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Market Sentiment 市场情绪: Page 5 of 9

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How to Use the COT Report for Trading

Since the COT report comes out weekly, its usefulness as a market sentiment indicator would be more suitable for longer-term trades.

The question you may be asking now is this:

How the heck do you turn all that “big giant gobbled-up block of text” into a sentiment-based indicator that will help you grab some pips?!

One way to use the COT report in your trading is to find extreme net long or net short positions.

Finding these positions may signal that a market reversal is just around the corner because if everyone is long a currency, who is left to buy?

No one.

And if everyone is short a currency, who is left to sell?

What’s that?

Pretty quiet…

Yeah, that’s right. NO ONE.

One analogy to keep in mind is to imagine driving down a road and hitting a dead end. What happens if you hit that dead end? You can’t keep going since there’s no more road ahead. The only thing to do is to turn back.

Let’s take a look at this chart of the EUR/USD from TimingCharts:

COT Report: EUR Globex

On the top half, we’ve got the price action of EUR/USD going on. At the same time, on the bottom half, we’ve got data on the long and short positions of EUR futures, divided into three categories:

  • Commercial traders (blue)
  • Large Non-commercial (green)
  • Small non-commercial (red)

Ignore the commercial positions for now, since those are mainly for hedging while small retail traders aren’t relevant.

Let’s take a look at what happened mid-way through 2008. As you can see, EUR/USD made a steady decline from July to September. As the value of the net short positions of non-commercial traders (the green line) dropped, so did EUR/USD. In the middle of September, net short positions hit an extreme of 45,650. Soon after, investors started to buy back EUR futures. Meanwhile, EUR/USD rose sharply from about 1.2400 to a high near 1.4700!

Over the next year, the net value of EUR futures position gradually turned positive. As expected, EUR/USD eventually followed suit, even hitting a new high around 1.5100. In early October 2009, EUR futures net long positions hit an extreme of 51,000 before reversing. Shortly after, EUR/USD began to decline as well.

Holy Guacamole! Just by using the COT as an indicator, you could have caught two crazy moves from October 2008 to January 2009 and November 2009 to March 2010.

The first was in mid-September 2009. If you had seen that speculative traders’ short positions were at extreme levels, you could have bought EUR/USD at around 1.2300. This would have resulted in almost a 2,000-pip gain in a matter of a few months!

Now, if you had also seen that net long positions were at an extreme in November 2009, you would have had sold EUR/USD and you could have grabbed about 1,500 pips!

With those two moves, by using the COT report as a market sentiment reversal indicator, you could have grabbed a total of 3,500 pips. Pretty nifty, eh?

COT报告的交易策略

       由于COT报告每周出版一次,所以它更适合于长线交易者,作为一个衡量市场情绪的指标。

       你现在可能会问:

       到底你该怎样做,才能把这些的“文本块堆成的大巨人”,转变成一个以情绪为基础的指标,来帮助你抓取一些点子呢 ?!

       其中一种利用持仓报告,来帮助你交易的方法,就是查找 那些极端的净多头或净空头头寸

       查找这些头寸,可以用来预测市场的大翻转即将到来。因为如果每个人都做多了一个货币的话,市场哪里还有买家呢?

       一个人都没有了。

       或者是每个人都做空了一个货币,那市场哪里还有卖家呢?

       那代表着什么?

       非常的安静...

       对了,非常正确的。一个买家(或卖家)都没有了

       当最后的买家(或卖家)都进了场,谁还能来让价格继续走下去呢?一个要牢记着的比喻,想象你开车走进了死胡同。当你进入了死胡同,会发生什么事呢?你不可能继续把车开下去,因为前面没有太多的路可以让你前进了。这时唯一可以做的就是倒车往回走。

       让我们来看看来自 TimingCharts 的,欧元/美元图表:

       在图表的上半部分,我们可以看到欧元/美元最新的价格走势。同时在图表的下半部分,我们根据欧元期货的,多头和空头的头寸数据,分为三类:

      • 商业交易者(蓝色)
      • 大型非商业交易者(绿色)
      • 小型非商业交易者(红色)

       从现在开始,先忽略掉商业交易者的头寸,因为这些头寸主要是为对冲套利。而小型非商业交易者的头寸,都是些小投机客,所以也不用理会。

       让我们来看看到2008年中期发生了什么事。 正如你看到的,欧元/美元从七月至九月期间,一直平稳下滑。而大型非商业交易者的净空头头寸价值(绿线)却一直下降,欧元/美元确实是如此。在九月中旬,净空头头寸创下45,650的极端数据。不久之后,投资者开始积极买回欧元期货。与此同时,欧元/美元从1.2400 大幅攀升到1.4700附近!

       在接下来的一年,欧元期货的头寸净值,逐步转向积极的一方。正如所预期的那样,欧元/美元的价格最终也跟随攀升,甚至触及1.5100左右的新高。在2009年10月初,欧元期货的多头头寸净值,在达到51,000的极端后,才开始反转。不久后,欧元/美元也开始直线下滑。

       找到交易的圣鳄梨酱了! 只要把 COT当做指标,你就可以抓住市场的两段疯狂行情:从2008年10月至2009年的1月,和2009年11月至2010年的3月。

       第一次是在2009年的九月中旬。 如果你已经注意到大型投机交易者的空头头寸在极端的水平,你应该在1.2300的价位附近买进欧元/美元。这将让你在短短的几个月内,赚进大约2,000点的利润!

       现在,如果你同样又注意到,净多头的头寸在2009年11月处于极端的水平,你应该肯定会卖出欧元/美元,然后你又捞到大约1,500点了!

       这两笔交易,仅仅只是使用COT报告,作为一个市场情绪反转的指标,您就可以赚得3,500点。相当的漂亮,是吧?