COTs Beat the Markets
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I created this blog to record my personal, subjective observations about the markets, solely for my entertainment and that of interested readers and to foster research. Nothing on this blog should be construed as financial advice or an offer or recommendation to purchase or sell any security. I encourage anyone interested in the markets to do your own homework and/or consult a professional advisor. I am not a certified financial advisor and am still refining my trading system. I reserve the right to modify or stop publishing aspects of my system at any time or to delay updating my tables for whatever reason, or I may not do so in a timely manner. My system has resulted in very large drawdowns in some trades. Past backtested and real-time results are no guarantee of future performance. I will not be liable for any losses or damages of any kind that result from the content of this site. Although I consider the data, calculations and information on this blog to be reliable, I can't make any guarantees and won't be held liable or responsible for anything erroneous on this website. You are solely responsible for implementing safeguards of your data and system when you use this site and its content and links. It is up to the user of this site and content to protect yourself from worms, trojan horses, viruses and the like. I may hold positions in some of the securities mentioned in this blog.
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BACKTEST RETURNSTRADING INFORMATIONROBUSTNESS MEASURESSETUP SPECIFICATIONS
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COTs system profit 1Index profit 2COTs vs. Index profit 3Compound Annual Growth Rate 4Regressed Annual Return 5Winning/ Losing tradesTime in the MarketStop 7Port- folio alloca- tion 8Trade delay (wks) 9Profita- bility confi- dence level 10Market- beating confi- dence level 11Sharpe Ratio 12Robust Sharpe Ratio 13Out-of- Sample CAGR Efficiency (Volatility-Adjusted) 14Out-of- Sample RAR Efficiency (Volatility-Adjusted) 15Walk- Around Efficiency 16Monte Carlo score 17Walk- Around Monte Carlo Efficiency 18Traders to watch 19End data for back- testing 20Parameter values 21Market
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S&P 500 221,073.365.11,649%16.1%15.6%54/23100%12.68%7.89%299.94%98.8%1.61.51.20.90.95100.00%100.00%Commercials14-Jn-11see note 22S&P 500
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U.S. Bank Index (BKX)2,885.537.47,706%23.8%23.2%102/6048%11.58%8.64%0/299.99%99.97%3.02.80.60.70.90100.00%100.00%Lg.Sp. & Sm.Tr.14-Jn-11see note 23U.S. Bank Index
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Nasdaq-100 Index1,918.230.36,325%29.3%23.2%61/3073.9%12.08%8.28%0/099.995%99.8%3.42.5n/an/a0.95100.00%100.00%Com. & Lg.Sp.14-Jn-11see note 24Nasdaq-100 Index
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Nikkei781.258.11,345%13.4%17.3%80/4658%9.72%10.29%2/099.8%99%1.82.40.70.80.88100.00%99.98%Com. & Sm.Tr.14-Jn-11see note 25Nikkei
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Natural Gas*24-De-07see note 26Natural Gas
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Gold568.284.9669%11.3%13.4%70/4260%7.81%12.80%2/099.94%99.93%1.72.01.21.10.86100.00%99.99%Lg.Sp. & Sm.Tr.14-Jn-11see note 27Gold
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Silver2,510.251.74856%22.9%22.3%40/2066%20.52%4.87%0/099.9%99.998%1.51.41.81.20.97100.00%100.00%Com. & Sm.Tr.14-Jn-11see note 28Silver
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Copper2,073.068.83,012%20.9%23.4%72/2935%9.70%10.31%0/199.9995%99.6%2.83.11.01.30.85100.00%100.00%Com. & Lg.Sp.14-Jn-11see note 29Copper
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Crude Oil (light sweet)4,168.334.112,212%26.6%28.1%89/3737%10.25%9.76%2/099.9999%99.96%3.53.63.32.50.84100.00%99.99%Lg.Sp. & Sm.Tr.14-Jn-11see note 30Crude Oil
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30-Year U.S. Treasury532.379.5669%10.6%11.6%84/3957%5.44%18.38%2/299.995%99.8%2.22.32.72.70.79100.00%99.95%Sm.Tr. & Com.14-Jn-11see note 3130Y Treasury
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