Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets

Advanced Positioning, Flow, and Sentiment Analysis in Commodity Markets

Positioning Analysis – What Is It?

The History of Positioning Data, the COT Report, and the Agencies that Provide the Data

Misunderstandings and Issues in Positioning Analysis

Futures and Options Data

The Structure of the Positioning Data

The Structure of Positioning Data

Positioning Data for the London Metal Exchange (LME) – The MiFID Classifications

Other Types of Positioning and Flow Data

The Structure of Commodity Markets

Performance Attribution – An Insight into Sentiment and Behavioural Analysis?

The Proliferation of Speculative Positioning Data

Why is Positioning Data Interesting

Measuring the Skill or Performance of MMs

Net Futures Positioning vs Net Trader Number Positioning or Alignment

Concentration, Clustering, and Position Size – Price Risks and Behavioural Patterns

Concentration, Clustering, and Position Size

Concentration, Clustering, Position Size, and Their Relationship to Price Over Time

‘Dry Powder (DP)’ Analysis – An Alternative Way to Visualise Positioning

Dry Powder (DP) Analysis

DP Indicator Variations

DP Indicators and Trading Signals

Advanced DP Analysis – Deeper Insights and More Variables

Advanced DP Indicator Charts

DP Indicators, Price, and Curve Structure

DP Hedging Indicators

DP Factor, Fundamental, and Currency Indicators

Decomposing Trading Flow and Quantifying Position Dynamics

Decomposing Net Positioning – The Methodology

Decomposing Long and Short Positioning – The Methodology

Who Has Been Driving Prices?

Who is Trading With Whom?

The Impact on Prices

Speed of Positioning Changes

Overbought/Oversold (OBOS) Analysis – The Intersection of Extremes

The Overbought/Oversold (OBOS) Philosophy

Constructing the Framework

The OBOS Concentration Indicator

Key Attributes of the OBOS Approach

Behavioural Patterns within the Boxes

OBOS Variations

The DP/OBOS Hybrid Indicator

Advanced OBOS Analysis – Extremes in Sentiment and Risk

The OBOS Framework – Clustering and Position Sizes

OBOS Factor Indicators

Commodity Risk Premia – Positioning Analysis and Risk Management

Sentiment Analysis – Sentiment Indices and Positioning Mismatches

The Difference between Trader Numbers and Open Interest

Trader Sentiment (TS) Indices

Mismatches in Positioning and Price Inflexion Points

Newsflow in Positioning Analysis

Newsflow Data in Commodity Markets

Building Basic Newsflow Indices

Combining Newsflow with Positioning

Economic Policy Uncertainty

Flow Analysis – The ‘Flow Cube’ and the ‘Build Ratio’ in Commodity Markets

The Flow Cube

The Flow Cube down the Forward Curve

The LBMA-i Trade Data

Chinese Commodity Markets – Analysing Flow

The Chinese Commodity Exchanges

The Size of the Chinese Commodity Exchanges

Speculative vs Hedging Activity in Chinese Commodities

The Flow Cube and Build Ratio in Chinese Commodities

The OBOS Framework and the Speculation Ratio

Machine Learning – A Machine’s Perspective on Positioning

Introduction to Machine Learning (ML)

Decision Trees

Feature Importance

Random Forests

Using ML to Trade