Commitments of Traders Bible

Stephen Briese is the leading expert on analyzing the Commitments of Traders data published by the Commodity Futures Trading Commission. Briese has published a newsletter, Bullish Review, since 1988 and has written articles for several industry publications and spoken at a variety of industry trading and technical analysis conferences.

"…best book I have read on the COT reports...will give you a better understanding of how the commodity markets work..." (About.com: Commodities)

• List of Illustrations xiiiList of Tables xixPreface xxiAcknowledgments xxvPart I COT TheoryChapter 1 The COT—Assorted History 3The Grain Futures Administration 3The Commodity Exchange Authority 4The Commodity Futures Trading Commission 5The Modern COT Data 6COT Options and Futures Combined Report 8COT-Supplemental Commodity Index Trader Report 9A Fable 11Chapter 2 COT Reports—Counting 1, 2, 3 . . . 15The Long Form 17The Short Form 23COT-Supplemental Commodity Index Report 24Chapter 3 Player Introductions 27Sizing Them Up 27The Reporting System 31Commercial Hedgers 31Large Speculators 33Commodity Index Traders 34Small Traders 36Chapter 4 Fading Small Speculators and Other Half-Baked Schemes 39TIP: Always Follow Commercials 39TIP: Net Long Is Bullish; Net Short Bearish 40TIP: Always Fade the Small Speculator 43TIP: It Is Only Logical to Compare Hedging to the Seasonal Average 43TIP: The COT Is Old News by the Time It Is Released 45Chapter 5 Net Positions 47Open Interest 47Constructing Net Positions Charts 47Large Speculator Patterns 51Commercial Patterns 56Small Trader Patterns 59Commodity Index Traders 60Chapter 6 The COT Index 63COT Index Calculation (Commercials) 63Alternative Look-Back Periods 66The COT Index as the Great Normalizer 67Interpreting the COT Index 69Heal Thyself 72Chapter 7 COT Movement Index 75Commercial Movement Index 7540 Point COT Surge Rules (Commercials) 76Combining the Indexes 77Fund Movement Index 79Chapter 8 View from the Gallery 83Keynes’s Theory of Normal Backwardation 84Can Speculators Forecast Prices? 85Returns to Speculators and the Theory of Normal Backwardation 86Returns to Individual Traders of Futures: Aggregate Results 87Luck Versus Forecast Ability: Determinants of Trader Performance in Futures Markets 87The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market 88Hedging Pressure Effects in Futures Markets 88Hedging Demand and Foreign Exchange Risk Premia 89Investor Sentiment and Return Predictability in Agricultural Futures Markets 89The Behavior and Performance of Major Types of Futures Traders 90Exchange Rate Changes and Net Positions of Speculators in the Futures Market 93The Profitability of Speculators in Currency Futures Markets 94Summary 95Chapter 9 View from the Pits 97The Study Data 98The Trading Rules 98Trading Rules Test Results 100Trading System Considerations 100Chapter 10 Chart Pattern Validation 105A Brief Charting Primer 105Bottom Formations 106Top Formations 108Continuation Patterns 111Chapter 11 Getting Technical 115COT-Stochastics 115COT MACD-Histogram 117COT-RSI 120Standard Deviation (Bollinger) Bands 121Conclusions 122Part II COT in PracticeChapter 12 Crossing Currencies 127Commercials 129U.S. Dollar Index 129Currency Correlation Tables 132Currency Futures Historical COT Charts 133Chapter 13 Taking Stock 145The COT Beats the Averages 146Stock Index Correlation Tables 148Stock Index Futures Historical COT Charts 148Chapter 14 Test of Metal 155Marking Time in Gold 155The Gold/Silver Ratio 157The Copper Caper 157Commercials 158Metal Correlation Tables 161Metal Futures Historical COT Charts 161Chapter 15 Oil’s Slick 165To an Uninterrupted Gasoline Supply 165Commercial Hedgers 168Petroleum Correlation Tables 168Petroleum Futures Historical COT Charts 169Chapter 16 Interest in Rates 175What Drives Rates? 175Commercial Hedgers 176Treasury Futures Correlation Tables 176Treasury Futures Historical COT Charts 176Chapter 17 Bean Counting 183The One That Got Away 183Commercial Hedgers 185Soy and Grain Correlation Tables 189Soy and Grain Historical COT Charts 189Chapter 18 Moonlighting 195It Might Be Corny, But. . . 195Small Can Be Beautiful 196Commercial Hedgers 196Livestock Correlation Tables 197Livestock Historical COT Charts 201Chapter 19 Cedeless Oranges 205Continuous Commodity Index 206Food and Fiber Correlation Tables 208Food and Fiber Historical COT Charts 208Chapter 20 Now You CIT, Now You Don’t 217The COT-Supplemental Report 217Historical COT-Supplemental Charts 218Epilogue 233Appendix A: Alternative Net Position Formulas 237Appendix B: Dodging the Pitfalls in COT Data 243References 251Glossary 257About the Author 269Index 271