Commitment of Traders

Last Updated on 27 September 2022 by automiamo.com

The Commitment of Traders (COT) report is a weekly publication that shows the aggregate holdings of different participants in the U.S. futures market.

My backtests, using these conditions:

Trend following strategy: LONG in the week, if long % positions on relative forward contract are greater than previous data, else SHORT

Contrarian strategy: SHORT in the week, if long % positions on relative forward contract are greater than previous data, else LONG

Bitcoin

COT Data for BTC Future. Horizontal red line is 50% long positions by investors (Small, Large and Commercial)
Seems that good options are being following Large Investors or being contrarian than Small Investor, as strategy’s equity line is greater than buy&hold strategy’s equity line at the end of backtest.

Soybeans

The best option soybeans and COT is being in line (trend following strategy) with the Commercial Traders, as the steady equity line since 2014.

Gold

Since Feb 2021, Contrarian strategy’s equity line is increasing, filtering on Commercial Traders.
Since Feb 2021, Trend following strategy’s equity line is increasing, filtering on Large Traders.

Giancarlo Pagliaroli

Disclaimer: The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by me.

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Una risposta a “Commitment of Traders”

  1. Added new report COT on BTC: Seems to be good options being following Large Investors or being contrarian than Small Investor

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