29 replies to this topic

[Iblayz]

I will correct myself. I went back to the CFTC site and read the classification info again and it is true that traders are identified as "reportable first" and then classified as "commercial" or "non-commercial" based on their use of the futures contracts. Both represent large sums of money. However, my statement about the time when I think the market is "at risk" stands.

[jmicou]

This thread sure took a turn. Anyway, here is another COT chart that may be of interest.

[redfoliage2]

Here are a few SPX COT charts:

My ignorance: Are the dates on these COT charts reflect the reporting dates or the dates on which actual positions were calculated? If there is a significant delay in time, the data may not be much useful as an indicator for the market direction.

Edited by redfoliage2, 09 April 2007 - 04:00 AM.

[jmicou]

From the commission, "The Commitments of Traders reports are released at 3:30 pm Washington D.C. time. The "futures only" and "futures and options combined" reports are usually released Friday. The release usually includes data from the previous Tuesday. Due to federal holidays, reports may be released one day later. Please recall that Good Friday is not a federal holiday." The value I find with the reports is when they are reflective of extremes and as an longer time frame indicator. Like some others, having indicators on mulitple time frames reflecting varying differing dimensions yields a more complete perspective about the markets.

Edited by jmicou, 09 April 2007 - 05:12 AM.

[TTHQ Staff]

You might find these dollar weighted contract charts of interest. From personal observation, the NDX Mini Non-Commercial seems helpful:

Thanks.....Where are you getting the data from?

[jmicou]

Based on publicly available data: COT

[OEXCHAOS]

Based on publicly available data: COT

How are you calculating the $-weighted stuff?

Mark

[jmicou]

Based on publicly available data: COT

How are you calculating the $-weighted stuff?

Mark

These charts are to reflect net positions, so it is net times contract $s.

[Iblayz]

Based on publicly available data: COT

How are you calculating the $-weighted stuff?

Mark

Not sure if jmicou's method is similar but Lee over at Marketswing combines all of the COT data in dollar weighted fashion. Explanation here...



http://marketswing.com/COT/COT.htm

[jmicou]

Based on publicly available data: COT

How are you calculating the $-weighted stuff?

Mark

Not sure if jmicou's method is similar but Lee over at Marketswing combines all of the COT data in dollar weighted fashion. Explanation here...



http://marketswing.com/COT/COT.htm

Thank you for posting that! Went back through my formulas, which should have arrived at the same. My formulas would significantly overstate the dollar amounts. However, the movement of the $Wtd indicators is the same and the NDX Non-Comm Mini still represents more dollars doing into it than the big contract, which is the main aspect I wanted to see by taking this approach. I am reworking my spreadsheets to match with theirs, so as to have an apples-to-apples approach.