You can find an interesting trading system on EarnForex.com — CoT Report Trading Strategy. It is based on rigorous backtesting of 32 different trading methods that use various data from Commitments of Traders reports released by the CFTC. According to our polls, about half of Forex traders are using CoT reports in trading at least occasionally. The presented strategies offer trading opportunities based strictly on such reports. Below is a detailed description of the tools used, the backtesting process, and the results obtained.
In order to backtest anything related to the Commitments of Traders reports, it is necessary to have an expert advisor that can somehow get the data from the past history of the reports and use them to enter and exit positions. You can now download such an expert advisor for free. It is based on an MQL5 class that reads all the fields from the
The expert advisor can potentially trade any strategy based on any data from the CoT reports, but currently, it is programmed to test only 32 strategies. The spreadsheet contains the exact entry and exit signals (including additional exit signals for some strategies) for both the buy and sell sides of each of the test strategies. The following terms are used to formulate the strategies:
All changes are from a comparison to a previous weekly CoT report.
All our tests were performed on a period from January 1, 2014, to August 22, 2021, on the following currency pairs: USD/CAD, USD/CHF, GBP/USD, USD/JPY, EUR/USD, AUD/USD, and NZD/USD. A fixed position size of 0.1 standard lot was used.
The summary of the backtest results shows a table with total profit, maximum drawdown, and the number of trades for each tested strategy across each currency pair. Separate comparative tables show the total profit, the average maximum drawdown, and the total number of trades for each strategy and for each currency pair. The full set of all 224 backtesting reports with charts and complete order history are also available for downloading.
Here is the comparative table for all the tested strategies. The profitable strategies are indicated with green color, while the strategies with the biggest losses (over $15,000) are shown in red:
And here is the similar table for currency pairs:
The comparative table of results reveals the unfortunate truth that trading using the CoT report isn't as easy as taking any intuitive strategy and applying it to your favorite FX pair:
If you want to share your opinion, observations, conclusions, or simply to ask questions regarding the CoT Report Trading Strategy on Forex, feel free to join a discussion on our forum.
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