Commitment of Traders Report – Sample

Content

Overview

Update Schedule: Weekly

Dashboard:
The CoT Dashboard shows the CoT Index values for Large Speculators and Commercial Hedgers as well as a proprietary time-series momentum score ranging from 0 to 100 percent for the past 2 months for each relevant futures market on a single chart. The aim is to identify establishing trends or major inflection points which are supported by corresponding CoT Index values of Large Speculators above 70 in a timely manner.

CoT Index:
The CoT Index is an extremely useful indicator as its number reflects where the current net position ranks as a percentage (between 0 and 100) of its range over the past 3 years. As a result, the CoT Index highlights extremes in net positions within each group and is, therefore, often used as trade alert or trade setup.

Signals:
Bullish: CoT Index values (Large Speculators) above 70 percent or CoT Index (Commercial Hedgers) values below 30 percent.
Bearish: CoT Index values (Large Speculators) below 30 percent or CoT Index (Commercial Hedgers) values above 70 percent.

Additional Useful Signals:
Bullish: Momentum Score > 50 percent
Bearish: Momentum Score < 50 percent

Update Schedule: Weekly

Net Positions:
For each futures market the net number of positions (longs minus shorts) held by Large Speculators, Commercial Hedgers and Small Speculators is shown for two different time periods (enlarged and extended view).

Signals:
Bullish: Net positions of Large Speculators above net positions of Commercial Hedgers.
Bearish: Net positions of Large Speculators below net positions of Commercial Hedgers

Additional Useful Signals:
Extreme net positions of Large Speculators and Commercial Hedgers

CoT Index:
For each futures market the CoT Index for Large Speculators and Commercial Hedgers is shown for two different time periods (enlarged and extended view). The CoT Index is an extremely useful indicator as its number reflects where the current net position ranks as a percentage (between 0 and 100) of its range over the past 3 years. As a result, the CoT Index highlights extremes in net positions within each group and is, therefore, often used as trade alert or trade setup.

Signals:
Bullish: CoT Index values (Large Speculators) above 70 percent or CoT Index (Commercial Hedgers) values below 30 percent.
Bearish: CoT Index values (Large Speculators) below 30 percent or CoT Index (Commercial Hedgers) values above 70 percent.

Additional Useful Signals:
Extreme levels of the CoT Index

Chart Details:
According to the selected view, the return of the underlying futures market (non-adjusted but continuously linked futures contracts) within a pre-defined time frame is shown as percentage number in the upper part of the chart. The pre-defined time frame depends on the selected view. Enlarged charts are subdivided on a quarterly basis, whereas extended charts are split into yearly sub periods.

Commitment of Traders Report
In 2012, Moskowitz, Ooi and Pedersen showed that large traders trade with time series momentum, being positioned, on average, to take advantage of the positive trend in returns and reducing their positions when the trend begins to reverse. As a result, large traders are profiting from time series momentum at the expense of commercial hedgers.
Consequently, a classic bullish set-up for a given market would be when large speculators are net long and commercial hedgers are net short. This result was also confirmed by Wang (2001), who showed that a trading strategy following large changes in speculator positions and/or contrary to large changes in hedger positions is significantly profitable in most agricultural, commodity, and currency futures markets.

Commercial Hedgers: 
This group is involved in the day-to-day operations of each commodity. They use futures markets only to hedge their positions to smoothen the impact of huge price swings on their balance-sheet.

Large Speculators (aka Managed Money/Large Traders):
Also known as Smart Money. This group mostly consists of large pooled funds, and almost always take the opposite side of commercial traders. They are primarily trend-followers who profit from the time series momentum at the expense of commercial hedgers

Small Speculators:
These are smaller traders. The position of Small Traders is calculated by subtracting the total of contracts held by the reporting groups from all the contracts outstanding (Small Traders are not required to report their positions).

Currencies

Energies

Grains

Indices

Livestock

Metals

Rates

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