MIDAS and Total Open Interest

Total open interest is used in one type of COT report trading setup by Lien, it's the focus of an entire chapter in Williams (2005), and it's very guardedly recommended in Saettele (2008). As noted, the latter argues that there's no advantage to following total open interest if one is already studying the net positioning of the commercials and noncommercials.21 He points out that for those who do look at total open interest the orthodox interpretation is fairly compelling, since increasing open interest in both uptrends and downtrends is key to confidence that they'll continue. However, he objects that this is backward looking; it only tells us what has happened and not what is likely to happen. He concludes with ...

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