The Evolution of an Algorithm

Andy Waldock has spent 30 years in the futures industry as a broker, manager, and writer. Andy began developing trading programs shortly after leaving the Chicago Mercantile Exchange’s S&P 500 pit. One of the first things he learned was that almost everything he learned on the floor was useless behind a screen. Empirical testing and validation of trading models are the sole focus of our trading. We’ve coordinated with software developers and engineers from around the world to create two distinct trading vehicles. Our seasonal and day trading programs are fully mechanical, while the COT Signals are discretionary in nature, even though Andy will offer actionable recommendations.

Andy’s Early Commodity Trading Programs

Andy’s first commodity trading program, the DCB-Bond System, was published in 1999. It has been ranked a top 20 performer several times according to Futures Truth magazine, the de facto industry standard for the mechanical trading system vetting process. In fact, in their second issue, published in 2015, they ranked the DCB-Bond System number 19. According to the magazine’s analysis, it has an accumulated average return of just over 10% per year. The DCB-Bond System was purely technical in nature. Andy later expanded it into a full suite of systems called the DCB-Swing System. This multi-market program was designed to capture opening gaps as the market moved through support or resistance into its close. It was published prior to the advent of 24-hour markets and took advantage of the buildup in pressure while the market was closed in order to take profits upon the program’s first profitable opening. Obviously, with the 24-hour marketplace, the premise for this program is no longer applicable. However, Andy used the insights and experience gained from these systems and his trading work over the years to create his highly successful COT Signals program, which was originally released to Futures Truth under the name JDOC 532.

Fancy Math – Fundamental Data

The last few years have seen COT Signals’ evolution from a personal methodology to a fully mechanized and active commodity trading program. Andy has worked with some of the brightest minds in the industry to get it right, and he’s been trading this final version for himself since June 2015. COT Signals began as an extension of the Commitment of Traders analysis, placing the commodity markets within the business plans of the Fortune 500 companies responsible for the fundamental supply and demand each represents. The system watches corporate actions in the commodity markets to find the intersection of seasonal occurrences and projected price expectations. Since the sample size for these events is small, advanced modeling techniques developed in collaboration with Dr. Darrin Hanna of Oakland University are also used. As a result, Andy’s work has morphed into the higher math of machine learning and support vector machines, such as “R” and “MiniTab.”

What do these names mean?

The DCB-Bond System was named for Andy’s three sons, Drew, Cameron and Ben – DCB. JDOC 532 was Andy’s father, Jack Waldock’s badge number at the Chicago Mercantile Exchange. COT Signals is pretty self-explanatory. It’s named for the signals that can be derived from the Commitment of Traders Report. Maybe Andy will name the next one for himself – ADOC 532, his former badge at the Chicago Mercantile Exchange!