Seasonal COT Signals

Andy Waldock’s COT Signals program is a discretionary commodity trading strategy. It distills a complex, proprietary analysis of the Commitments of Traders report into a user-friendly worksheet that helps you determine when to buy, sell, or stay out of investments in the futures markets and their commodity-based ETF counterparts.

The Seasonal COT Signals program generally focuses on trades lasting less than 30 days and takes into account seasonality of market swings.

It’s different from other analyses in a few, critically important ways:

  • Most seasonal analysis provides you with an entry date (“a”), an exit date (“b”), and the historical performance of the market from a to b. This provides zero accountability for any trading strategy as the risk-to-reward ratio is completely ignored. Our seasonal analysis takes into account the very real-world scenario of marked-to-market losses.

Take this example: A crude oil contract requires $3,500 in margin, but has an average daily range of more than $750 and an expected holding time of 20 days. One can quickly see the potential for a forced margin call due to underestimating the market’s volatility and contract size. In week one, you might have been knocked out of the trade due to a margin call, but by week two, it reverses in its predicted direction. In this case, the trade might close profitably based on the analysis, but there was no practical concern for risk versus reward.

  • Every seasonal trade we publish comes with a protective stop. More importantly, the protective stop calculation is included in our preliminary risk assessment email. You’ll know what you’re risking and what the out-of-sample historical returns have been, so you can determine how the trade may fit your investment objectives.
  • Our seasonal analysis looks at winning percentages, consistency of returns, risk-to-reward ratio, and many other metrics to determine whether it’s worth risking our capital. (Yes, I do mean our capital. I trade these as well. We’re in this together.)
  • Our seasonal calculations come from a survey of calculation methods plus our proprietary model. We use them to develop a behavioral pool, which we then subject to further analytics.
  • Finally, because our trade requirements are quite stringent, the number of trades can vary anywhere from one, to five, or more in any given month. We can never predict entirely which trades we’ll be taking until the time comes to pass. Since we use current market filters, our information is very real-time.

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