Cybernetic Trading Strategies: Developing a Profitable Trading System with State-of-the-Art Technologies

5

The Commitment of Traders Report

Have you ever wished you knew what position great traders like John Henry and Paul Tutor Jones currently had open? With this information, you would, in effect, have access to all of the research they paid millions of dollars for, and you would he able to piggyback their trades.

This information is available to you, a few days after the great traders have made their moves, in a report called the commitment of traders (COT) report, published by the Commodity Futures Trading Commission (CFTC). The COT report tells how many contracts large professional traders are currently long or short.

WHAT IS THE COMMITMENT OF TRADERS REPORT?

The COT report gives the actual numbers for the three major groups of traders: (1) commercial, (2) noncommercial, and (3) small traders. Commercial traders are hedgers who are trading a given commodity because they have a business that produces it or they need it as an ingredient or material in a product. For instance, Eastman Kodak, which depends on silver, may hedge against a rise in silver prices. Noncommercial traders, such as commodity funds, are large speculators. Small traders—small hedgers and speculators—are in a class called nonreportable.

The COT report was first published during the 1970s and was halted during 1982. From 1983 to November 1990, the report was released monthly. It was then published twice a month ...