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Statistics and Variance of the CoT report and the SPY ETF
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Finance & Management > Other - Finance & Mgmt

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Apr 2, 2012

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  • Posted: Sun, Mar 18, 2012
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First if you don't know what Commitment of Traders report is you can read about it here.

  [obscured]  /eminis/trading-lessons/what-futures-traders-should-know-about-the-commitment-of-traders-report-cot-part-1-800675.html

And more on it here:

  [obscured]  /reports.htm

Here is government official version of what the report is about
  [obscured]  /MarketReports/CommitmentsofTraders/DisaggregatedExplanatoryNotes/index.htm

The data is attached in an excel sheet, but you will need this key to understand the columns
  [obscured]  /MarketReports/CommitmentsofTraders/HistoricalViewable/cotvariablestfm

If you don't like my SPY data (a page in my spreadsheet) you can get more of it form Yahoo
  [obscured]  /q/hp?s=SPY&a=00&b=01&c=2011&d=11&e=31&f=2011&g=w

This video shows how many software packages use the COT data to track the data that comes from the COT report to predict the market:

  [obscured]  /cotvideo.htm

These packages are all based on the old Short form of the report. Th...

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