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The CFTC site publishes commitment of traders data back to 1986. This is
my attempt to duplicate Curtis Arnolds COT Index. The results are
interesting. Some of the signals were way to early to trade and some were
very accurate. The delay in getting updated data is also a problem. It
does seem to be a good indicator of what the "Professionals" are doing
and useful as a sentiment gauge. For those interested I simply netted out
the commercials with the non-commercials.
Ron McEwan
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