FOREX QUANT

October 28, 2007

COT and market sentiment

Filed under: Uncategorized — by TraderMade @ 10:30 am
Tags: , , , ,

.

A conversation early this morning with one member of the Indotraders.

Trader: kalau tidak sibuk, saya mau tanya sedikit Pak mengenai COT (Common Of Trader)
Trader: apa Pak Darma tau mengenai COT ?
Trader: COT itu mengenai apa Pak ?
Darma: Commitment of Traders ya
Trader: iya
Darma: posisi net open di bursa, mas ya?
Darma: di bursa futures
Trader: saya tidak tau Pak mengenai COT
Trader: mau tanya mengenai COT itu dan apakah bermanfaat bagi trading kita?
Darma: tergantung time frame kita mungkin pak. dulu saya pernah coba perhatikan, karena ada beberapa teman traders yg mencoba menginterpretasi COT menjadi sentimen market
Darma: tapi kok rasanya gambyar dan tidak ada korelasi dengan market ya. terutama dengan market di time frame intraday.
Trader: apa berarti hanya bermanfaat di time frame D1 ke atas ?
Darma: sedangkan untuk timeframe long term, arah market dalam ekspektasi 2-3 bulan ke depan, saya sendiri lebih suka menggunakan pendekatan sistem aja. misalnya dulu pernah coba dengan sistem turtle atau aberration. fundamental ternyata nggak dipedulikan samasekali oleh market.
Darma: COT mungkin bermanfaat untuk mengantisipasi sentimen market untuk market yang likuiditasnya rendah
Darma: misalnya untuk saham di bursa jakarta. posisi net open para partisipan akan sangat mempengaruhi harga.
Darma: tapi kalau di market yg besar seperti spot fx, kayaknya gak pengaruh samasekali. karena data COT yang ada di bursa di NY atau Chicago, itu hanya sampel kecil dari market yang jauh lebih besar.
Trader: ok, terima kasih Pak Darma
Darma: iya, mas. sama2. itu pun hanya pendapat saya mas. belum tentu benar juga kok.

=====
Tentang COT dari salah satu halaman di website CFTC:

Commitments of Traders

The Commitments of Traders (COT) reports provide a breakdown of each Tuesday’s open interest for market reports in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC.

Reports are available in both a short and long format. The short report shows open interest separately by reportable and nonreportable positions. For reportable positions, additional data is provided for commercial and non-commercial holdings, spreading, changes from the previous report, percents of open interest by category, and numbers of traders.

The long report, in addition to the information in the short report, groups the data by crop year, where appropriate, and shows the concentration of positions held by the largest four and eight traders.

Supplemental reports show aggregate futures and option positions of Noncommercial, Commercial, and Index Traders in 12 selected agricultural commodities.

(*)


Leave a Comment »

No comments yet.

RSS feed for comments on this post. TrackBack URI

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

Create a free website or blog at WordPress.com.

%d bloggers like this: