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Market Sentiment 市场情绪: Page 8 of 9

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How to Interpret the COT Report

Now that we know how to determine sentiment extremes, what’s next? Recall that not every sentiment extreme results in a market top or bottom so we’ll need a more accurate indicator. Calculating the percentage of speculative positions that are long or short would be a better gauge to see whether the market is topping or bottoming out. The equation to calculate for the %-long and %-short is indicated below:

COT Report

To illustrate this better, let’s go back a few years and see what happened with Canadian dollar futures. Going through the COT reports released on the week ending August 22, 2008, speculators were net short 28,085 contracts. On March 20, 2009, they were net short 23,950 contracts.

From this information alone, you would say that there is a higher probability of a market bottom in August since there were more speculators that were short in that period. But hold on a minute there… You didn’t think it would be THAT easy right?

COT Report: Short and long ratios can help you spot market tops and bottoms

A closer look would show that 66,726 contracts were short while 38,641 contracts were long. Out of all the speculative positions in August (66,726 / (38,641 + 66,726)), 63.3% were short positions.

On the other hand, there were just 8,715 long contracts and 32,665 short contracts in March. This means that (32,655 / (8,715 + 32,665)) 78.9% of the speculative positions were short positions during that period. What does this mean?

There is a higher chance that a bottom will occur when 78.9% of all speculative positions are short as opposed to just 63.3%. As you can see on the chart below, the bottom in fact did not occur around August 2008, when the Canadian dollar was worth roughly around 94 U.S. cents.

The Canadian dollar continued to fall over the next few months. By the time March came around and the %-short ratio hit 78.9%, the Canadian dollar had hit a bottom around 77 U.S. cents. Then what happened? It started to steadily rise!

A market bottom? Yep, you got it.

更深入的研究数据

      现在我们已经知道如何判断市场的极端情绪,下一步是什么?先回想一下,每次市场出现极端情绪时,并不是每次都会出现价格的顶部或底部,因此我们需要一个更准确的指标。因此使用百分比来计算,大型投机商的头寸是偏向多头还是空头,可以更好的衡量出,市场是处于上升乏力,还是正走出低谷。

      它们的计算公式:空头的%和多头的%,分别表示如下:

      为了更好地说明这一点,让我们回到数年前,看看加拿大的货币期货,当时发生了什么事。

      往前翻看至2008年8月22日的持仓报告走向,大型投机者的净空头头寸,最低是28,085。如果在2009年3月20日,大型投机者的净空头达到23,950的低点。如果单从这两个信息,你肯定会说在八月份,市场会有更高的概率出现底部,因为还有更多的大型投机商,会在那段时期卖空。

      不过,先留步一两分钟 ... … 你不会认为这就是真的那么简单吧?

      再深入的查看COT,你就会发现空头头寸有66,726,而多头头寸却有38,641。所以在八月份的所有大型投机商头寸中(66,726 / (38,641 + 66,726)),做空的头寸占63.3%

      而另一方面,三月份有共有8,715的多头头寸和32,665的空头头寸。这意味着有(32,655 / (8,715 + 32,665)) 78.9%的大型投机商在这段时期,持有空头的头寸。

      这些意味着什么呢?这些意味着,相对于只有仅仅的63.3%,当所有的大型投机商持仓的头寸,高达78.9%的空头头寸时,市场有更高的几率,会形成底部。

      正如你可以在上面的图表中看到,事实上底部并没有出现在2008年的8月份附近,当时加拿大货币的价值已经升至94美分附近了。虽然加拿大货币的价格,在之前持续数个月的下滑。但直到三月份的时候,空头的持仓比率高达78.9%时,加拿大货币跌至77美分附近的底部后。然后,发生了什么事? 加拿大货币开始稳步上扬!一个市场的底部? 是的,你说对了。