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My COT signals - Results from 1995-2006


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#1 danzman

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Posted 27 December 2006 - 10:12 PM

I think perhaps a few here take a look at the signals generated by my

mechanical system that uses ONLY the small speculator COT data

from the SP big contract.



I decided to change the code a bit so it doesn't use moving averages

to trigger the signal. In other words, no price confirmation from the

S&P 500 index itself.



Well, here's the results:



Posted Image



Posted Image



The system doesn't trade much...about 3 round trips a year. The win % is

87.1%. Winners are about 5X bigger than losers. The results above are using

margin, but I suppose the new ETFs can be used without margin for a retirement

account. The system is always in the market -- long or short.



It's kind of funny 'cause this system is so simple. It performs almost as well as

other short-term trading systems I have (although the MAR is only 1.46 for this

system, while the others are above 3).



It pays to think outside the box when coming up with systems/trading methods.

Everyone looks at the COT data, but there's still gold in there if you know where to

find it. I suggest going with a mechanical system and test, test, test with whatever

data you perceive as giving you an edge.



Still long....I no longer expect a change in signal any time soon.



D
I don't make predictions, I just react.

#2 IndexTrader

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Posted 27 December 2006 - 10:16 PM

I thought this was on a sell provided the moving average thing was not applied....or did the sell it was on just fail? IT

Edited by IndexTrader, 27 December 2006 - 10:17 PM.


#3 dcengr

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Posted 27 December 2006 - 10:22 PM

Beats me what you see in this...

Posted Image
Qui custodiet ipsos custodes?

#4 danzman

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Posted 27 December 2006 - 10:38 PM

I thought this was on a sell provided the moving average thing was not applied....or did the sell it was on just fail?

IT





When I took away the MA confirmation, I changed a couple settings. I thought there might be

a sell, but the system says no....at least for the next few weeks. I'll post the next sell signal

when it comes. I'll try to make it just a black or white signal...no "if, then" statements. Just

buy or sell short.





dcengr: It's good that it's tough to see. It might last another decade before others catch on.

Perhaps there's other contrarian data I could apply this method to. I'm always on the lookout.

However, I'm getting burned out on designing systems at the moment. I've been at this game

too long.



D
I don't make predictions, I just react.

#5 dcengr

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Posted 27 December 2006 - 10:44 PM

Well if I invert that chart of mine, then lagged SPX by a few weeks, I guess there's a pattern that sort of matches.. thats all I can see at the moment. In other words, it would seem that the rise in SPX is mainly an inverse drain of the SP $ amount lagged by a few weeks.

Shrug.

Posted Image

Edited by dcengr, 27 December 2006 - 10:52 PM.

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#6 CLK

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Posted 27 December 2006 - 10:47 PM

Beats me what you see in this...

Posted Image




Looks to me like they sold early and stayed short until late,
finally capitulating, looks bearish to me.

#7 swingtrader

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Posted 27 December 2006 - 10:54 PM

I remember you posted that your COT system gave you a sell early Dec. And I remember you said that "the signal works like clockwork". Maybe I did not follow all your post. But, if you adjust your system to make the past looks perfect. It is useless.

#8 dcengr

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Posted 27 December 2006 - 10:56 PM

I remember you posted that your COT system gave you a sell early Dec. And I remember you said that "the signal works like clockwork". Maybe I did not follow all your post. But, if you adjust your system to make the past looks perfect. It is useless.


As I recall, he said he need price confirmation. Guess he didn't get it.

The theory I put up is sort of sound.. the market maybe able to drain the $s of all SP traders over time, until the bull market ends :lol:.

Certainly, that chart of long-short continually deteriorating while the SPX continually goes up must mean something :wacko:
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#9 LongShort168

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Posted 27 December 2006 - 11:22 PM

I remember you posted that your COT system gave you a sell early Dec. And I remember you said that "the signal works like clockwork". Maybe I did not follow all your post. But, if you adjust your system to make the past looks perfect. It is useless.



one can change one's mind when trading the history price... :D

Edited by fool_bush, 27 December 2006 - 11:23 PM.


#10 bln

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Posted 28 December 2006 - 01:04 PM

Just curious, how many SP points net profit did the system make for each year between 2001 - 2006?

Edited by bln, 28 December 2006 - 01:08 PM.