MIDAS and COT Report Timing

At this juncture, then, we know where current expertise places the emphasis in reading the COT report, and we also understand more about the key indicators used on these data, which (with the exception of Briese's COT Movement Index) focus on market extremes. As also noted, the major problem with these indicators is in their timing of the extremes, for even though they can identify them well, they can't always identify their ends. With this in mind, it's now time to consider how we might use the MIDAS tools in relation to these findings.

At first sight, it may seem that we've run into a problem insofar as the majority of these techniques focus on net positioning data. Recall that the MIDAS tools cannot process negative ...

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