Weekly COT report Analysis + Trade Ideas

Oh, nice call Shahab. Last time I saw the charts it was going down and at 0.8720. What a recovery. Well it's done 292 pips from low to high this week. I wasn't in it for the ride but my A/J's are looking a tad healthier. This is last night's reading. I'm sure it has changed significantly after that move. Will update when the reading comes in.

SSI: USDCHF is the Only Pair in which Retail Traders have Increased Their Long Dollar Exposure
Wednesday, 10 Feb 2010 18:51 GMT
Written by John Kicklighter

FXCM Speculative Sentiment Index (SSI) Statistics:



SSI Details:

EURUSD - The ratio of long to short positions in the EURUSD stands at -1.01 as nearly 50% of traders are short. Yesterday, the ratio was at -1.12 as 53% of open positions were short. In detail, long positions are 8.5% higher than yesterday and 26.9% weaker since last week. Short positions are 2.6% lower than yesterday and 14.2% stronger since last week. Open interest is 2.7% stronger than yesterday and 1.5% below its monthly average. The SSI is a contrarian indicator and signals more EURUSD gains.

GBPUSD - The ratio of long to short positions in the GBPUSD stands at 1.99 as nearly 67% of traders are long. Yesterday, the ratio was at 1.57 as 61% of open positions were long. In detail, long positions are 15.1% higher than yesterday and 3.4% weaker since last week. Short positions are 9.2% lower than yesterday and 3.7% weaker since last week. Open interest is 5.6% stronger than yesterday and 1.7% above its monthly average. The SSI is a contrarian indicator and signals more GBPUSD losses.

GBPJPY - The ratio of long to short positions in the GBPJPY stands at 1.72 as nearly 63% of traders are long. Yesterday, the ratio was at 1.65 as 62% of open positions were long. In detail, long positions are 14.0% higher than yesterday and 11.4% stronger since last week. Short positions are 9.4% higher than yesterday and 12.5% weaker since last week. Open interest is 12.3% stronger than yesterday and 14.2% above its monthly average. The SSI is a contrarian indicator and signals more GBPJPY losses.

USDJPY - The ratio of long to short positions in the USDJPY stands at 1.58 as nearly 61% of traders are long. Yesterday, the ratio was at 1.73 as 63% of open positions were long. In detail, long positions are 4.1% lower than yesterday and 2.4% stronger since last week. Short positions are 5.5% higher than yesterday and 9.1% weaker since last week. Open interest is 0.6% weaker than yesterday and 5.6% above its monthly average. The SSI is a contrarian indicator and signals more USDJPY losses.

USDCAD - The ratio of long to short positions in the USDCAD stands at 1.26 as nearly 56% of traders are long. Yesterday, the ratio was at 1.36 as 58% of open positions were long. In detail, long positions are 3.4% lower than yesterday and 1.8% weaker since last week. Short positions are 4.8% higher than yesterday and 22.3% weaker since last week. Open interest is 0.1% stronger than yesterday and 8.1% below its monthly average. The SSI is a contrarian indicator and signals more USDCAD losses.

USDCHF - The ratio of long to short positions in the USDCHF stands at 2.93 as nearly 75% of traders are long. Yesterday, the ratio was at 2.06 as 67% of open positions were long. In detail, long positions are 39.5% higher than yesterday and 116.2% stronger since last week. Short positions are 2.3% lower than yesterday and 31.1% weaker since last week. Open interest is 25.8% stronger than yesterday and 36.9% above its monthly average. The SSI is a contrarian indicator and signals more USDCHF losses.

AUDUSD - The ratio of long to short positions in the AUDUSD stands at -1.10 as nearly 52% of traders are short. Yesterday, the ratio was at -1.23 as 55% of open positions were short. In detail, long positions are 4.2% higher than yesterday and 12.5% weaker since last week. Short positions are 6.7% lower than yesterday and 27.3% stronger since last week. Open interest is 1.8% weaker than yesterday and 7.8% above its monthly average. The SSI is a contrarian indicator and signals more AUDUSD gains.

NZDUSD - The ratio of long to short positions in the NZDUSD stands at -1.21 as nearly 55% of traders are short. Yesterday, the ratio was at 1.01 as 50% of open positions were long. In detail, long positions are 0.4% higher than yesterday and 31.8% weaker since last week. Short positions are 22.5% higher than yesterday and 31.6% stronger since last week. Open interest is 11.4% stronger than yesterday and 1.7% above its monthly average. The SSI is a contrarian indicator and signals more NZDUSD gains.

[EDIT]

Okay, as expected, this morning's reading shows that retail traders have been shorting like mad:

AUDUSD - The ratio of long to short positions in the AUDUSD stands at -1.62 as nearly 62% of traders are short. Yesterday, the ratio was at -1.09 as 52% of open positions were short. In detail, long positions are 19.3% lower than yesterday and 35.7% weaker since last week. Short positions are 19.9% higher than yesterday and 91.1% stronger since last week. Open interest is 1.1% stronger than yesterday and 7.7% above its monthly average. The SSI is a contrarian indicator and signals more AUDUSD gains.

