Mixed news this week from the holiday-delayed Commitments of Traders report, which was just released Monday afternoon. I've updated my latest signals table with the new data and market calls for my seven trading setups based on the COT reports. Here are some highlights: - S&P 500: This setup remains bearish for a 10th consecutive week. However, as noted previously, my short position was stopped out on Dec. 23 after the index went against that signal in a way that indicated a powerful trend that went against historic norms. In the latest report, the "smart money" commercial hedgers have gotten more net short for the second week in a row, while ironically the "dumb money" small traders have also gotten more bearish. A bit of a mixed bag I guess.
- U.S. financials: My setup for the BKX U.S. Bank Index, based on the COT data for the three-month Eurodollar contract, is now bearish for a second week. The latest data is again somewhat mixed, however, with the large spec total open interest falling a smidgen while the small trader total open interest has risen. Both are strongly correlated with next week's BKX price. - Gold: Also a second week of being bearish for my gold trading setup. As the latest signals table shows, the data is looking slightly gloomier this week for gold. - Natural gas: My only new signal this week comes for natural gas: bearish, with a one-week delay. To be executed on the open Monday, Jan. 11. - Crude oil: This setup is entering its 12th week being bearish. It will stay bearish this week and next and then go to cash on the open Monday, Jan. 18. The commercial hedgers still have a bearish tilt in this market, but the small traders, whom I also trade alongside in crude oil, got decisively bullish as of the Nov. 17 COT report, which pushed their signal into the long column. Unless both signals agree, the setup will remain in cash. I hope you had a great holiday and New Year's celebration. Best wishes to all readers for a healthy and happy 2010. For those who follow the old calendar, Merry Christmas on Jan. 7, and Happy New Year on Jan. 14. TAGS: SPX, S&P 500, gold, BKX, Bank Index, natural gas, Nikkei, crude oil, Treasury, bond, COT, Commitments of Traders,derivatives, Black Swans, market timing, trading system development, CFTC, Commodity Futures Trading Commission,COTs Timer, out-of-sample testing, walk-around testing