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COT report
Started:July 19th, 2014 (10:36 PM) by strike333 Views / Replies:1,063 / 11
Last Reply:August 14th, 2015 (02:49 PM) Attachments:0

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COT report

Old August 14th, 2015, 02:42 PM   #11 (permalink)
Elite Member
San Diego, CA
Futures Experience: Intermediate
Platform: x_trader pro, Excel
Broker/Data: Advantage
Favorite Futures: CL
baywolf's Avatar
Posts: 45 since Sep 2009
Thanks: 22 given, 18 received

free COT reports are also aggregated through Quandl

If you are backtesting, keep in mind that the reports are lagged a few days to begin with. The COT site says the reports released on Friday represent the numbers taken on Tuesday of that week. One can create multiple lagged datasets (COT_soybean_oldcrop_lag1weekPrevious, COT_soybean_oldcrop_lag1week, COT_soybean_oldcrop_lag2weeks) to see if any one dataset gives you any insight to how much, if any, correlation to prices.

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Old August 14th, 2015, 02:49 PM   #12 (permalink)
Patience my young padawan
Houston, TX/USA
Futures Experience: Intermediate
Platform: NinjaTrader TWS Barchart
Broker/Data: IB / IB
Favorite Futures: ES & looking into commodities
ElChacal's Avatar
Posts: 306 since Nov 2014
Thanks: 367 given, 182 received

I am studying it along with spreads to see if I can make any sense out of the price movement for a given week but despite all my backtesting I was not able to come up with a good "mechanical" strategy.

I will probably use it but on a discretionary basis only and with certain instruments, not any financial instrument.

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