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Hi,
The Commodity Futures Trading Commission (CFTC) publishes extensive
data on the long and short positions of players in the futures
markets, called the Commitments of Traders report. There are 3
principal groups of players in the speculative game, measured by the
CFTC: the Commercials, the Large Speculators, and the Small Traders.
The commercials are the groups that also own the physical products or
service (mining companies, telecommunication companies, Internet
companies, farmers, millers, etc.,). This is the group that has
inside information and "knows what is going on in their sector." If
you can find out what the Commercials think and trade with them, you
should be OK, right?
Not quite. Commercials are very often "early" in their trading, so
they may be long or short well before the price turns. However, an
increase in commercial buying or selling may indicate an upcoming
trend-change pullback or a breakout. Large speculators consist
primarily of Investment (Institutional) funds and are usually trend
followers (continuation signal traders, not trend-change or breakout
signal traders). Small traders are the rest of us and are deemed to
be the ones who are less sophisticated and usually wrong.
A very powerful use of the Commitments of Traders data may be to find
a time when the Commercials and Small traders strongly disagree.
That may be a particularly good time to go with the the Commercials.
There are 2 kinds of Plots used for COT, Net Longs and COT Index.
There are several ways to interpret the COT data. The Commercials
are usually early, and the Large speculators are usually late. The
Large speculators are Trend Chasers. So, for those places where the
Commercials are at extreme low points and turning up, and the Large
speculators are at the opposite extreme and turning down, the market
will probably turn down shortly (vice-versa for an upside move). The
small speculators are usually trading with the primary trend.
The COT Index is the arithmetic sum of the net positions of all
traders. This gives an indication of the net bullishness or
bearishness in the market. In my view, Net Longs plot is more useful
because you can see the divergence between the Commercials and Large
speculators more easily.
The COT report also has Futures Stock Indices from all the major
exchanges in the world.
Regards,
Pal
(Closing the gap, one step at a time....)
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> HB,
> I use Quotes Plus for my EOD data. This info along with tons of
other
> valuable information is offered by the provider. The theory is that
if the
> institutions have little or no interest in a particular stock then
the
> stocks move may be less driven and more random....
>
> Regards,
> Jayson
> -----Original Message-----
> From: HB [mailto:hossamb@x...]
> Sent: Wednesday, September 24, 2003 7:19 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Sector and industry analysis
>
>
> Very interesting Jayson. How do you determine institutional
ownership ?
>
> HB
> ----- Original Message -----
> From: Jayson
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, September 24, 2003 12:59 AM
> Subject: RE: [amibroker] Sector and industry analysis
>
>
> Anthony,
> A lot of my work revolves around sector rotation. My methods may
not be
> exactly what is found on the larger sites who compare all stocks in
a given
> sector. Instead I filter my Universe of stocks to around 700 based
on min
> price, volume and institutional ownership. I then create sector
indexes with
> addtocomposite. From there I compare the relative strength of each
sector
> against the universe and measure it using linregslope to watch for
strength
> or weakness on a daily basis. FWIW here are my findings (short
term, 7
> days) as of the close of business today. The graphic shows the
current
> position of each sector as well as its history for the last 9 days.
The
> trend of each sector can be very telling. Notice that while
Internet has
> been out performing the Universe for 17 days that it is showing
signs of
> weakness the last 3. This type of behavior is a red flag for me
that would
> encourage me to tighten stops in long positions and perhaps look
for bearish
> patterns for Shorting opportunities.
>
> Regards,
> Jayson
>
>
>
>
>
> -----Original Message-----
> From: Anthony Faragasso [mailto:ajf1111@x...]
> Sent: Tuesday, September 23, 2003 9:33 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Sector and industry analysis
>
>
> Could someone let me know what Sector is outperforming the others
and What
> industry is outperforming the others.....I am trying to confirm my
> findings
> for both in Amibroker.
>
> Also, what is your source....AB, or some other site / platform....
>
> TIA
>
> Anthony
>
>
> ---
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