First, about facts nearly COT:
1) CFTC collects the reports of the give away of long too curt futures too options contracts ("open interest") held past times dissimilar types of firms past times Tuesdays, too reports them every Fri past times 4:30 CT.
2) Options positions are added to COT equally if they were futures but adjusted past times their deltas.
3) COT are too then broken downwards into contracts held past times dissimilar types of firms. The most familiar types are "Commercial" (e.g. an ethanol plant) too "Non-Commercial" (i.e. speculators).
4) Other types are "Spreaders" who concur calendar spreads, "Index traders", "Money Managers", etc. There are ix mutually exclusive types inwards total.
Since nosotros exclusively bring historical COT information from csidata.com, too they create non collect information on all these types, nosotros bring to trammel our acquaint analysis exclusively to Commercial too Non-Commercial. Also, beware that csidata tags a COT study past times its Tuesday information collection date. As noted above, that information is unactionable until the next Dominicus eve when the marketplace re-opens.
H5N1 uncomplicated strategy would locomote to compute the ratio of long vs curt COT for Non-Commercial traders. We purchase the front end contract when this ratio is equal to or greater than 3, exiting when the ratio drops to or below 1. We curt the front end contract when this ratio is equal to or less than 1/3, exiting when the ratio rises to or to a higher house 1. Hence this is a momentum strategy: nosotros merchandise inwards the same administration equally the speculators did. As most profitable futures traders are momentum traders, it would non locomote surprising this strategy could locomote profitable.
Over the catamenia from 1999 to 2014, applying this strategy on CME soybean futures returns nearly 9% per annum, though its best catamenia seems to locomote behind us already. I bring plotted the cumulative returns below (click to enlarge).
I bring applied this strategy to a few other agricultural commodities, but it doesn't seem to operate on them. It is thence quite possible that the positive final result on soybeans is a fluke. Also, it is really unsatisfactory that nosotros create non bring information on the Money Managers (which include the all of import CPOs too CTAs), since they would probable to locomote an of import rootage of alpha. Of course, nosotros tin decease conduct to the cftc.gov, download all the historical reports inwards .xls format, too compile the information ourselves. But that is a projection for about other day.
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My Upcoming Talks too Workshops
3/14: "Beware of Low Frequency Data" at QuantCon 2015, New York.
3/22-∞: "Algorithmic Trading of Bitcoins" pre-recorded online workshop.
3/24-25: "Millisecond Frequency Trading" live online workshop.
5/13-14: "Mean Reversion Strategies", "AI techniques inwards Trading" too "Portfolio Optimization" at Q-Trade Bootcamp 2015, Milan, Italy.
5/18-22: "Statistical Arbitrage", 'Quantitative Momentum", too "Millisecond Frequency Trading", London, UK.
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Managed Account Program Update
Our FX Managed Account program has a cyberspace provide of +7.68% inwards Feb (YTD: +8.06%).
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Follow me on Twitter: @chanep
