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Pal
wrote: 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.
<SPAN
class=864261819-24092003>
<SPAN
class=864261819-24092003>Pal,
<SPAN
class=864261819-24092003>Because of the Lag and lead time challenges of using
COT data I have always found it to be more useful in hindsight than in RT. I
seem to recall some work was done a while ago on this site using the data as a
filter to attempt to be on the same side of a trade as the commercials. Perhaps
it is worthy of re-visiting...
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: palsanand
[mailto:palsanand@xxxxxxxxx]Sent: Wednesday, September 24, 2003 3:12
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Sector and industry analysisHi,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@xxxx]> 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@xxxx]> 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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