DislikedI performed a backtest of the COT strategy on GBPUSD from may 2006 to may 2007 with nice results.
- Only take trade opportunities with >10'000 open interests
- Keep trade going till next COT report
- No technical filter
- 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?)Ignored