COT Historical Commitment of Traders CFTC

I spent some time looking at several COT sites and decided I could figure out the math of the calculations they used, so I did. If No one minds, I thought I would post every Friday the Commitments of Traders.

This information is available to the public from the CTFC and I have written the algorithms I am using.

The first chart is a normalized net of (longs - shorts) to a scale of 0 to 100, for a significant length of time, (1.5 years)

Some sites and books state that a value of extremes (100 and values of 0) indicate Commercials have just become maximum net long or maximum net short and a Reversal in price is likely soon.

The Second chart is the Actual Net Positions. For Further information on this, see the article by Kath Lien titled

" Using COT Report To Forecast FX Movements"
from July 20, 2005

The Third chart is the net open interest of COTs.


I know there are lots of sites that have COT information in CFTC and other formats, but this is my take on it and so I have decided if it can be useful to anyone, I will post it. If people find it useful, I will continue to post them every Friday Afternoon.

If you want charts for a commodity or future listed at CFTC that is not on this list, just post it and I will include it, if there is enough data available.

Here is the List of the Instruments I am tracking now:
1 EUROFX
2 JPY ( don't forget the data is inverted, ie; USDJPY )
3 GBP
4 USD INDEX
5 CAD ( don't forget the data is inverted, ie; USDCAD )
6 AUD
7 CHF ( don't forget the data is inverted, ie; USDCHF )
8 NZD
9 Gold
10 Silver
11 Oil ( Crude Light Sweet)
12 eMini S&P500



Regards, Scott

PS, Please do not ask me how to use the COT reports. I suggest a Google search as there is a lot of information available about the topic, free of charge in books and other sources.

EDIT
05/31/2009

I decided there was not enough demand to make updating this thread worth it.
The only two comments, were someone wanting to be spoon fed and another saying it had no real value and that others would not miss anything by not understanding it.

It takes a bit of work to research and post nearly 50 charts. I will not continue with this project. I will just compile the information for my self from now on. So I think this thread is closed. Too bad, if anyone had looked at the implications of the NormalizedNet Charts, I think they would have been amazed.

bye, that's it for me, Scott

i know you already say "Please do not ask me how to use the COT reports" but the more i read more i get confuse, if you would please give hint? thanks in advance

regards

open1

Take a look at the Normalized Net chart of any Instrument. Look at the date when it reached 100 or reached 0 and then go and look at what happened to the price within a couple of weeks after that date.

Like anything In trading your going to have to work out IF/How there is a way to trade using It profitably on your own. Sharing a working method Is like Giving someone else your money, how many people have given you money for no reason recently?

SimonJones has given you some Info, your going to have to work out a way to use it yourself.

Leon

Not at all! I have always had an interest in COT, just never been able to find enough consistencies to apply it to my trading. Thanks for the effort.

For Open1: Don't worry, you aren't missing too much. Like anything else... you still have to "trade" and have an approach. Further, there are no guarantees. The only thing frustrating about not "getting" COT is that there is knowledge that it represents something real, something more than simple averages and lines.

thanks smjones and stockkjay for your encouraging words. really appreciate it

Hi Open1,

The best thing to do is go to some site that charts the report like timingcharts.com and look at the net positioning (in red on that site). There are three ways that I use to profit from COT data:

1. Look for an opportunity to short when when price keeps increasing yet net positioning decreases or remains flat. This means nothing is supporting the upmove. This also works in reverse, obviously (I.e. go long when price is decreasing while net positioning increases or stays flat). This happens the most often of the three.

2. Develop a selling bias when net positioning has been trading down and crosses the zero line. When positioning changes from net long to net short there is usually a change in psychology of the market to the negative side (this happened last year).

3. Start finding selling opportunities when net positioning has become extremely long (judging by the last 5 years) and it agrees with some other indicators you use. This doesn't come as often as the first two, but a lot of money can be made this way.

Hope this helps you make more money.

All the best in your trading,

Kris Matthews

big thanks to you mr kris

regards

open1

You're welcome, Open. If anyone wants to analyze potential COT trades or bounce off ideas let me know. I'd be glad to participate

Kris Matthews