Based on the chart attached, on 1H chart we have broken the downtrend convincingly.

Failure to close above .8915 will see us retrace back towards psych level .8850 and major S at .8810 and then it should resume its journey north.

We are in an upward channel now.

http://www.dukascopy.com/swiss/engli...tch/sentiment/

is anybody following their sentiment index and realized the huge difference with fxcm SSI??

which one should we take into consideration for our trading decisions?

'cause some days one is net long in a currency and the other net short on the same one......

Hi Templeton

You don't take any sentiment index into consideration solely for your trading decision. I personally don't get so deep down and dirty with it.

First I look at my chart and determine if PA is going up or down, is PA above or below my moving averages, is PA above or below daily, weekly, monthly pivots, what daily range it's done, what weekly range it's done, what monthly range it's done, any divergences on my RSI, what Jurik indicator is saying, is there a fib nearby and do a little fundamental reading to tune in with the sentiment of the market etc etc

Then once I know from my chart how I want to trade (or if I've got conflicting signals) then I look to the sentiment index to see how other traders are placed and usually go with the minority (because that's usually what my chart is saying as well)

A/U looks like a broadening pattern right angle-descending,according to Thomas Bulkowski this formation has a probability of 59% upward breakout and according to Robert Prechter this might be an broadening top formation

for Gold , I see a falling wedge, and according to T.B this one has a 68% probability of upward breakout

hi patince,
thanx for posting SSI report , I missed this one while I was attending my lectures, I was thinking of a short USDCHF again at higher level but for some reason I didnt take that trade , now I see your post and seeing all retailers longing that pair made me think what an opportunity I missed, well the good part is , there will always be another trade

hi puks , like your chart but here is my point:

1-why did you take short at that level, you should have sell limit order at 8890 not there- as a one touch trade-

2- why did you put your SL (hedge position at .8915 ) that should be above the R at .8930 - it might get there and just reverse (at .8915)

look at this chart

Hi mate,

That short was a limit sell order that got filled during the spike but I got out of the jail at B/E when it moved down last night.

Currently I dont have any position open. I want to short AUD but not against the USD. I am shorting it against EUR. I am long EURAUD from 1.5450 and will add more if it goes down to 1.53 because this is multi multi years low for that cross.

Cheers

here is what i see on E/A
+ COT net long A/U ,net short E/U > net short E/A^2
in summary, I dont touch it

Hi Shahab - it makes me wonder whether they are hoping to catch that ride on the SNB elevator

SSI: Retail GBPUSD Positioning Flips as Traders Grow Familiar with a Temporary Range
Thursday, 11 Feb 2010 19:32 GMT
Written by John Kicklighter

FXCM Speculative Sentiment Index (SSI) Statistics:



SSI Details:

EURUSD - The ratio of long to short positions in the EURUSD stands at 1.30 as nearly 57% of traders are long. Yesterday, the ratio was at 1.02 as 51% of open positions were long. In detail, long positions are 6.1% higher than yesterday and 24.4% weaker since last week. Short positions are 16.5% lower than yesterday and 14.2% stronger since last week. Open interest is 5.1% weaker than yesterday and 6.7% below its monthly average. The SSI is a contrarian indicator and signals more EURUSD losses.

GBPUSD - The ratio of long to short positions in the GBPUSD stands at 1.28 as nearly 56% of traders are long. Yesterday, the ratio was at 2.13 as 68% of open positions were long. In detail, long positions are 16.4% lower than yesterday and 9.9% weaker since last week. Short positions are 38.9% higher than yesterday and 50.5% stronger since last week. Open interest is 1.3% stronger than yesterday and 3.0% above its monthly average. The SSI is a contrarian indicator and signals more GBPUSD losses.

GBPJPY - The ratio of long to short positions in the GBPJPY stands at 1.41 as nearly 58% of traders are long. Yesterday, the ratio was at 1.81 as 64% of open positions were long. In detail, long positions are 7.2% lower than yesterday and 12.8% weaker since last week. Short positions are 19.5% higher than yesterday and 80.7% stronger since last week. Open interest is 2.3% stronger than yesterday and 15.6% above its monthly average. The SSI is a contrarian indicator and signals more GBPJPY losses.

USDJPY - The ratio of long to short positions in the USDJPY stands at 1.80 as nearly 64% of traders are long. Yesterday, the ratio was at 1.56 as 61% of open positions were long. In detail, long positions are 4.3% higher than yesterday and 9.2% weaker since last week. Short positions are 9.5% lower than yesterday and 43.8% stronger since last week. Open interest is 1.1% weaker than yesterday and 5.2% above its monthly average. The SSI is a contrarian indicator and signals more USDJPY losses.

