You may wonder if does the model contains data from the COMMITMENTS OF TRADERS weekly data?
No, the COT data (a report published every Friday by the Commodity Futures Trading Commission, that disaggregate the open interest of future contracts) is not part of the weekly model because, after a long experimentation, it resulted completely irrelevant. This means that all the information that the COT data may bring to the model is already incorporated into the prices of financial instruments.If you conduct a personal analysis of the prices, by hand and eye, the COT data is a good help in determining how the market and its principal actors are positioned. The COT can be a really useful tool for a correct and useful analysis.
But do not forget that here we are using artificial intelligence tools, that scan the data for hidden structures and patterns: it’s a completely different approach. As you may imagine, I was a bit surprised to discover the uselessness of COT data for forecasts. I thought that COT was providing some non evident information that could enrich the model analysis, but I was wrong.
You may find charts of COT data at http://cotbase.com/ and various other sites, and raw data can be downloaded from http://www.cftc.gov/Marketreports/CommitmentsofTraders/index.htm