Skip to main content
Track Commitment of Traders
5 / 20
Search the archiveLibrary
Library

1996issue C091-6

Score each trader class against itself, then slice by month

A Commitment of Traders index rescales each class against its own recent range. Seasonal analysis then reads that score by calendar month on July corn, and a Chi-square test marks which holding periods after a report cleared a set bar.

  • A 12-report Commitment of Traders index rescales each class net position between its recent minimum and maximum without smoothing, so the reading is aggression versus that class's own history.
  • In the January-through-June window for July corn, April and June are the months where group-level Commitment of Traders results are most uneven, so the same class can look useful in one month and ordinary in another.
  • Price change was measured from the open after a report to later settlements, and a Chi-square test treated a holding period as significant at a value of at least 3.86.
  • No CFTC class is uniformly right or wrong across months. A mediocre positioning reading becomes more useful only when it is interpreted inside a seasonal market state.
Entries in this reading3 entries
Current trackCommitment of Traders21 readingsChi-square test32 readingsSeasonal analysis54 readings

A history score, then a calendar month

The historical workflow on July corn starts with Commitment of Traders classes, not with a year-round verdict on which group is smart. Open interest can be split into commercial, noncommercial, and small-trader long and short classes, with commercials defined as hedgers and noncommercials defined as accounts at or above a reporting threshold.

A 12-report lookback Commitment of Traders index rescales each class net position between its recent minimum and maximum without smoothing, so a reading shows how aggressively that class is positioned versus its own history.

How holding periods were tested

Price change is measured from the open on the first session after a report release to settlements 5, 10, 15, 20, 25, and 30 days later. A holding period is treated as significant when its Chi-square test value is at least 3.86.

In the January-through-June window for July corn, April and June stand out as the months where group-level Commitment of Traders performance is most uneven, so the same class can look useful in one month and ordinary in another.

COT index by trader class, corn 1994–1996

Each reporting class is scored from 0 to 100 against its own recent net-position range. Commercials, large speculators and small speculators often sit at opposite extremes, which is the raw input for the April fade and June follow rules later in the study. Values were read off the source sample plot of the three indices, so they are approximate.
Each reporting class is scored from 0 to 100 against its own recent net-position range. Commercials, large speculators and small speculators often sit at opposite extremes, which is the raw input for the April fade and June follow rules later in the study. Values were read off the source sample plot of the three indices, so they are approximate.CBOT corn · COT report dates · 1994-01-10T00:00:00.000Z to 1996-04-29T00:00:00.000Z

Twelve-report lookback on net position (longs minus shorts), unsmoothed, matching the source formula. Y-values are approximate readings from the published raster, not a numeric table.

What April and June showed

In the historical workflow, an April fade of commercials on July corn bought when the commercial Commitment of Traders index was at or below 40 percent and sold when it was at or above 60 percent. That rule produced more right than wrong outcomes at every tested horizon, with several Chi-square test values at or above 3.86.

Following small speculators on July corn with a 75 percent buy and 25 percent sell threshold showed a 10-day Chi-square test of 5.33, while other nearby horizons in that same follow rule did not all clear the 3.86 bar.

A June fade of small speculators, buying when their Commitment of Traders index is at or below 30 percent and selling when it is at or above 50 percent, produced a 15-day Chi-square test of 5.25 and a 25-day Chi-square test of 4.36.

The stated lesson

The historical workflow's stated lesson is that no CFTC class is uniformly right or wrong across months, and a mediocre positioning reading becomes more useful only when it is interpreted inside a seasonal market state.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
5 of 20 in the Commitment of Traders track
19961-5 pp.Next on Commitment of TradersPork belly Commitment of Traders signals depend on the seasonal windowWhether a trader class was a useful directional guide or a fade depended on the seasonal window rather than on a single all-year rule.
All readings on this track · 20 readings
  1. 1990Constructing a COT index from the commercial-speculative spread
  2. 1990Crowded price rules need abstention and a regime overlay
  3. 1991Advisor consensus fails as weekly contrarian timing
  4. 1996When speculative flows decouple bonds from stocks
  5. 1996Score each trader class against itself, then slice by month
  6. 1996Pork belly Commitment of Traders signals depend on the seasonal window
  7. 2002Constructing regime context from trader commitment nets
  8. 2002Trader net positions as regime context for chart setups
  9. 2003Three states for a daily futures advisor consensus
  10. 2005Commitment of Traders open-interest extremes as regime filters
  11. 2005Commitment of Traders participant imbalance as regime context for commodity position trades
  12. 2006Housing slowdown as a cross-market regime lesson
  13. 2007Evaluate an index stance as a spread between trader books
  14. 2011Constructing weekly participant positioning ledgers
  15. 2012Commitment of Traders as crowded-book context, not a copy signal
  16. 2014When Commitment of Traders smart money fails as an intermarket regime filter
  17. 2014Constructing Commitment of Traders regime context when commercial hedgers fail
  18. 2015Leave a yen bottom unconfirmed until gold and positioning agree
  19. 2016Stacking volume, open interest, and trader books around expiration
  20. 2025Post-crash cash and regime-aware watchlists
By fieldSeasonality and regimes93 readingsBy year199680 readings
All 21 readings tagged Commitment of Traders
Also on Commitment of Traders5 readings
1996Pork belly Commitment of Traders signals depend on the seasonal window1996When speculative flows decouple bonds from stocks2006Housing slowdown as a cross-market regime lesson1990Constructing a COT index from the commercial-speculative spread1990Crowded price rules need abstention and a regime overlay