 61.8. This level call SK.

3. MACD setting 8,17,9(FibMaster)

4. Stochastic Setting 8,3,3(FibMaster)

Strategy Update (Following info will explain as an example)

1. If EUR/USD from COT record is = or > 10k, its qualify to trade for the follwoing week.

2. Use Fib Level to find SK in H or 4H chart. No suggest to go lower then H time frame for beginner trader. More risk to take and uncertainty.

3. Enter when price reach SK level, Sto overbought/sold in either H, 4H, or Day time frame. But have to cofirm MACD direction at H, 4H and Day timeframe also the direction shown in COT data.

4. For target price, use the SK level from higher timeframe.
For stop, always use the swing low. (more risky if you use lower sk)


Last, if time available, I will update the ebook, if not, I will try to post the pic explaination to the thread.

Any quesiton? Please visit www.fibmarkets.com for strategy or email [email protected] for answer.

Reference
FibMaster www.fibmarkets.com
COT Data http://www.cftc.gov/


Thanks Billions for all your support.


John Tsai
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