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COT report and Eur/Usd: profits from the Forex Mega-trends

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От 21 октомври 2011

I always wanted to have a system able to profit from the Eur/Usd mega trends. Yes there are some really mega trends. 

I have been back testing the COT report from a year now. I would like to share two things.

1. The COT report can be used as a valuable tool, indicator for a trend trending system profitting from the Eur/Usd megatrends. From one hand every day trader need to diversify through time frames on the other hand it is possible to have a nice system and to be in the game without the hard day to day analysis.

And as a trading system does not have to be difficult here there is a very simple system. Unfortunately there is one problem, there are quite a few opportunities per year.

First I would like to make a shot of the technical signals and the COT report. You know during that year there have been some very clear technical signals. And those signals have been confirmed by the COT report. Mainly we are tracking the big money. 

Whe look what is the net position of the big Monney, large speculators. And we go with them. The signal is

-when there is a transition through the zero point. 

-that happens to a place where there is a very clear technical analysis signal.

-we have aconfirmation with a trained system that gives us a signal.

On the other hand the other visual pattern is when the large speculators buy too much and the overbought level is reached. Then we could expect a reversal. Those moments are much more unpredictable.

 

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От 21 октомври 2011

 

I made a model with the Rapid - Miner authomatic classification model generator. Here I use as inputs:

High, Open, Low, Close, Volume, SSA end pointed lag 30 bars 3 computations, Lage speculators net buy, Large speculators net Sell.

The classification and what I am trying to predict.

if  SSA end pointed lag 30 bars 3 computations if the current week is > of the  SSA end pointed lag 30 bars 3 computations

The model was able to solve the problem with a very high rate of accuracy 90 % with the Support Vctor Machine model. The authomatic system generator is building and optimizing the model giving you the C and Gamma values.

Unfortunately I did not deploy the model I only trained it LOL. 

 

 

Comments

  • JohnLast 2174 days ago
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    От 02 ноември 2011

    Here I would like to show another shot with COT charts.

    It really matters to monitor the order flow of the non - commercials. Now it looks like there is a shift in their order flow, like they are liquidation short positions in EURUSD. This is just a shift but still it is worth to mention it. For me it means that the short forecast is not so clear at all. Well it is difficult time for forecasters right now.

     

  • JohnLast 2038 days ago

    Here some months later what happens with the COT report. You can see that there is really not such thing as over bought levels in the COT report. We were boyound any historical levels.

    As for the patterns there are two obvious patterns. And the COT report on EURUSD can be interpreted as a common MACD.

    1. Above or below of the center line of the Green line: the large traders

    -above the center line the large traders have overall bullish bias

    -below of the cetner line the large traders have bearish bias

    2. Immediate direction of the order flow of the Large speculators.  

    Two situations are at hand the the line iis going up or the line is going down. No need to complicate more.

    What is the situation now on EURUSD according to the COT report.

    -The overall bias is bearish: the green line the large speculators are short and the large traders are long (they are hedging)

    -The numbers can't help much 

    -The immediate direction of the green line is up: some reduction of the number of short contracts

    -The chart patterns are ranging

    Really right now it is not the moment for making a long term forecast.

     

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  • JohnLast 1653 days ago

    COT charts 537 days later on weekly charts.


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    От 16 декември 2011