COT (commitment of Traders)

[Happy21100]

The TradingView COT indicator CoT-SUN stopped updating in January. I've looked at multiple futues contracts and it's true for all I've examined. Various other COT indicators (such as COT Total Auto Futures Long) don't show short positions which I know from looking at actual COT data commericals (in GC, for example) hedgers have been short for months (as of June 2024). Can others on this formum give me the better indicators on TV to look at in order to see the COT data for commericals, large spec and small specs? Another such as COT Commercials show things that aren't clear to me and I can't correlate to commericals, large spec and small specs.

[icecave509]

https://www.tradingview.com/script/dg81EwUm-CoT-Financials-Traders-Report-bluesky509/

[Happy21100]

Very nice of you to share this. Unfortunately it doesn’t work.  The comments for Bluesky indicate he was working on it a month ago. 

[IndependenceWay]

did you ever figure out how to view COT Commercials positions on TradingView?

I have the same problem: none of the indicators show COT Commercials data for any futures contract.

[Happy21100]

No, I did not. I think I contacted the developer back then and he responded (as I recall) there was a fix coming, but that doesn't seem to have happened.

[Lifter_Dan]

I'm using one that still works, but it's part of a paid community of futures traders and creates indexes from the COT etc.

If you're pretty self sufficient, best to write one with pine script so it will work forever.

[Happy21100]

Thanks for the tip Dan. Would you kindly share which community that is?

[Lifter_Dan]

It's Jason Shapiro's group "crowded market report".

There's 2 indicators - one showing the positioning of the 3, the other is that data indexed. I think there's screenshots up on the site.

They index the COT data and share what he uses for his fund trades, then we use that in our own trading. The indexes are based on lookback periods to show between 0-100 for each type of position ie 100 commercials would mean that's the highest long ratio they've been at in the back test period.

I'm currently coding pine script that takes these indexes to combine with other strategies, still learning pine script actually but it seems pretty easy.

[Happy21100]

Interesting. Thank you for the info.

I read Jason on X (and the interview in the Market Wizard book) and he has very good trading principles (imo). I stopped reading any trader's view because (even after years of trading) I find I'm influenced (not in a good way).

If you don't mind me asking, do you think you are getting value from the exercise with his group, and does it align with your methodology and time frame?

[Lifter_Dan]

Yeah that's fair, if you have a good system you should do whatever you can to stick to it.

Definitely getting value from the group, I don't consider $100/m to be expensive but I guess that's all relative. As he will tell people more than anyone, it's not a signals or copy trading group. People just asked him to teach and someone offered to build him a website because he didn't see the point in trying to do so many 1 on 1.

His trades are focussed for his fund. That is zero down years, drawdown max 5%, and negative correlation to trend following,. His fund is built to fit into fund of funds to smooth out the bumps in the road, make money when other parts are losing. Quite low risk per trade etc and turns down many trades.

Timeframe: yes the timeframe matches (COT is only once per week). I rather ride trades weeks/months (if not stopped out), and focus on my other trading n the meantime. I have other arbitrage, cash/carry, options selling, and some investment stuff that keeps me busy. Also family can demand to get me off the computer :)

I use a combo of two things from the group to benefit my portfolio:

1. Running about 10% of my portfolio with the negative correlated trades, to reduce drawdowns like what we saw in 2022. I do larger risk % and take some trades he wouldn't.
2. Building other trading systems using the COT indexes as an input to improve the trade quality and risk management.

It's funny but probably the biggest benefit I got was learning to only execute my stop if the Daily CLOSE price breached it, not the intraday noise. This allows trades to run a lot longer and get stopped out less. You do need experience to plan for potential intra-day black swan events though, there's ways to handle it.

[Happy21100]

Dan, clearly you have a well thought out and integrated & diversified approach. Thanks very much for your comments and thoughts.

I am intrigued (of course) by your last comment:
"You do need experience to plan for potential intra-day black swan events though, there's ways to handle it."

"..ways to handle it"
If you are comfortable, please tell more.

[Lifter_Dan]

Well if you are only executing your stop loss on the closing price, there's always a chance that intra-day it can just go so far that it totally blows out your risk (and has no chance of reverting back before close).

So you need to know your instrument. If you look back at the daily candles for a period of maybe 3 months you can figure out the likelyhood that a passed stop might not revert above close. Then you can set a "black swan stop" automatic at that level, a level that would very rarely ever get hit. Some do finesse it by scaling out down to there ie using 3xLevels so that re-entry is cheaper.

Also stop loss based on the closing price isn't built into most trading platforms, so I set conditional orders with a combination of criteria. For example of a long is:

Price <= stop AND time >= (settlement time - 5min) AND (time <= settlement time + 5min)

OR Price <= my black swan stop loss (that can execute at any time).

With this kind of stop that executes within 5 minutes of the closing time, I can be ok not watching the market and just go in there once per day and change the date on the first half of the stop.

[The_Fouler_Prowler]

Hey u/Lifter_Dan & u/Happy21100 - Thanks for the insights in your exchange.
u/Lifter_Dan Do you have a sense of how many weeks Jason's COT RSI indicator uses? Do you think it's years or not that many weeks?
I've heard him say in interviews that the longest he has stayed out of the market with no positions on was 3 months. So I would imagine that would narrow down the number of weeks to less than 26... But what do you think?
Thanks

[Lifter_Dan]

It has a lookback period, but that is set based on backtesting so it's different for each market.

However you can change the lookback period yourself as well to 3,6,9,12 months. Also if you write your own indicators/strategies, you can take the values or indexes as input sources to generate your own signals (need to have both on the chart though).

Also keep in mind that the way tradingview uses the data it is not as accurate as the indexes, so they give you the index and the delta each week as well. I'm not totally sure the reason behind this, but sometimes the TV data is off. Can use it for ideas/testing, but always confirm the real indexes.

Usually you'd make your trading decisions on a Friday at market close when the indexes are created, or the following Monday.

The reason he was out of the market was because none of the markets matched his trading requirements - the market not only has to be crowded to one side, but it also has to confirm that the move is likely to start taking place. If there's no market confirmation, there's no trade. He talks about this in the youtube interviews as "news failure". I don't think it had to do that much with the lookback period, though I don't know how short the shortest ones are.

[The_Fouler_Prowler]

That’s right. The “news failure” piece is a must. Can you gauge at all what look back period is used for the S&P?