Economy & PolicyExtended setInvalidNew

Cot Positioning

Updated weeklyData needs: mediumlong onlyshort onlylong short

1992

Bessembinder, H., Chan, K. (1992). "Time-Varying Risk Premia and Forecastable Returns in Futures Markets." Journal of Financial Economics, 32(2), 169-193.

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In plain terms

CFTC weekly: when commercial hedgers are extreme-long crude or gold, the related ETF drifts up 1-3 months.

How it works

Commercial-net-long extremes relative to 52w history predict 4-12wk drift in futures + linked equities.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

Cftc cot
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: ~4-8% over 30-90d
Tested over: T+0 to T+60d

Bessembinder-Chan 1992: 4-8% over 30-90d.

Example tickers where this is likely to fire

XLE GLD USO UNG XLI

Illustrative only, the signal fires based on the live data, not a fixed list.

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