San Diego, CA
Experience: Intermediate
Platform: TT Pro
Broker: Advantage
Trading: Gasoil, heatoil, crude
Posts: 55 since Sep 2009
Thanks Given: 26
Thanks Received: 33
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free COT reports are also aggregated through Quandl
If you are backtesting, keep in mind that the reports are lagged a few days to begin with. The COT site says the reports released on Friday represent the numbers taken on Tuesday of that week. One can create multiple lagged datasets (COT_soybean_oldcrop_lag1weekPrevious, COT_soybean_oldcrop_lag1week, COT_soybean_oldcrop_lag2weeks) to see if any one dataset gives you any insight to how much, if any, correlation to prices.
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