USDCAD - The ratio of long to short positions in the USDCAD stands at 2.08 as nearly 68% of traders are long. Yesterday, the ratio was at 1.27 as 56% of open positions were long. In detail, long positions are 13.5% higher than yesterday and 43.8% stronger since last week. Short positions are 30.7% lower than yesterday and 45.8% weaker since last week. Open interest is 6.0% weaker than yesterday and 9.6% below its monthly average. The SSI is a contrarian indicator and signals more USDCAD losses.

USDCHF - The ratio of long to short positions in the USDCHF stands at 2.33 as nearly 70% of traders are long. Yesterday, the ratio was at 3.10 as 76% of open positions were long. In detail, long positions are 15.0% lower than yesterday and 103.6% stronger since last week. Short positions are 13.1% higher than yesterday and 25.7% weaker since last week. Open interest is 8.1% weaker than yesterday and 31.0% above its monthly average. The SSI is a contrarian indicator and signals more USDCHF losses.

AUDUSD - The ratio of long to short positions in the AUDUSD stands at -1.64 as nearly 62% of traders are short. Yesterday, the ratio was at -1.09 as 52% of open positions were short. In detail, long positions are 19.1% lower than yesterday and 35.5% weaker since last week. Short positions are 21.4% higher than yesterday and 93.6% stronger since last week. Open interest is 2.0% stronger than yesterday and 8.7% above its monthly average. The SSI is a contrarian indicator and signals more AUDUSD gains.

NZDUSD - The ratio of long to short positions in the NZDUSD stands at -1.22 as nearly 55% of traders are short. Yesterday, the ratio was at 1.10 as 52% of open positions were long. In detail, long positions are 6.0% lower than yesterday and 30.3% weaker since last week. Short positions are 25.6% higher than yesterday and 62.6% stronger since last week. Open interest is 9.1% stronger than yesterday and 8.6% above its monthly average. The SSI is a contrarian indicator and signals more NZDUSD gains.


USDX on lower timeframes is a mess. Doesn't seem to know what it's doing. But on the weekly, in relation to your question about whether the 200 MA on weekly chart would hold PA, it's doing a damn fine job of it at the moment. USD just taking a rest for a while?

Hi Shahab,
Thanks for starting this great thread ....actually i was looking for a way to further support my trade decision ... i had heard about COT & had a basic idea about it however never had a chance to really delve into it ...your post has made a it less time consuming to do the whole excercise ...while i am going through each of the page can you kindly provide the links to these charts and also when i go to CBT website i couldnt seem to find fx furtres report...can you please guide ...

Thanks in advance

Hi MktScape,
thanx for your comments, what websit are you looking at?
http://www.cftc.gov/marketreports/co...ders/index.htm

look at this one
, then go down the page , look at "Current Legacy Report" then
"Chicago Mercantile Exchange" long format and then you see all the futures report, among them are currencies
http://www.cftc.gov/dea/futures/deacmelf.htm

DJI shor/mid term beairsh flag/wedge

large instituts reducedheir long on A/U , from 33,271 to 27,606 contacts (net long)
we had COT index bearish extremes which showed us a correction higher and it proved right.
for this week there some points to be mentioned:
1-reduction in long
2-COT beairsh extreme/ we saw the upward correction for that already
3-a bearish sentiment in trend of positioning
4-I'll be more confident in a long term bearish if we see a new high and less net position (Div in net.p and new high)
conclusion:
if you are long from lower level stay long
otherwise sell on major R and Fib level

note the boxes on 2 year chart- bearish cycle (aug 08) followed by /bullish and then /beairsh cycle-according to net E/U position and trend+ note a major top were fromed in Div between net position and price -on aug08 and nov/dec 09

COT beairsh extreme 0 for some weeks , it not wise to fight the trend but we can try a long on a break above 1.3840

hi shahab
i read your thread. it seems so useful, and i like your plan for trade, you consider every thing in your trade plan which is what i so inclined to
but there is lots of question here about COT and how you use them.i will ask you as soon as i get familiar with the basics.
but thank you very much SHAHAB

hi again SHAHAB
it could be more helpful if you talk about the options in this picture and tell us how we could use them.
thank you

Non-Commercial are net long on Aud but the last week flipping was done and they have added more short positions and liquidating long positions.

I think there is a bit more downside before a bounce of any circumstance will be made. Much like you chart shows the rebound in SEP '08 could be big.

Hi, you can skip Window III (CIT) . for Window II, you can chose the Open interest (all the contract whether short or long) and use them as Volume- or you can use some ratio like (Large Long/ Large Short) and calculate the ratio and use it as SSI index (for that one you can use Sepc Long/Sepc Short) , for instance Long/Short >3 might indicate a reversal. there are lots of different combination that you can use . but I just look at Open Interest -as they tend to increase near a major move-