COT report: “long-short ratio” in the S&P futures declined by 14.8 percentage points.
By Daniel at 26 October, 2009, 8:26 am
The “commitment of traders” (COT) report on Friday evening showed the “long-short ratio” in the S&P futures declined by 14.8 percentage points. This is not a huge drop but it may warrant some caution for this week.
I have been developing a trading system based on the COT report. The COT data comes out once a week so the system is weekly. If a buy or sell signal is generated (S&P futures), the trade is closed out on the following Friday…so you’re holding that trade for a week. Still assembling data, but it goes back to January 2007 so far. Track record:
20 wins
6 losses
635% return assuming the minimum margin (about $3,500 on the e-mini)
Again, the drop in the long short ratio was not anywhere near as large as the moves that signaled major turning points in the market. Having said that, it was large enough to generate a “sell” signal in the futures based on the system.
Time for a little caution?
Disclaimer: What the hell do I know?
- Vics
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