The Commitments of Traders Bible How to Profit from Insider Market Intelligence

CHAPTER 1 The COT—Assorted History 3 The Grain Futures Administration 3 The Commodity Exchange Authority 4 The Commodity Futures Trading Commission 5 The Modern COT Data 6 COT Options and Futures Combined Report 8 COT-Supplemental Commodity Index Trader Report 9 A Fable 11 CHAPTER 2 COT Reports—Counting 1, 2, 3 . . . 15 The Long Form 17 The Short Form 23 COT-Supplemental Commodity Index Report 24 CHAPTER 3 Player Introductions 27 Sizing Them Up 27 The Reporting System 31 Commercial Hedgers 31 Large Speculators 33 Commodity Index Traders 34 Small Traders

CHAPTER 4 Fading Small Speculators and Other Half-Baked Schemes 39 TIP: Always Follow Commercials 39 TIP: Net Long Is Bullish; Net Short Bearish 40 TIP: Always Fade the Small Speculator 43 TIP: It Is Only Logical to Compare Hedging to the Seasonal Average 43 TIP: The COT Is Old News by the Time It Is Released 45 CHAPTER 5 Net Positions 47 Open Interest 47 Constructing Net Positions Charts 47 Large Speculator Patterns 51 Commercial Patterns 56 Small Trader Patterns 59 Commodity Index Traders 60 CHAPTER 6 The COT Index 63 COT Index Calculation (Commercials) 63 Alternative Look-Back Periods 66 The COT Index as the Great Normalizer 67 Interpreting the COT Index 69 Heal Thyself 72 CHAPTER 7 COT Movement Index 75 Commercial Movement Index 75 40 Point COT Surge Rules (Commercials) 76 Combining the Indexes 77 Fund Movement Index 79 CHAPTER 8 View from the Gallery 83 Keynes’s Theory of Normal Backwardation 84 Can Speculators Forecast Prices? 85 Returns to Speculators and the Theory of Normal Backwardation 86 Returns to Individual Traders of Futures:Aggregate Results 87 Luck Versus Forecast Ability: Determinants of Trader Performance in Futures Markets

The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market 88 Hedging Pressure Effects in Futures Markets 88 Hedging Demand and Foreign Exchange Risk Premia 89 Investor Sentiment and Return Predictability in Agricultural Futures Markets 89 The Behavior and Performance of Major Types of Futures Traders 90 Exchange Rate Changes and Net Positions of Speculators in the Futures Market 93 The Profitability of Speculators in Currency Futures Markets 94 Summary 95 CHAPTER 9 View from the Pits 97 The Study Data 98 The Trading Rules 98 Trading Rules Test Results 100 Trading System Considerations 100 CHAPTER 10 Chart Pattern Validation 105 A Brief Charting Primer 105 Bottom Formations 106 Top Formations 108 Continuation Patterns 111 CHAPTER 11 Getting Technical 115 COT-Stochastics 115 COT MACD-Histogram 117 COT-RSI 120 Standard Deviation (Bollinger) Bands 121 Conclusions 122 PART II COT in Practice

CHAPTER 12 Crossing Currencies 127 Commercials 129 U.S. Dollar Index 129

Currency Correlation Tables 132 Currency Futures Historical COT Charts 133 CHAPTER 13 Taking Stock 145 The COT Beats the Averages 146 Stock Index Correlation Tables 148 Stock Index Futures Historical COT Charts 148 CHAPTER 14 Test of Metal 155 Marking Time in Gold 155 The Gold/Silver Ratio 157 The Copper Caper 157 Commercials 158 Metal Correlation Tables 161 Metal Futures Historical COT Charts 161 CHAPTER 15 Oil’s Slick 165 To an Uninterrupted Gasoline Supply 165 Commercial Hedgers 168 Petroleum Correlation Tables 168 Petroleum Futures Historical COT Charts 169 CHAPTER 16 Interest in Rates 175 What Drives Rates? 175 Commercial Hedgers 176 Treasury Futures Correlation Tables 176 Treasury Futures Historical COT Charts 176 CHAPTER 17 Bean Counting 183 The One That Got Away 183 Commercial Hedgers 185 Soy and Grain Correlation Tables 189 Soy and Grain Historical COT Charts 189

CHAPTER 18 Moonlighting 195 It Might Be Corny, But . . . 195 Small Can Be Beautiful

Commercial Hedgers 196 Livestock Correlation Tables 197 Livestock Historical COT Charts 201 CHAPTER 19 Cedeless Oranges 205 Continuous Commodity Index 206 Food and Fiber Correlation Tables 208 Food and Fiber Historical COT Charts 208 CHAPTER 20 Now You CIT, Now You Don’t 217 The COT-Supplemental Report 217 Historical COT-Supplemental Charts 218