COT Reports and Weekly Energy Reports

[slumlord 10]

I am daydreaming about analysing cftc reports and storing them in an access database or something, historically if I can and then maybe I can compare what happened in the past with historical prices. Also I could analyse them for present day too. Plus maybe then attempt the same with EIA/EAI (?) weekly energy type reports? Is this done already, would it be just a hobby, does any of it seem like a worthwhile endeavour. Would it improve my understanding of anything, and are there any other similar reports I could be looking at?

[Tams 20]

I am daydreaming about analysing ...

 

 

only if you believe those reports have price influence behavior in a consistently repeatable manner.

 

as an exercise.... why not.

[brownsfan019 17]

Developing trading styles based on any big report/econ news can be a worthwhile task if you can find some consistency to trade from as Tams said. For example, every Wed the oil inventory comes out. I have no doubt in my mind that if you could develop a strategy that can load up before inventory comes out and be right on the outcome, you could work 1 day a week for maybe 30 minutes and be very wealthy. Alas, that grail avoids me... So I'm stuck trading each day.

 

But you might find something that is very tradable, regardless of the report being used as long as it's an important one (Non-farm, inventories, etc. etc.).

[BlowFish 10]

Really it is the only quantitative measure of who is doing what and how heavily they are committed to doing it. Whether you can piece together anything useful I couldn't say, but it seems like a reasonable place to start.

 

There are a couple of well known rules of thumb using price volume and OI to anticipate what the market might do next.

[slumlord 10]

Broadly Im thinking I could use it as a lagging bandwagon on which to jump or as a way of assessing where everybody is so if something 'happens' I have a better idea in my head of how things could unwind.

[BlowFish 10]

One thing to bear in mind is that if relying on weekly data you will probably need a fairly long time horizon.

 

As an aside I read that the CME now provide an hourly LDB (liquidity database) report, it sounds hugely expensive (price on application) anyone have experience of that?

[slumlord 10]

I can't seem to find whether COT reports show just the front month futures contract or all contract months. ADoes anybody know? The latter would seem mildly less useful. Also is there anywhere you can get an indication of OTC forward activity?

 

Re the CME liquidity report: Nice to know about, will put it on my list.