How to analyse the Commitment of Traders Report

I feel very strongly about the value of this information and about helping yourself to discover what it contains.

I am trying to keep my activity on twitter to a minimum and using what I wrote to focus and to journal ideas. Here is what I wrote about COT data which would have helped you prepare well in advance for what happened in Equities and Gold yesterday.

twitter cot

You can quickly find COT data on http://www.investing.com/indices/us-spx-500-futures

inv

You can also look on http://www.cmegroup.com/trading/equity-index/cftc-tff/main.html

cme cot

and for metals etc – can see producers shorting gold heavily above 1300 – enough said

http://www.cmegroup.com/trading/metals/cftc-tff/main.html

cme gold

The CME are using the more up to date categories but I prefer the old ones as you have more data and reference material which is old uses those.

CME also don’t net the figures which I think is bad. Either way the charts are maintained for free and you can see week on week changes without having to pay anyone.

I will share with you how to do it yourself. It wont have price on it unless you add it and that helps a lot if you are reading the COT books (i started with Briese and then Upperman – the latter is easier to digest but they took me 6 months to get my head around the complexities and the use for extreme cases and how you can use the subtle weekly changes as a partially outdated road map).

You should be doing this every weekend as part of routine and trade planning.

1. go to http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm

cftc

Download the dea com xls for 2015 – if you want more data then you to stitch the files together.

Instructions are on the following images:

create_cot_report

Here is the output and to be honest leveraged money is now nearly neutral from long and the last few days of the week past didn’t do much for professional support for the long side. I will post a chart with long term levels to try to gain some insights from the past.

chart

You may want to add prices (data for many instruments available on quandl.com). You need to write some code to put the COT and price together. If anyone has gotten this far in the post and wants to know how to do this I will share it – just leave a comment. Basic programming is a requirement for many prop trading companies and you should not be afraid of doing it. Just think you are up against phd quants and hedge funds who are looking for the tiniest edge so you better get one too.

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2 thoughts on “How to analyse the Commitment of Traders Report

  1. Hey Mate , Yes i think posting the code is a good idea to help those learning , a lot of this may be intimidating to some which may cause them to shy away from asking for more but i know how good you are at this and i would like to see your posts contain more info on performing the studies that you are kind enough to share , very much the same concept we all had at Rob Spain Trading that you did so well at.
    Very solid information in this post , thank you for sharing .
    Mark

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