COT report

August 14th, 2015, 02:42 PM

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.

August 14th, 2015, 02:49 PM

I am studying it along with spreads to see if I can make any sense out of the price movement for a given week but despite all my backtesting I was not able to come up with a good "mechanical" strategy.

I will probably use it but on a discretionary basis only and with certain instruments, not any financial instrument.

June 8th, 2019, 12:22 PM

After reading Briese's book on COT, I found his website which is great and another one to which I have just made a donation as I really like it a lot (in particular the seasonality graph and the COT index):
https://cotunchained.com/

COT report

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COT report