MIDAS Technical Analysis: A VWAP Approach to Trading and Investing in Today's Markets

Comparing the Commercial Net Positioning Indicators with MIDAS using Noncommercial Net Positioning Data

Let's make a start with Figure 12.8, which is a weekly chart of continuous rough rice futures. The indicator in the topmost window is the COT Index, which we already examined when I constructed it out of total open interest data. Here it is created from commercial net positioning data in the middle pane (with noncommercial data beneath). The focus of the chart is the parabolic uptrend between the two outer vertical lines. Notice first that the COT Index gives a buy signal as it drops below the 80 level fairly soon after the trend accelerates (remember that the noncommercial COT Index works inversely). It then drops below the 20 level for a ...