Each month in this Journal, our technical support staff addresses issues of interest to many CSI subscribers in a question-and-answer format. 

Notice:
  The views and information expressed in this document reflect the opinions and experience of the author Robert C. Pelletier.  Neither CSI nor the author undertake or intend to provide tax advice or trading advice in any market or endorse any outside individual or firm.  All recommendations are provided for their informational value only.  Readers should consult competent financial advisors or outside counsel before making any software purchase or investment decision.  CSI does not stand behind or endorse the products of any outside firms.

Copyright (c) 2000 Commodity Systems Inc. (CSI).  All rights are reserved.

    UA version 2.1.2 appends proportionally adjusted stock files (instead of rebuilding them). This enhancement significantly speeds daily processing time.

Q.
    How do I view Commitments of Traders data with UA?

A.
    The CFTC's Commitment of Traders data are compiled and released by the U.S. government on alternating weeks. Each bi-weekly report offers two sets of data points spaced one week apart. The most recent set of data points represents the prior week ending on the prior day, which would typically be a Tuesday, and the earlier half of the set represents a late report of the immediately preceding week ending on the preceding Tuesday. By reporting every two weeks on trader commitments, the CFTC reduces their costs, at the expense of a current report for the earlier half of the reported two weeks of data.

The CFTC supplies the gross open interest contract level for large speculators, commercial hedgers and small traders, in that order. Their report offers these three readings for each of 63 markets by publishing the long holdings and the short holdings of trader's in each given market.

The C.O.T. data CSI provides through Unfair Advantage are compiled from Steve Briese's website which reports not only the above raw CFTC statistics, but also a calculated index which ranges from 0 to 100 based upon a scheme of weighting that accounts for the large, commercial and small classifications. A high reading of the index weighs heavily in favor of the long side market interests, and a low index reading favors the sell side interests. The value is high when commercial interests are large against small trader interests, and the value is low when commercial interests are short against small trader interests.

On alternating Fridays, UA users should consult the C.O.T. data and Briese's index to help assess a given market's probable future direction, and avoid any attempt to go against the large speculator and commercial interests.

If one wishes to examine the raw input used to plot Briese's index or the information supplied by the CFTC, then this can be done from the main menu by clicking on 'Portfolio" and 'Insert.' Next choose Miscellaneous from the 'Markets' window then click the [.] browse button. You will then see the screen where the UA 'cash' series are introduced in the 2000 series of markets. The Briese index series currently covers the range of 2400 to 2468 and the CFTC position or commitment size occupies the range 2500 to 2568. The given market's symbol is clearly identified within the listed name.

If you build a chart for any given market in the 2400 series, you will notice by clicking on the 'Table' tab that there are four fields defined for each day reported in the series. The first field holds a 1 or a 2 indicating whether the data are current through the preceding Tuesday (1) or a week delayed (2). The next three fields hold the Briese index for large, small and commercial hedgers. The date shown will be the "report date" (not the date it is released) for the series. To find the corresponding CFTC raw values, replace the 2400 series value with a 2500 series value, and the position sizes (open interest) for the large speculators, commercial hedgers and small traders can be displayed. UA customers receive the data on the release date which, barring holidays and flawed data, is a couple of days after the last "report date" designated with a "1."

For more information on C.O.T. data and their use, you might want to subscribe to Steve Briese's Bullish Review (phone 888-423-4950). Every two weeks, Steve reports on dozens of government-regulated commodity markets. He supplies charts of market behavior, inclusive of his index, and commentary on future price performance prospects derived from the C.O.T. data.

Q.
    I use back-adjusted contracts to follow the markets, and I noticed that when I elect to "roll N days prior to expiration," UA will accomplish this perfectly throughout the historical past, but when it comes to the current contract that is about to expire, rolling doesn't occur until the last trading day. Can I adjust this?

A.
    Both UA back adjusters determine when a given contract rolls by simply reviewing the historical series of all the delivery months in the database for the commodity in question. When it comes down to the final (most current) contract in line, neither back adjuster can absolutely determine when the nearest delivery month will expire. This may seem to be a shortcoming in the software, but it is not. To keep the continuity going in current contracts, click "Facts and Events" from UA's Initiate menu and go to the "Alerts" tab to check the last trading day for your near contract. The last trading day is reliably posted there for most commodities covered by UA. To change the roll date to the actual last trading day (once it is known), right-click the back-adjusted futures contract that you wish to modify in your portfolio. Click "Edit," and then change "date from" to the roll date found in Facts and Events' Alerts Calendar. Use the Portfolio menu's "Rewrite Immediately" function to rebuild this contract with the roll date modification.